The purpose of an estimator is what it does: Misspecification, estimands, and over-identification
Fuente:
arXiv
Salvato in:
| Autori principali: | , , |
|---|---|
| Natura: | Preprint |
| Pubblicazione: |
2025
|
| Soggetti: | |
| Accesso online: | |
| Tags: |
Aggiungi Tag
Nessun Tag, puoi essere il primo ad aggiungerne!!
|
| _version_ | 1866912915796262912 |
|---|---|
| author | Andrews, Isaiah Chen, Jiafeng Tecchio, Otavio |
| author_facet | Andrews, Isaiah Chen, Jiafeng Tecchio, Otavio |
| contents | In over-identified models, misspecification -- the norm rather than exception -- fundamentally changes what estimators estimate. Different estimators imply different estimands rather than different efficiency for the same target. A review of recent applications of generalized method of moments in the American Economic Review suggests widespread acceptance of this fact: There is little formal specification testing and widespread use of estimators that would be inefficient were the model correct, including the use of "hand-selected" moments and weighting matrices. Motivated by these observations, we review and synthesize recent results on estimation under model misspecification, providing guidelines for transparent and robust empirical research. We also provide a new theoretical result, showing that Hansen's J-statistic measures, asymptotically, the range of estimates achievable at a given standard error. Given the widespread use of inefficient estimators and the resulting researcher degrees of freedom, we thus particularly recommend the broader reporting of J-statistics. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2508_13076 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | The purpose of an estimator is what it does: Misspecification, estimands, and over-identification Andrews, Isaiah Chen, Jiafeng Tecchio, Otavio Econometrics Methodology In over-identified models, misspecification -- the norm rather than exception -- fundamentally changes what estimators estimate. Different estimators imply different estimands rather than different efficiency for the same target. A review of recent applications of generalized method of moments in the American Economic Review suggests widespread acceptance of this fact: There is little formal specification testing and widespread use of estimators that would be inefficient were the model correct, including the use of "hand-selected" moments and weighting matrices. Motivated by these observations, we review and synthesize recent results on estimation under model misspecification, providing guidelines for transparent and robust empirical research. We also provide a new theoretical result, showing that Hansen's J-statistic measures, asymptotically, the range of estimates achievable at a given standard error. Given the widespread use of inefficient estimators and the resulting researcher degrees of freedom, we thus particularly recommend the broader reporting of J-statistics. |
| title | The purpose of an estimator is what it does: Misspecification, estimands, and over-identification |
| topic | Econometrics Methodology |
| url | https://arxiv.org/abs/2508.13076 |