Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5096132 | Journal of Econometrics | 2014 | 6 Pages |
Abstract
We propose a fast resample method for two step nonlinear parametric and semiparametric models, which does not require recomputation of the second stage estimator during each resample iteration. The fast resample method directly exploits the score function representations computed on each bootstrap sample, thereby reducing computational time considerably. This method is used to approximate the limit distribution of parametric and semiparametric estimators, possibly simulation based, that admit an asymptotic linear representation. Monte Carlo experiments demonstrate the desirable performance and vast improvement in the numerical speed of the fast bootstrap method.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Timothy B. Armstrong, Marinho Bertanha, Han Hong,