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 …, factor based bootstrap inference outperforms the wild bootstrap and pairs bootstrap approach according to its size features …

, factor based bootstrap approach is proposed for inferential issues in functional coefficient models. This approach can cope … with heterogeneous error distributions and is proven to hold asymptotically. In simulation studies factor based bootstrap … inference outperforms the wild bootstrap and pairs bootstrap approach according to its size features. Regarding current account …

distributional assumptions; (2) inference under heteroskedasticity of unknown form; (3) inference in dynamic models with an unlimited …

distributional assumptions; (2) inference under heteroskedasticity of unknown form; (3) inference in dynamic models with an unlimited …

distributional assumptions; (2) inference under heteroskedasticity of unknown form; (3) inference in dynamic models with an unlimited …

with Generalised AutoRegressive Conditional Heteroskedasticity are characterised by the ability to estimate and forecast …

with Generalised AutoRegressive Conditional Heteroskedasticity are characterised by the ability to estimate and forecast …