The informativeness of estimation moments

Arbeitspapier

This paper introduces measures for how each moment contributes to the precision of parameter estimates in GMM 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 UK-BHPS, 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 di?erences 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.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: cemmap working paper ; No. CWP3/20

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Econometrics ; Estimation: General ; Multiple or Simultaneous Equation Models: Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions ; Nonwage Labor Costs and Benefits; Retirement Plans; Private Pensions
• Thema: Parameter Sensitivity ; GMM ; Ordered Models ; Retirement ; Externalities

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Honoré, Bo E. ; Jørgensen, Thomas H. ; Áureo de Paula
• Ereignis: Veröffentlichung
• (wer): Centre for Microdata Methods and Practice (cemmap)
• (wo): London
• (wann): 2020

Weitere Informationen

• DOI: doi:10.1920/wp.cem.2020320
• Handle: http://hdl.handle.net/10419/241878
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ