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The Informativeness of Estimation Moments

de Paula, A; Honore, B; Jorgensen, T; (2020) The Informativeness of Estimation Moments. Journal of Applied Econometrics 10.1002/jae.2779. (In press). Green open access

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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.

Type: Article
Title: The Informativeness of Estimation Moments
Open access status: An open access version is available from UCL Discovery
DOI: 10.1002/jae.2779
Publisher version: https://doi.org/10.1002/jae.2779
Language: English
Additional information: © 2020 The Authors. Journal of Applied Econometrics published by John Wiley & Sons. This is an open access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
UCL classification: UCL
UCL > Provost and Vice Provost Offices
UCL > Provost and Vice Provost Offices > UCL SLASH
UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of S&HS
UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of S&HS > Dept of Economics
URI: https://discovery.ucl.ac.uk/id/eprint/10095186
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