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Poor (Wo)man’s Bootstrap

Author

Listed:
  • Bo E. Honore
  • Luojia Hu

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.

Suggested Citation

  • Bo E. Honore & Luojia Hu, 2015. "Poor (Wo)man’s Bootstrap," Working Paper Series WP-2015-1, Federal Reserve Bank of Chicago.
  • Handle: RePEc:fip:fedhwp:wp-2015-01
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    Cited by:

    1. Honoré, Bo E. & Hu, Luojia, 2018. "Easy bootstrap-like estimation of asymptotic variances," Economics Letters, Elsevier, vol. 171(C), pages 46-50.

    More about this item

    Keywords

    bootstrap; standard error; inference; structural models; parametric estimation;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General

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