Poor (wo)man's bootstrap

The bootstrap is a convenient tool for calculating standard errors of the parameters 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. The paper contains no new difficult math. But we believe that it can be useful.

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Year of publication:	2015
Authors:	Honoré, Bo E. ; Hu, Luojia
Publisher:	Chicago, IL : Federal Reserve Bank of Chicago
Subject:	standard error \| bootstrap \| inference \| structural models \| parametric estimation

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Series:	Working Paper ; 2015-01
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	820225711 [GVK] hdl:10419/130670 [Handle] RePEc:fip:fedhwp:wp-2015-01 [RePEc]
Classification:	C10 - Econometric and Statistical Methods: General. General ; c18
Source:	EconStor

Persistent link: https://www.econbiz.de/10011460667