The Informativeness of Estimation Moments

@article{dePaula2019TheIO,
  title={The Informativeness of Estimation Moments},
  author={{\'A}ureo de Paula and Thomas H{\o}gholm J{\o}rgensen and Bo E Honor{\'e}},
  journal={ERN: Model Construction \& Estimation (Topic)},
  year={2019}
}
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… 
View on SSRN
pure.au.dk
11 Citations
Background Citations
6
Methods Citations
2

11 Citations

On the Informativeness of Descriptive Statistics for Structural Estimates

We propose a way to formalize the relationship between descriptive analysis and structural estimation. A researcher reports an estimate ĉ of a structural quantity of interest c that is exactly or…

Structural Estimation Combining Micro and Macro Data

This paper introduces a novel approach for estimating heterogeneous-agent macroeconomic models adding information from micro data. The methodology covers both panels and repeated cross sections, with…

The quality of the estimators of the ETI

COMMENTS ON “ON THE INFORMATIVENESS OF DESCRIPTIVE STATISTICS FOR STRUCTURAL ESTIMATES”

In their excellent and simulating paper, Andrews, Gentzkow and Shapiro (2020; hereafter AGS20) propose a new measure of informativeness of descriptive statistics. Suppose the researcher considers a…

Sensitivity to Calibrated Parameters

Abstract A common approach to estimation of dynamic economic models is to calibrate a subset of model parameters and keep them fixed when estimating the remaining parameters. Calibrated parameters…

Joint Retirement of Couples: Evidence from Discontinuities in Denmark

We study how social security influences the retirement behavior of couples. First, we exploit over two decades of full-population data and a discontinuity design to document sizable retirement…

Robust decision-making under risk and ambiguity

Economists often estimate a subset of their model parameters outside the model and let the decision-makers inside the model treat these point estimates as-if they are correct. This practice ignores…

Structural Models: Inception and Frontier

We discuss the past, present and future of the structural approach in empirical microeconomics, starting with its inception in the 1970s and 1980s. Our focus is on the use of the structural approach…

Fertility and Family Labor Supply

We study the role of fertility adjustments for the labor market responsiveness of men and women. First, we use longitudinal Danish register data and tax reforms from 2009 to provide new empirical…

Capital Taxation and Entrepreneurship

Governments often give small business owners preferential tax treatment, with the aim of boosting entrepreneurial activity and growth. But these tax breaks are expensive, create horizontal inequities…

References

SHOWING 1-10 OF 36 REFERENCES

Measuring the Sensitivity of Parameter Estimates to Estimation Moments

We propose a local measure of the relationship between parameter estimates and the moments of the data they depend on. Our measure can be computed at negligible cost even for complex structural…

Minimizing Sensitivity to Model Misspecification

This work proposes a framework for estimation and inference about the parameters of an economic model and predictions based on it, when the model may be misspecified using a local asymptotic approach and derives formulas to construct estimators whose mean squared error is minimax in a neighborhood of the reference model.

Simple estimation of a duration model with unobserved heterogeneity

This paper presents a simple estimator of the shape parameter in a Weibull duration model with unobserved heterogeneity. The estimator is consistent and asymptotically normal under mild conditions,…

Sensitivity Analysis using Approximate Moment Condition Models

We consider inference in models defined by approximate moment conditions. We show that near‐optimal confidence intervals (CIs) can be formed by taking a generalized method of moments (GMM) estimator,…

Counterfactual Sensitivity and Robustness

This work recasts the infinite‐dimensional problem of optimizing the counterfactual with respect to the distribution of latent variables (subject to model constraints) as a finite‐dimensional convex program and develops an MPEC version of the method to further simplify computation in models with endogenous parameters defined by equilibrium constraints.

A new model for interdependent durations

This paper introduces a bivariate version of the generalized accelerated failure time model. It allows for simultaneity in the econometric sense that the two realized outcomes depend structurally on…

Small Sample Bias in GMM Estimation of Covariance Structures

We examine the small sample properties of the GMM estimator for models of covariance structures, where the technique is often referred to as the optimal minimum distance (OMD) estimator. We present a…

ESTIMATING NONLINEAR TIME-SERIES MODELS USING

SUMMARY This paper develops two new methods for conducting formal statistical inference in nonlinear dynamic economic models. The two methods require very little analytical tractability, relying…

Estimating Nonlinear Time-Series Models Using Simulated Vector Autoregressions

Two new methods for conducting formal statistical inference in nonlinear dynamic economic models are developed, one of which is asymptotically more efficient and the other less efficient.

The Joint Retirement Decision of Husbands and Wives

The objective of the paper is to find empirically whether husbands and wives tend to retire at the same time, and to give an explanation of the findings. Similarity of retirement dates could be…