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. --
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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
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