Measuring the Sensitivity of Parameter Estimates to Estimation Moments
Author(s)
Gentzkow, Matthew; Shapiro, Jesse M.; Andrews, Isaiah Smith
Downloadsensitivity.pdf (408.1Kb)
OPEN_ACCESS_POLICY
Open Access Policy
Creative Commons Attribution-Noncommercial-Share Alike
Terms of use
Metadata
Show full item recordAbstract
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. JEL Codes: C10, C52.
Date issued
2017-07Department
Massachusetts Institute of Technology. Department of EconomicsJournal
The Quarterly Journal of Economics
Publisher
Oxford University Press
Citation
Andrews, Isaiah, et al. “Measuring the Sensitivity of Parameter Estimates to Estimation Moments*.” The Quarterly Journal of Economics, vol. 132, no. 4, Nov. 2017, pp. 1553–92.
Version: Author's final manuscript
ISSN
0033-5533
1531-4650