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

JEL Classification: C10; C18;

Access Documents

File(s): File format is application/pdf https://www.chicagofed.org/~/media/publications/working-papers/2015/wp2015-01-pdf.pdf
Description: Full text

Authors

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