Easy bootstrap-like estimation of asymptotic variances

Publication Year
2018

Type

Journal Article
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.
Journal
Economics Letters
Volume
171
Pages
46 - 50
ISSN Number
0165-1765