Easy bootstrap-like estimation of asymptotic variances

Bo E. Honoré and Luojia Hu

Economics Letters, 2018, vol. 171, issue C, 46-50

Abstract: The bootstrap is a convenient tool for calculating standard errors of the parameter estimates of complicated econometric models. Unfortunately, the bootstrap can be very time-consuming. In a recent paper, Honoré and Hu (2017), we propose a “Poor (Wo)man’s Bootstrap” based on one-dimensional estimators. In this paper, we propose a modified, simpler method and illustrate its potential for estimating asymptotic variances.

Keywords: Standard error; Bootstrap; Inference; Censored regression; Two-step estimation (search for similar items in EconPapers)
JEL-codes: C10 C15 C18 (search for similar items in EconPapers)
Date: 2018
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Working Paper: Easy Bootstrap-Like Estimation of Asymptotic Variances (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:171:y:2018:i:c:p:46-50

DOI: 10.1016/j.econlet.2018.07.002

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