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:	2015-03-04
Authors:	Honore, Bo E. ; Hu, Luojia
Institutions:	Federal Reserve Bank of Chicago
Subject:	bootstrap \| standard error \| inference \| structural models \| parametric estimation

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Extent:	application/pdf
Series:	Working Paper Series.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Working Paper Series Number WP-2015-1 38 pages
Classification:	C10 - Econometric and Statistical Methods: General. General ; c18
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011249447