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Journal Article

The informativeness of estimation moments

Authors

Publication date

Nov 2020

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.

Published in

Journal of Applied Econometrics

Volume and page numbers

35 , 797 -813

DOI

https://doi.org/10.1002/jae.2779

ISSN

16

Subjects

Pensions and Econometrics

Notes

Open Access; This is an open access article under the terms of the Creative Commons Attribution License, which permits use, distribution and reproduction in any medium, provided the original work is properly cited.

#526479


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