Poor (Wo)man’s Bootstrap

Bo E. Honore and Luojia Hu

No WP-2015-1, Working Paper Series from Federal Reserve Bank of Chicago

Abstract: 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.

Keywords: bootstrap; standard error; inference; structural models; parametric estimation (search for similar items in EconPapers)
JEL-codes: C10 C18 (search for similar items in EconPapers)
Pages: 38 pages
Date: 2015-03-04
New Economics Papers: this item is included in nep-ecm and nep-hpe
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Journal Article: Poor (Wo)man's Bootstrap (2017)
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