Arbeitspapier

A new approach to bootstrap inference in functional coefficient models

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.

Language
Englisch

Bibliographic citation
Series: Economics Working Paper ; No. 2007-15

Classification
Wirtschaft
Hypothesis Testing: General
Semiparametric and Nonparametric Methods: General
Subject
Bootstrap
heteroskedasticity
functional coefficient models
Feldstein-Horioka puzzle
Bootstrap-Verfahren
Schätztheorie
Theorie
Schätzung
Feldstein-Horioka-Paradoxon
Welt

Event
Geistige Schöpfung
(who)
Herwartz, Helmut
Xu, Fang
Event
Veröffentlichung
(who)
Kiel University, Department of Economics
(where)
Kiel
(when)
2007

Handle
Last update
10.03.2025, 11:42 AM CET

Data provider

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Object type

  • Arbeitspapier

Associated

  • Herwartz, Helmut
  • Xu, Fang
  • Kiel University, Department of Economics

Time of origin

  • 2007

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