Econometrica: Jul 2017, Volume 85, Issue 4

Poor (Wo)man's Bootstrap
p. 1277-1301

Bo E. Honoré, Luojia Hu

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.

Log In To View Full Content

Supplemental Material

Supplement to "Poor (Wo)man’s Bootstrap"

This supplement contains the replication files for the manuscript.

Read More View ZIP

Supplement to "Poor (Wo)man’s Bootstrap"

This appendix contains material not found within the manuscript.

Read More View PDF