The informativeness of estimation moments
The informativeness of estimation moments
复制标题
估计矩的信息量
DOI：
10.1002/jae.2779
复制
发表时间：
2020
影响因子：
2.1
通讯作者：
Paula, Áureo
中科院分区：
文献类型：
--
作者：
Honoré, Bo;Jørgensen, Thomas;Paula, Áureo
本文介绍了如何在GMM设置每个时刻有助于参数估计精度的措施。例如，其中一个度量询问如果从估计中删除特定时刻，参数估计的方差会发生什么情况。这些措施都很容易计算。我们通过两个简单的例子说明了措施的实用性，以及夫妻联合退休规划模型的应用。我们估计模型使用UK-BHPS，我们发现的证据，在休闲互补性。我们的敏感性措施表明，估计的互补性主要是由计划退休日期的差异分布。估计的计量经济学模型可以解释为一个双变量有序选择模型，考虑到随机性。这使得该模型在其他应用中可能有用。
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.