The informativeness of estimation moments

Summary This paper introduces measures for how each moment contributes to the precision of parameter estimates in generalized method of moments settings. For example, one of the measures asks what would happen to the variance of the parameter estimates if a particular moment was dropped from the est...

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Bibliographic Details
Published inJournal of applied econometrics (Chichester, England) Vol. 35; no. 7; pp. 797 - 813
Main Authors Honoré, Bo, Jørgensen, Thomas, Paula, Áureo
Format Journal Article
LanguageEnglish
Published Chichester Wiley Periodicals Inc 01.11.2020
Subjects
Bivariate analysis
Complementarity
Decision making models
Econometrics
Generalized method of moments
Leisure
Mathematical models
Method of moments
Parameter estimation
Retirement
Retirement planning
Usefulness
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Summary:Summary This paper introduces measures for how each moment contributes to the precision of parameter estimates in generalized method of moments settings. For example, one of the measures asks what would happen to the variance of the parameter estimates if a particular moment was dropped from the estimation. The measures are all easy to compute. We illustrate the usefulness of the measures through two simple examples as well as an application to a model of joint retirement planning of couples. We estimate the model using the British Household Panel Survey, and we find evidence of complementarities in leisure. Our sensitivity measures illustrate that the estimate of the complementarity is primarily informed by the distribution of differences in planned retirement dates. The estimated econometric model can be interpreted as a bivariate ordered‐choice model that allows for simultaneity. This makes the model potentially useful in other applications.
ISSN:0883-7252
1099-1255
DOI:10.1002/jae.2779