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A fast resample method for parametric and semiparametric models

Timothy B. Armstrong, Marinho Bertanha and Han Hong

Journal of Econometrics, 2014, vol. 179, issue 2, 128-133

Abstract: We propose a fast resample method for two step nonlinear parametric and semiparametric models, which does not require recomputation of the second stage estimator during each resample iteration. The fast resample method directly exploits the score function representations computed on each bootstrap sample, thereby reducing computational time considerably. This method is used to approximate the limit distribution of parametric and semiparametric estimators, possibly simulation based, that admit an asymptotic linear representation. Monte Carlo experiments demonstrate the desirable performance and vast improvement in the numerical speed of the fast bootstrap method.

Keywords: Score function; Bootstrap; Subsampling; Nonlinear models (search for similar items in EconPapers)
JEL-codes: C12 C15 C22 C52 (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1016/j.jeconom.2014.01.001

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Journal of Econometrics is currently edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

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