Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

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.

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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.