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A new approach to bootstrap inference in functional coefficient models

  • Herwartz, H.
  • Xu, F.
Registered author(s):

To infer on functional dependence of regression parameters, a new, factor based bootstrap approach is introduced, that is robust under various forms of heteroskedastic error terms. 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 rejection frequencies under the null hypothesis. 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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File URL: http://www.sciencedirect.com/science/article/B6V8V-4TGS78X-1/2/3dfafc69be90b475c01807199ab7488a
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Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

Volume (Year): 53 (2009)
Issue (Month): 6 (April)
Pages: 2155-2167

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Handle: RePEc:eee:csdana:v:53:y:2009:i:6:p:2155-2167
Contact details of provider: Web page: http://www.elsevier.com/locate/csda

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  1. Horowitz, J.L., 1992. "Testing a Parametric Model Against a Semiparametric Alternative," Papers 9219, Tilburg - Center for Economic Research.
  2. Davidson, Russell & Flachaire, Emmanuel, 2008. "The wild bootstrap, tamed at last," Journal of Econometrics, Elsevier, vol. 146(1), pages 162-169, September.
  3. 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.
  4. Feldstein, Martin & Horioka, Charles, 1980. "Domestic Saving and International Capital Flows," Economic Journal, Royal Economic Society, vol. 90(358), pages 314-29, June.
  5. Zongwu Cai & Jianqing Fan & Qiwei Yao, 2000. "Functional-coefficient regression models for nonlinear time series," LSE Research Online Documents on Economics 6314, London School of Economics and Political Science, LSE Library.
  6. Aneiros-Perez, G. & Vilar-Fernandez, J.M., 2008. "Local polynomial estimation in partial linear regression models under dependence," Computational Statistics & Data Analysis, Elsevier, vol. 52(5), pages 2757-2777, January.
  7. 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.
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