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.
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Provider: Federal Reserve Bank of Chicago
Part of Series: Working Paper Series
Publication Date: 2018-06-29