I run standard fixed effects regressions on a panel of aggregate firm level data (variables like average value added, average labor). I use the fixed effects that I estimate to simulate firm level data and apply the Simulated Method of Moments to estimate another parameter. How can I compute the standard errors of such parameter? Since I'm using estimated parameters (with an error term) to generate firm level data, the natural way should be bootstrap. However, I cannot "re-build" the starting panel because (with subsamples of firms). Is the delta method a possible way to compute the standard errors in my case? thank you!
You should be able to bootstrap data which has a panel structure.. Why exactly can you not "re-build" or, to stay in bootstrapping terms, "re-sample" the data and re-estimate the coefficients and generate a distribution for your coefficient of interest?