Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/22031
Authors: 
Herwartz, Helmut
Xu, Fang
Year of Publication: 
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

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