The informativeness of estimation moments
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The informativeness of estimation moments. / Honoré, Bo; Jørgensen, Thomas; de Paula, Áureo.
I: Journal of Applied Econometrics, Bind 35, Nr. 7, 2020, s. 797-813.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt
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TY - JOUR
T1 - The informativeness of estimation moments
AU - Honoré, Bo
AU - Jørgensen, Thomas
AU - de Paula, Áureo
PY - 2020
Y1 - 2020
N2 - 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.
AB - 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.
U2 - 10.1002/jae.2779
DO - 10.1002/jae.2779
M3 - Journal article
AN - SCOPUS:85088875496
VL - 35
SP - 797
EP - 813
JO - Journal of Applied Econometrics
JF - Journal of Applied Econometrics
SN - 0883-7252
IS - 7
ER -
ID: 252111369