Measuring the Sensitivity of Parameter Estimates to Estimation Moments ∗

@inproceedings{Andrews2017MeasuringTS,
  title={Measuring the Sensitivity of Parameter Estimates to Estimation Moments ∗},
  author={Isaiah Andrews and Matthew Gentzkow and Jesse M. Shapiro},
  year={2017}
}
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… CONTINUE READING
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