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The Informativeness of Estimation Moments

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  • Bo Honore
  • Thomas Jorgensen
  • Aureo de Paula

Abstract

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 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.

Suggested Citation

  • Bo Honore & Thomas Jorgensen & Aureo de Paula, 2019. "The Informativeness of Estimation Moments," Papers 1907.02101, arXiv.org, revised Jan 2020.
    • Handle: RePEc:arx:papers:1907.02101
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    2. García-Miralles, Esteban & Leganza, Jonathan M., 2024. "Joint retirement of couples: Evidence from discontinuities in Denmark," Journal of Public Economics, Elsevier, vol. 230(C).
    3. Katrine Jakobsen & Thomas H Jørgensen & Hamish Low, 2022. "Fertility and Family Labor Supply," Economics Series Working Papers 965, University of Oxford, Department of Economics.
    4. Aronsson, Thomas & Jenderny, Katharina & Lanot, Gauthier, 2022. "The quality of the estimators of the ETI," Journal of Public Economics, Elsevier, vol. 212(C).
    5. Maximilian Blesch & Philipp Eisenhauer, 2023. "Robust Decision-Making under Risk and Ambiguity," Rationality and Competition Discussion Paper Series 463, CRC TRR 190 Rationality and Competition.
    6. Maximilian Blesch & Philipp Eisenhauer, 2021. "Robust decision-making under risk and ambiguity," Papers 2104.12573, arXiv.org, revised Oct 2021.
    7. Maximilian Blesch & Philipp Eisenhauer, 2021. "Robust Decision-Making Under Risk and Ambiguity," ECONtribute Discussion Papers Series 104, University of Bonn and University of Cologne, Germany.

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    More about this item

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
    • J32 - Labor and Demographic Economics - - Wages, Compensation, and Labor Costs - - - Nonwage Labor Costs and Benefits; Retirement Plans; Private Pensions

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