A new approach to bootstrap inference in functional coefficient models

Helmut Herwartz and Fang Xu

No 2007-15, Economics Working Papers from Christian-Albrechts-University of Kiel, Department of Economics

Abstract: We 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.

Keywords: Bootstrap; heteroskedasticity; functional coefficient models; Feldstein-Horioka puzzle (search for similar items in EconPapers)
JEL-codes: C12 C14 (search for similar items in EconPapers)
Date: 2007
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (1)

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Journal Article: A new approach to bootstrap inference in functional coefficient models (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:cauewp:5614

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