Working Paper

Poor (Wo)man’s Bootstrap

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.

Keywords: bootstrap; standard error; inference; structural models; parametric estimation;

JEL Classification: C10; C18;

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Bibliographic Information

Provider: Federal Reserve Bank of Chicago

Part of Series: Working Paper Series

Publication Date: 2015-03-04

Number: WP-2015-1

Pages: 38 pages