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Poor (Wo)man's Bootstrap

Author(s): Honoré, Bo E.; Hu, L

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Abstract: © 2017 The Econometric Society 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.
Publication Date: Jul-2017
Citation: Honoré, Bo E. and Hu, L. (2017). Poor (Wo)man's Bootstrap. Econometrica, 85 (4), 1277 - 1301. doi:10.3982/ECTA13465
DOI: doi:10.3982/ECTA13465
ISSN: 0012-9682
EISSN: 1468-0262
Pages: 1277 - 1301
Type of Material: Journal Article
Journal/Proceeding Title: Econometrica
Version: Final published version. Article is made available in OAR by the publisher's permission or policy.

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