On the Informativeness of Descriptive Statistics for Structural Estimates

Isaiah Andrews, Matthew Gentzkow, Jesse M. Shapiro

NBER Working Paper No. 25217
Issued in November 2018, Revised in June 2020
NBER Program(s):Development Economics, Industrial Organization, Public Economics, Technical Working Papers

We propose a way to formalize the relationship between descriptive analysis and structural estimation. A researcher reports an estimate ĉ of a structural quantity of interest c that is exactly or asymptotically unbiased under some base model. The researcher also reports descriptive statistics γ̂ that estimate features γ of the distribution of the data that are related to c under the base model. A reader entertains a less restrictive model that is local to the base model, under which the estimate ĉ may be biased. We study the reduction in worst-case bias from a restriction that requires the reader's model to respect the relationship between c and γ specified by the base model. Our main result shows that the proportional reduction in worst-case bias depends only on a quantity we call the informativeness of γ̂ for ĉ. Informativeness can be easily estimated even for complex models. We recommend that researchers report estimated informativeness alongside their descriptive analyses, and we illustrate with applications to three recent papers.

Acknowledgments and Disclosures

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Document Object Identifier (DOI): 10.3386/w25217