Easy bootstrap-like estimation of asymptotic variances

Citation:

Honoré, Bo E., and Luojia Hu. 2018. “Easy bootstrap-like estimation of asymptotic variances.” Economics Letters 171: 46 - 50.

ISSN:

0165-1765

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.

Publisher's Version

DOI:

https://doi.org/10.1016/j.econlet.2018.07.002
Last updated on 01/19/2019