| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP14298 |
| DP14298 The Informativeness of Estimation Moments | |
| Aureo de Paula | |
| 发表日期 | 2020-01-10 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Industrial Organization ; Public Economics |
| 关键词 | Parameter sensitivity Gmm Ordered models Retirement Externalities |
| URL | https://cepr.org/publications/dp14298 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/543189 |
| 推荐引用方式 GB/T 7714 | Aureo de Paula. DP14298 The Informativeness of Estimation Moments. 2020. |
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