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Christian-Albrechts-Universität Kiel (CAU) >
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Economics Working Papers, Department of Economics, CAU Kiel >
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http://hdl.handle.net/10419/22031
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| Title: | | A new approach to bootstrap inference in functional coefficient models  |
| Authors: | | Herwartz, Helmut Xu, Fang |
| Issue Date: | | 2007 |
| Series/Report no.: | | Economics working paper / Christian-Albrechts-Universität Kiel, Department of Economics 2007,15 |
| 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. |
| Subjects: | | Bootstrap heteroskedasticity functional coefficient models Feldstein-Horioka puzzle |
| JEL: | | C12 C14 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Economics Working Papers, Department of Economics, CAU Kiel
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