The informativeness of estimation moments

Bo Honoré, Thomas Jørgensen, Áureo de Paula

Research output: Contribution to journalArticle

Abstract

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 (US)
JournalJournal of Applied Econometrics
DOIs
StateAccepted/In press - 2020

All Science Journal Classification (ASJC) codes

  • Social Sciences (miscellaneous)
  • Economics and Econometrics

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