Poor (Wo)man's Bootstrap
45 Pages Posted: 14 Mar 2015 Last revised: 26 Aug 2017
Date Written: April 2016
The bootstrap is a convenient tool for calculating standard errors of the parameter estimates of complicated econometric models. Unfortunately, the fact that these models are complicated often makes the bootstrap extremely slow or even practically infeasible. This paper proposes an alternative to the bootstrap that relies only on the estimation of one-dimensional parameters. We introduce the idea in the context of M- and GMM-estimators. A modification of the approach can be used to estimate the variance of two-step estimators.
Keywords: standard error; bootstrap; inference; structural models; parametric estimation
JEL Classification: C10, C18
Suggested Citation: Suggested Citation