Poor (Wo)man's Bootstrap

45 Pages Posted: 14 Mar 2015 Last revised: 26 Aug 2017

See all articles by Bo E. Honoré

Bo E. Honoré

Princeton University - Department of Economics

Luojia Hu

Federal Reserve Bank of Chicago

Multiple version iconThere are 2 versions of this paper

Date Written: April 2016

Abstract

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

Honore, Bo E. and Hu, Luojia, Poor (Wo)man's Bootstrap (April 2016). FRB of Chicago Working Paper No. 2015-01. Available at SSRN: https://ssrn.com/abstract=2577508 or http://dx.doi.org/10.2139/ssrn.2577508

Bo E. Honore

Princeton University - Department of Economics ( email )

Princeton, NJ 08544-1021
United States

Luojia Hu (Contact Author)

Federal Reserve Bank of Chicago ( email )

230 South LaSalle Street
Chicago, IL 60604
United States

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