The informativeness of estimation moments

Research output: Contribution to journalJournal articleResearchpeer-review

Documents

  • jae.2779

    Final published version, 1.44 MB, PDF document

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.

Original languageEnglish
JournalJournal of Applied Econometrics
Volume35
Issue number7
Pages (from-to)797-813
ISSN0883-7252
DOIs
Publication statusPublished - 2020

Number of downloads are based on statistics from Google Scholar and www.ku.dk


No data available

ID: 252111369