Arbeitspapier
Easy bootstrap-like estimation of asymptotic variances
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.
- Language
-
Englisch
- Bibliographic citation
-
Series: Working Paper ; No. 2018-11
- Classification
-
Wirtschaft
Econometric and Statistical Methods and Methodology: General
Methodological Issues: General
Statistical Simulation Methods: General
- Subject
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standard error
bootstrap
inference
censored regression
two-step estimation
- Event
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Geistige Schöpfung
- (who)
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Honoré, Bo E.
Hu, Luojia
- Event
-
Veröffentlichung
- (who)
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Federal Reserve Bank of Chicago
- (where)
-
Chicago, IL
- (when)
-
2018
- DOI
-
doi:10.21033/wp-2018-11
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Honoré, Bo E.
- Hu, Luojia
- Federal Reserve Bank of Chicago
Time of origin
- 2018
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