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The Incredible Flexibility of Moment Matching

Authors: Isaiah Andrews; Bas Sanders;

The Incredible Flexibility of Moment Matching

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.<br><br>Institutional subscribers to the NBER working paper series, and residents of developing countries may download this paper without additional charge at <a href="http://www.nber.org/papers/&#119;35378" TARGET="_blank">www.nber.org</a>.<br>

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
0
Average
Average
Average
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