Easy Bootstrap-Like Estimation of Asymptotic Variances
15 Pages Posted: 31 Jul 2018 Last revised: 29 Apr 2020
Date Written: June, 2018
The bootstrap is a convenient tool for calculating standard errors of the parameter estimates of complicated econometric models. Unfortunately, the bootstrap can be very time-consuming. In a recent paper, Honor and Hu (2017), we propose a ?Poor (Wo)man's Bootstrap? based on one-dimensional estimators. In this paper, we propose a modified, simpler method and illustrate its potential for estimating asymptotic variances.
Keywords: standard error, bootstrap, inference, censored regression, two-step estimation
JEL Classification: C10, C15, C18
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