Measuring the Sensitivity of Parameter Estimates to Estimation Moments

By Isaiah Andrews, Matthew Gentzkow, Jesse M. Shapiro. 2017

270 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/02f9b09daa4b85eb2e7179494c98460c96ed316d

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In Economics and Econometrics

Citations in the corpus

Pre-Event Trends in the Panel Event-Study Design (2019, methodology): “If, in a given economic setting, we are concerned about failures of the exclusion restrictions in Assumption 1, we may apply existing approaches to adjust inference for plausible violations of moment conditions (e.g., Conley et al. 2012; Andrews et al. 2017).”
Best practices for differentiated products demand estimation with PyBLP (2020, methodology): “(98)We obtain the data from the replication package for Andrews et al. (2017) and obtain very similar results as this earlier replication. Following Berry et al. (1999), we replace the original article’s log(yi− pj) term with its first-order linear approximation pj/yi.”
Sensitivity analysis using approximate moment condition models (2018, methodology): “Because the weights k determine the local asymptotic bias of the estimator, Andrews et al. (2017) suggest referring to k as the sensitivity of ĥ.”
Stock Market Wealth and the Real Economy: A Local Labor Market Approach (2019, background): “In this section we provide evidence on which areas “drive” the results in the sense of Andrews et al. (2017).”
Minimizing Sensitivity to Model Misspecification (2018, background): “i=1 h(Yi, β0, γ∗) + oP0(n − 1 2 + ), (1)”
Notching R&D Investment with Corporate Income Tax Cuts in China (2018, unknown): “NOTE: This figure reports results of sensitivity analysis based on Andrews et al. (2017). We report the sensitivity matrix Λ, which captures how a local change in each moment affects the parameter estimates.”
The influence function of semiparametric estimators (2015, methodology): “The GMM sensitivity analysis of Andrews, Gentzkow, and Shapiro (2017) has precisely the form of equation (2.3), as will be discussed in Section 2.2.”
Counterfactual Sensitivity and Robustness (2019, methodology): “Our sensitivity measure is conceptually different from the local sensitivity measures proposed by Andrews, Gentzkow, and Shapiro (2017, 2018), which treat the model specification as given and quantify sensitivity of counterfactuals with respect to local misspecification of the moments used at the…”
The Origins of Firm Heterogeneity: A Production Network Approach (2019, background): “We use the methodology from Andrews et al. (2017).”