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
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Englisch
- Bibliographic citation
-
Series: Economics Working Paper ; No. 2007-15
- Classification
-
Wirtschaft
Hypothesis Testing: General
Semiparametric and Nonparametric Methods: General
- Subject
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Bootstrap
heteroskedasticity
functional coefficient models
Feldstein-Horioka puzzle
Bootstrap-Verfahren
Schätztheorie
Theorie
Schätzung
Feldstein-Horioka-Paradoxon
Welt
- Event
-
Geistige Schöpfung
- (who)
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Herwartz, Helmut
Xu, Fang
- Event
-
Veröffentlichung
- (who)
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Kiel University, Department of Economics
- (where)
-
Kiel
- (when)
-
2007
- Handle
- Last update
-
02.02.20252025, 6:40 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Herwartz, Helmut
- Xu, Fang
- Kiel University, Department of Economics
Time of origin
- 2007
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