Measuring the Sensitivity of Parameter Estimates to Estimation Moments

Previously circulated as "Measuring the Sensitivity of Parameter Estimates to Sample Statistics." Conversations with Kevin M. Murphy inspired and greatly improved this work. We are grateful also to Josh Angrist, Steve Berry, Alan Bester, Stephane Bonhomme, Dennis Carlton, Raj Chetty, Tim Conley, Ron Goettler, Brett Gordon, Phil Haile, Christian Hansen, Frank Kleibergen, Pat Kline, Mark Li, Asad Lodhia, Magne Mogstad, Adam McCloskey, Yaroslav Mukhin, Pepe Olea, Matt Taddy, E. Glen Weyl, and seminar audiences at Berkeley, Brown, Columbia, University of Chicago, Harvard, University of Michigan, MIT, NBER, Northwestern, NYU, Princeton, Stanford, University of Toronto, and Yale for advice and suggestions, and to our dedicated research assistants for important contributions to this project. We thank the following authors for their assistance in working with their code and data: Mariacristina De Nardi, Eric French, and John B. Jones; Stefano DellaVigna, John List, and Ulrike Malmendier; Ron Goettler and Brett Gordon; Pierre-Olivier Gourinchas and Jonathan Parker; Nathaniel Hendren; Chris Knittel and Konstantinos Metaxoglou; Michael Mazzeo; Boris Nikolov and Toni Whited; Greg Kaplan; and Amil Petrin. This research was funded in part by the Initiative on Global Markets, the George J. Stigler Center for the Study of the Economy and the State, the Ewing Marion Kauffman Foundation, the Centel Foundation / Robert P. Reuss Faculty Research Fund, the Neubauer Family Foundation, and the Kathryn C. Gould Research Fund, all at the University of Chicago Booth School of Business; the Alfred P. Sloan Foundation; the Silverman (1968) Family Career Development Chair at MIT; the Stanford Institute for Economic Policy Research; the Brown University Population Studies and Training Center; and the National Science Foundation. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

• Online Appendix

• November 11, 2014
• May 22, 2015
• November 21, 2016
• April 4, 2017