Downloads
![Image representing the file: CW0320-The-Informativeness-of-Estimation-Moments.pdf](/sites/default/files/output_url_files/CW0320-The-Informativeness-of-Estimation-Moments.pdf_0.jpg)
CW0320-The-Informativeness-of-Estimation-Moments.pdf
PDF | 512.16 KB
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.
Authors
![Aureo de Paula](/sites/default/files/styles/square_desktop/public/2022-05/Aureo_de_Paula.jpeg?itok=gruIBVe-)
Research Fellow University College London
Áureo is an applied econometrician with strong interests in both methodological and empirical questions, affiliated with UCL, Cemmap, IFS and CEPR.
![Person graphic](/sites/default/files/styles/square_desktop/public/2022-06/IFS-person-graphic.png?itok=hWCtTSrz)
Bo E. Honoré
Working Paper details
- DOI
- 10.1920/wp.cem.2020320
- Publisher
- The IFS
Suggested citation
More from IFS
Understand this issue
![School girls in Rajasthan](/sites/default/files/styles/square_desktop/public/2022-11/Schoolgirls-in-Rajasthan_0.jpg?itok=aboMI9Wt)
Gender norms, violence and adolescent girls’ trajectories: Evidence from India
24 October 2022
![Isabel Stockton](/sites/default/files/styles/square_desktop/public/2024-06/Isabel-public-finances.jpg?itok=JfdJNN7F)
What are the challenges in getting debt on a falling path?
28 June 2024
![Microphone](/sites/default/files/styles/square_desktop/public/2024-06/Microphone.jpg?itok=soM7Wvbz)
Election Special: Your questions answered
27 June 2024
Policy analysis
![Carl Emmerson](/sites/default/files/styles/square_desktop/public/2022-06/Carl_Emmerson.jpg?itok=6jM06LTY)
IFS Deputy Director Carl Emmerson appointed to the UK Statistics Authority Methodological Assurance Review Panel
14 April 2023
![Publication graphic](/sites/default/files/styles/portrait/public/2022-06/IFS-publication-graphic.png?itok=QoQz8AN4)
ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models
We develop novel methods for estimation and filtering of continuous-time models with stochastic volatility and jumps using so-called Approximate Bayesian Compu- tation which build likelihoods based on limited information.
12 August 2014
![Hospital](/sites/default/files/styles/square_desktop/public/2022-08/Hospital2.jpg?itok=Jt37JXbP)
Is there really an NHS productivity crisis?
17 November 2023
Academic research
![Working Paper Cover](/sites/default/files/styles/portrait/public/2024-05/CWP1124-Inference-for-rank-rank-regressions_Page_01.jpg?itok=iJl8Ja1B)
Inference for rank-rank regressions
28 May 2024
![Journal Article Cover](/sites/default/files/styles/portrait/public/2024-02/Fiscal%20Studies%20-%202024%20-%20%20-%20Issue%20Information_Page_1.jpg?itok=GfdQz4AB)
Understanding Society: minimising selection biases in data collection using mobile apps
2 February 2024
![Working paper cover](/sites/default/files/styles/portrait/public/2024-06/WP202428-The-impact-of%20labour-demand-shocks-when-occupational-labour-supplies-are-heterogeneous.jpg?itok=Erq9-V9O)
The impact of labour demand shocks when occupational labour supplies are heterogeneous
28 June 2024