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Measuring the Sensitivity of Parameter Estimates to Estimation Moments

Author

Listed:
  • Isaiah Andrews
  • Matthew Gentzkow
  • Jesse M. Shapiro

Abstract

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 models. We argue that reporting this measure can increase the transparency of structural estimates, making it easier for readers to predict the way violations of identifying assumptions would affect the results. When the key assumptions are orthogonality between error terms and excluded instruments, we show that our measure provides a natural extension of the omitted variables bias formula for nonlinear models. We illustrate with applications to published articles in several fields of economics.

Suggested Citation

  • Isaiah Andrews & Matthew Gentzkow & Jesse M. Shapiro, 2017. "Measuring the Sensitivity of Parameter Estimates to Estimation Moments," The Quarterly Journal of Economics, Oxford University Press, vol. 132(4), pages 1553-1592.
  • Handle: RePEc:oup:qjecon:v:132:y:2017:i:4:p:1553-1592.
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    Cited by:

    1. Durrmeyer, Isis, 2018. "Winners and Losers: The Distributional Effects of the French Feebate on the Automobile Market," TSE Working Papers 18-950, Toulouse School of Economics (TSE).
    2. Sweeting, Andrew & Bhattacharya, Vivek, 2015. "Selective entry and auction design," International Journal of Industrial Organization, Elsevier, vol. 43(C), pages 189-207.
    3. Timothy B. Armstrong & Michal Kolesár, 2018. "Sensitivity Analysis using Approximate Moment Condition Models," Cowles Foundation Discussion Papers 2158R, Cowles Foundation for Research in Economics, Yale University, revised Feb 2019.
    4. Ben Deaner, 2019. "Nonparametric Instrumental Variables Estimation Under Misspecification," Papers 1901.01241, arXiv.org, revised Aug 2019.
    5. Jungbin Hwang & Byunghoon Kang & Seojeong Lee, 2019. "A Doubly Corrected Robust Variance Estimator for Linear GMM," Papers 1908.07821, arXiv.org.
    6. Frydman, Carola & Papanikolaou, Dimitris, 2018. "In search of ideas: Technological innovation and executive pay inequality," Journal of Financial Economics, Elsevier, vol. 130(1), pages 1-24.
    7. Timothy B. Armstrong & Michal Kolesár, 2018. "Sensitivity Analysis using Approximate Moment Condition Models," Cowles Foundation Discussion Papers 2158, Cowles Foundation for Research in Economics, Yale University.
    8. Timothy B. Armstrong & Michal Koles'ar, 2018. "Sensitivity Analysis using Approximate Moment Condition Models," Papers 1808.07387, arXiv.org, revised Feb 2019.
    9. Gabriel Chodorow-Reich & Alp Simsek & Plamen Nenov, 2019. "Stock Market Wealth and the Real Economy: A Local Labor Market Approach," 2019 Meeting Papers 1240, Society for Economic Dynamics.
    10. Farhi, Emmanuel & Gourio, Francois, 2018. "Accounting for Macro-Finance Trends: Market Power, Intangibles, and Risk Premia," Working Paper Series WP-2018-19, Federal Reserve Bank of Chicago.
    11. Steffen Andersen & Alec Brandon & Uri Gneezy & John List, 2014. "Toward an Understanding of Reference-Dependent Labor Supply: Theory and Evidence from a Field Experiment," Framed Field Experiments 00392, The Field Experiments Website.
    12. Arthur Lewbel, 2018. "The Identification Zoo - Meanings of Identification in Econometrics," Boston College Working Papers in Economics 957, Boston College Department of Economics.
    13. Hector Perez-Saiz, 2015. "Building new plants or entering by acquisition? Firm heterogeneity and entry barriers in the U.S. cement industry," RAND Journal of Economics, RAND Corporation, vol. 46(3), pages 625-649, September.
    14. Byunghoon Kang, 2018. "Higher Order Approximation of IV Estimators with Invalid Instruments," Working Papers 257105320, Lancaster University Management School, Economics Department.
    15. repec:eee:dyncon:v:99:y:2019:i:c:p:54-81 is not listed on IDEAS
    16. repec:oup:revfin:v:23:y:2019:i:2:p:279-323. is not listed on IDEAS

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    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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