Poor (Wo)man's Bootstrap
Econometrica · 2017 · Volume 85 · Issue 4
Abstract
The bootstrap is a convenient tool for calculating standard errors of the parameter estimates 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 ofone-dimensionalparameters. We introduce the idea in the context of M and GMM estimators. A modification of the approach can be used to estimate the variance of two-step estimators.
Keywords
Standard error, bootstrap, inference, structural models, two-step estimation
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