IDEAS home Printed from https://ideas.repec.org/p/ifs/cemmap/36-19.html
   My bibliography  Save this paper

Sensitivity of Estimation Precision to Moments with an Application to a Model of Joint Retirement Planning of Couples

Author

Listed:
  • Bo E. Honoré

    (Institute for Fiscal Studies and Princeton)

  • Thomas Jorgensen

    (Institute for Fiscal Studies and University of Copenhagen)

  • Áureo de Paula

    (Institute for Fiscal Studies and University College London)

Abstract

This paper introduces measures for how each moment contributes to the precision of the 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 ?nd evidence of complementarities in leisure. Our sensitivity measures illustrate that the precision of the estimate of the complementarity is primarily driven by the distribution of the di?erences 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.

Suggested Citation

  • Bo E. Honoré & Thomas Jorgensen & Áureo de Paula, 2019. "Sensitivity of Estimation Precision to Moments with an Application to a Model of Joint Retirement Planning of Couples," CeMMAP working papers CWP36/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    • Handle: RePEc:ifs:cemmap:36/19
    as

    Download full text from publisher

    File URL: https://www.ifs.org.uk/uploads/CW3619_Sensitivity_of_Estimation_Precision_to_Moments_with_an_Application_to_a_Model_of_Joint_Retirement_Planning_of_Couples.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
    2. Jinyong Hahn, 1994. "The Efficiency Bound of the Mixed Proportional Hazard Model," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 61(4), pages 607-629.
    3. Blau, David M, 1998. "Labor Force Dynamics of Older Married Couples," Journal of Labor Economics, University of Chicago Press, vol. 16(3), pages 595-629, July.
    4. St'ephane Bonhomme & Martin Weidner, 2018. "Minimizing Sensitivity to Model Misspecification," Papers 1807.02161, arXiv.org, revised Oct 2021.
    5. Amy Mehraban Pienta & Mark D. Hayward, 2002. "Who Expects to Continue Working After Age 62? The Retirement Plans of Couples," The Journals of Gerontology: Series B, The Gerontological Society of America, vol. 57(4), pages 199-208.
    6. David M. Blau & Donna B. Gilleskie, 2006. "Health insurance and retirement of married couples," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(7), pages 935-953, November.
    7. Michael D. Hurd, 1990. "The Joint Retirement Decision of Husbands and Wives," NBER Chapters, in: Issues in the Economics of Aging, pages 231-258, National Bureau of Economic Research, Inc.
    8. David A. Wise, 1990. "Issues in the Economics of Aging," NBER Books, National Bureau of Economic Research, Inc, number wise90-1.
    9. Andries de Grip & Didier Fouarge & Raymond Montizaan, 2013. "How Sensitive are Individual Retirement Expectations to Raising the Retirement Age?," De Economist, Springer, vol. 161(3), pages 225-251, September.
    10. Isaiah Andrews & Matthew Gentzkow & Jesse M. Shapiro, 2017. "Measuring the Sensitivity of Parameter Estimates to Estimation Moments," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 132(4), pages 1553-1592.
    11. Jonathan Gruber & David A. Wise, 2004. "Social Security Programs and Retirement around the World: Micro-Estimation," NBER Books, National Bureau of Economic Research, Inc, number grub04-1.
    12. Browning,Martin & Chiappori,Pierre-André & Weiss,Yoram, 2014. "Economics of the Family," Cambridge Books, Cambridge University Press, number 9780521795395, September.
    13. Gustman, Alan L & Steinmeier, Thomas L, 2000. "Retirement in Dual-Career Families: A Structural Model," Journal of Labor Economics, University of Chicago Press, vol. 18(3), pages 503-545, July.
    14. Mark Y. An & Bent Jesper Christensen & Nabanita Datta Gupta, 2004. "Multivariate mixed proportional hazard modelling of the joint retirement of married couples," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(6), pages 687-704.
    15. van der Klaauw, Wilbert & Wolpin, Kenneth I., 2008. "Social security and the retirement and savings behavior of low-income households," Journal of Econometrics, Elsevier, vol. 145(1-2), pages 21-42, July.
    16. Bo E. Honoré & Áureo de Paula, 2018. "A new model for interdependent durations," Quantitative Economics, Econometric Society, vol. 9(3), pages 1299-1333, November.
    17. Zhiyang Jia, 2005. "Labor Supply of Retiring Couples and Heterogeneity in Household Decision-Making Structure," Review of Economics of the Household, Springer, vol. 3(2), pages 215-233, June.
    18. Richard Blundell & Costas Meghir & Sarah Smith, 2004. "Pension Incentives and the Pattern of Retirement in the United Kingdom," NBER Chapters, in: Social Security Programs and Retirement around the World: Micro-Estimation, pages 643-690, National Bureau of Economic Research, Inc.
    19. Jonathan Cribb & Carl Emmerson & Gemma Tetlow, 2013. "Incentives, shocks or signals: labour supply effects of increasing the female state pension age in the UK," IFS Working Papers W13/03, Institute for Fiscal Studies.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Bo Honoré & Thomas Jørgensen & Áureo de Paula, 2020. "The informativeness of estimation moments," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(7), pages 797-813, November.
    2. Lalive, Rafael & Parrotta, Pierpaolo, 2017. "How does pension eligibility affect labor supply in couples?," Labour Economics, Elsevier, vol. 46(C), pages 177-188.
    3. Blundell, R. & French, E. & Tetlow, G., 2016. "Retirement Incentives and Labor Supply," Handbook of the Economics of Population Aging, in: Piggott, John & Woodland, Alan (ed.), Handbook of the Economics of Population Aging, edition 1, volume 1, chapter 0, pages 457-566, Elsevier.
    4. Stancanelli, Elena G. F., 2016. "Couples' Retirement under Individual Pension Design: A Regression Discontinuity Study for France," IZA Discussion Papers 10322, Institute of Labor Economics (IZA).
    5. Håkan Selin, 2017. "What happens to the husband’s retirement decision when the wife’s retirement incentives change?," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 24(3), pages 432-458, June.
    6. Warren, Diana A., 2015. "Retirement decisions of couples in Australia: The impact of spousal characteristics and preferences," The Journal of the Economics of Ageing, Elsevier, vol. 6(C), pages 149-162.
    7. García-Miralles, Esteban & Leganza, Jonathan M., 2024. "Joint retirement of couples: Evidence from discontinuities in Denmark," Journal of Public Economics, Elsevier, vol. 230(C).
    8. Benitez-Silva, Hugo & Dwyer, Debra S., 2006. "Expectation formation of older married couples and the rational expectations hypothesis," Labour Economics, Elsevier, vol. 13(2), pages 191-218, April.
    9. Monika Bütler & Olivia Huguenin & Federica Teppa, 2005. "Why Forcing People to Save for Retirement May Backfire," University of St. Gallen Department of Economics working paper series 2005 2005-09, Department of Economics, University of St. Gallen.
    10. Monika Bütler & Olivia Huguenin & Federica Teppa, 2005. "Why Forcing People to Save Retirement May Backfire," Cahiers de Recherches Economiques du Département d'économie 05.05, Université de Lausanne, Faculté des HEC, Département d’économie.
    11. Bo E. Honoré & Áureo de Paula, 2016. "A new model for interdependent durations with an application to joint retirement," CeMMAP working papers CWP07/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    12. Monika Riedel & Helmut Hofer & Birgit Wögerbauer, 2015. "Determinants for the transition from work into retirement in Europe," IZA Journal of European Labor Studies, Springer;Forschungsinstitut zur Zukunft der Arbeit GmbH (IZA), vol. 4(1), pages 1-19, December.
    13. Tracy A. Falba & William T. Gallo & Jody L. Sindelar, 2008. "Work Expectations, Realizations, and Depression in Older Workers," NBER Working Papers 14435, National Bureau of Economic Research, Inc.
    14. Marco Bertoni & Giorgio Brunello, 2014. "Pappa Ante Portas: The Retired Husband Syndrome in Japan," "Marco Fanno" Working Papers 0182, Dipartimento di Scienze Economiche "Marco Fanno".
    15. Merkurieva, Irina, 2023. "Retirement coordination and leisure complementarity," Labour Economics, Elsevier, vol. 85(C).
    16. Diana Warren, 2013. "Retirement Decisions of Couples: The Impact of Spousal Characteristics and Preferences on the Timing of Retirement," Melbourne Institute Working Paper Series wp2013n41, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    17. Blau, David M. & Riphahn, Regina T., 1999. "Labor force transitions of older married couples in Germany," Labour Economics, Elsevier, vol. 6(2), pages 229-252, June.
    18. Alicia H. Munnell & Steven A. Sass, 2007. "The Labor Supply of Older Americans," Working Papers, Center for Retirement Research at Boston College wp2007-12, Center for Retirement Research, revised Jun 2007.
    19. Etgeton, Stefan & Fischer, Björn & Ye, Han, 2023. "The effect of increasing retirement age on households’ savings and consumption expenditure," Journal of Public Economics, Elsevier, vol. 221(C).
    20. Bütler, Monika & Huguenin, Olivia & Teppa, Federica, 2004. "What Triggers Early Retirement? Results from Swiss Pension Funds," CEPR Discussion Papers 4394, C.E.P.R. Discussion Papers.

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ifs:cemmap:36/19. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Emma Hyman (email available below). General contact details of provider: https://edirc.repec.org/data/cmifsuk.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.