The Incredible Flexibility of Moment Matching

Isaiah Andrews and Bas Sanders

No 35378, NBER Working Papers from National Bureau of Economic Research, Inc

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.

JEL-codes: C13 C18 C51 (search for similar items in EconPapers)
Date: 2026-06
Note: EFG IO ME
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