The Informativeness of Estimation Moments

  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)},
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… 

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