A new approach to bootstrap inference in functional coefficient models
AbstractWe introduce a new, factor based bootstrap approach which is robust under heteroskedastic error terms for inference in functional coefficient models. Modeling the functional coefficient parametrically, the bootstrap approximation of an F statistic is shown to hold asymptotically. In simulation studies with both parametric and nonparametric functional coefficients, factor based bootstrap inference outperforms the wild bootstrap and pairs bootstrap approach according to its size features. Applying the functional coefficient model to a cross sectional investment regression on savings, the saving retention coefficient is found to depend on third variables as the population growth rate and the openness ratio. --
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Christian-Albrechts-University of Kiel, Department of Economics in its series Economics Working Papers with number 2007,15.
Date of creation: 2007
Date of revision:
Bootstrap; heteroskedasticity; functional coefficient models; Feldstein-Horioka puzzle;
Other versions of this item:
- Herwartz, H. & Xu, F., 2009. "A new approach to bootstrap inference in functional coefficient models," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2155-2167, April.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
This paper has been announced in the following NEP Reports:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Emmanuel Flachaire, 2001.
"The Wild Bootstrap, Tamed at Last,"
STICERD - Distributional Analysis Research Programme Papers
58, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Russell Davidson & Emmanuel Flachaire, 2000. "The Wild Bootstrap, Tamed at Last," Econometric Society World Congress 2000 Contributed Papers 1413, Econometric Society.
- Russell Davidson & Emmanuel Flachaire, 2001. "The Wild Bootstrap, Tamed at Last," Working Papers 1000, Queen's University, Department of Economics.
- Davidson, R. & Flachaire, E., 1999. "The Wild Bootstrap, Tamed at Last," G.R.E.Q.A.M. 99a32, Universite Aix-Marseille III.
- White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May.
- Horowitz, J. & Hardle, W., 1992.
"Testing a Parametric Model Against a Semiparametric Alternative,"
1992-19, Tilburg University, Center for Economic Research.
- Horowitz, Joel L. & Härdle, Wolfgang, 1994. "Testing a Parametric Model Against a Semiparametric Alternative," Econometric Theory, Cambridge University Press, vol. 10(05), pages 821-848, December.
- Horowitz, J.L. & Hardle, W., 1992. "Testing a Parametric Model Against a Semiparametric Alternative," Working Papers 92-06, University of Iowa, Department of Economics.
- Horowitz, J.L., 1992. "Testing a Parametric Model Against a Semiparametric Alternative," Papers 9219, Tilburg - Center for Economic Research.
- Feldstein, Martin & Horioka, Charles, 1980.
"Domestic Saving and International Capital Flows,"
Royal Economic Society, vol. 90(358), pages 314-29, June.
- Cai, Zongwu & Fan, Jianqing & Yao, Qiwei, 2000. "Functional-coefficient regression models for nonlinear time series," Open Access publications from London School of Economics and Political Science http://eprints.lse.ac.uk/, London School of Economics and Political Science.
- Herwartz, Helmut & Xu, Fang, 2007.
"A functional coefficient model view of the Feldstein-Horioka puzzle,"
Economics Working Papers
2007,14, Christian-Albrechts-University of Kiel, Department of Economics.
- Herwartz, H. & Xu, F., 2010. "A functional coefficient model view of the Feldstein-Horioka puzzle," Journal of International Money and Finance, Elsevier, vol. 29(1), pages 37-54, February.
- Helmut Herwartz & Israel Waichman, 2010. "A comparison of bootstrap and Monte-Carlo testing approaches to value-at-risk diagnosis," Computational Statistics, Springer, vol. 25(4), pages 725-732, December.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (ZBW - German National Library of Economics).
If references are entirely missing, you can add them using this form.