Econometrica: Jul 2017, Volume 85, Issue 4
Poor (Wo)man's Bootstrap
DOI: 10.3982/ECTA13465
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.
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Supplemental Material
Supplement to "Poor (Wo)man’s Bootstrap"
This supplement contains the replication files for the manuscript.
Supplement to "Poor (Wo)man’s Bootstrap"
This appendix contains material not found within the manuscript.