Working Paper

Easy Bootstrap-Like Estimation of Asymptotic Variances

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, Honor 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;

JEL Classification: C10; C15; C18;

Access Documents

File(s): File format is application/pdf
Description: Full text


Bibliographic Information

Provider: Federal Reserve Bank of Chicago

Part of Series: Working Paper Series

Publication Date: 2018-06-29

Number: WP-2018-11

Pages: 15 pages