The informativeness of estimation moments

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Standard

The informativeness of estimation moments. / Honoré, Bo; Jørgensen, Thomas; de Paula, Áureo.

In: Journal of Applied Econometrics, Vol. 35, No. 7, 2020, p. 797-813.

Research output: Contribution to journal › Journal article › Research › peer-review

Harvard

Honoré, B, Jørgensen, T & de Paula, Á 2020, 'The informativeness of estimation moments', Journal of Applied Econometrics, vol. 35, no. 7, pp. 797-813. https://doi.org/10.1002/jae.2779

APA

Honoré, B., Jørgensen, T., & de Paula, Á. (2020). The informativeness of estimation moments. Journal of Applied Econometrics, 35(7), 797-813. https://doi.org/10.1002/jae.2779

Vancouver

Honoré B, Jørgensen T, de Paula Á. The informativeness of estimation moments. Journal of Applied Econometrics. 2020;35(7):797-813. https://doi.org/10.1002/jae.2779

Author

Honoré, Bo ; Jørgensen, Thomas ; de Paula, Áureo. / The informativeness of estimation moments. In: Journal of Applied Econometrics. 2020 ; Vol. 35, No. 7. pp. 797-813.

Bibtex

@article{d252888a6a0c472bb258e1d9e414f003,
title = "The informativeness of estimation moments",
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.",
author = "Bo Honor{\'e} and Thomas J{\o}rgensen and {de Paula}, {\'A}ureo",
year = "2020",
doi = "10.1002/jae.2779",
language = "English",
volume = "35",
pages = "797--813",
journal = "Journal of Applied Econometrics",
issn = "0883-7252",
publisher = "JohnWiley & Sons Ltd",
number = "7",

}

RIS

TY - JOUR

T1 - The informativeness of estimation moments

AU - Honoré, Bo

AU - Jørgensen, Thomas

AU - de Paula, Áureo

PY - 2020

Y1 - 2020

N2 - 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.

AB - 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.

U2 - 10.1002/jae.2779

DO - 10.1002/jae.2779

M3 - Journal article

AN - SCOPUS:85088875496

VL - 35

SP - 797

EP - 813

JO - Journal of Applied Econometrics

JF - Journal of Applied Econometrics

SN - 0883-7252

IS - 7

ER -

ID: 252111369