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.

中文翻译：

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估计矩的信息量

本文介绍了每个时刻如何对 GMM 设置中参数估计的精度做出贡献的度量。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。这些措施都很容易计算。我们通过两个简单的例子以及对夫妻共同退休计划模型的应用来说明这些措施的实用性。我们使用 UK-BHPS 估计模型，我们发现了休闲互补的证据。我们的敏感性措施表明，互补性的估计主要取决于计划退休日期差异的分布。估计的计量经济模型可以解释为允许同时性的双变量有序选择模型。