MEASURING THE SENSITIVITY OF PARAMETER ESTIMATES TO ESTIMATION MOMENTS

• 成果类型: Article
• 署名作者: Andrews, Isaiah; Gentzkow, Matthew; Shapiro, Jesse M.
• 署名单位: Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Stanford University; Brown University
• 刊物名称: QUARTERLY JOURNAL OF ECONOMICS
• ISSN/ISSBN: 0033-5533
• DOI: 10.1093/qje/qjx023
• 发表日期: 2017
• 页码: 1553-1592
• 关键词: life-cycle; differentiated products; MARKET; models; POLICY; econometrics; consumption; prices; con

摘要

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.