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The Incredible Flexibility of Moment Matching

Author

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  • Isaiah Andrews
  • Bas Sanders

Abstract

We ask how far the choice of which moments to match can push estimates in misspecified structural models. The answer is: very far. Under regularity conditions, an adversarial researcher informed about the data distribution can choose moments that render any parameter value the unique solution to the population moment-matching problem. Moreover, in many cases they can do so with little increase in model-implied standard errors relative to maximum likelihood. We illustrate both results in a menu-cost model.

Suggested Citation

  • Isaiah Andrews & Bas Sanders, 2026. "The Incredible Flexibility of Moment Matching," NBER Working Papers 35378, National Bureau of Economic Research, Inc.
    • Handle: RePEc:nbr:nberwo:35378
    Note: EFG IO ME
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    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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