English

The purpose of an estimator is what it does: Misspecification, estimands, and over-identification

Econometrics 2026-02-23 v5 Methodology

Abstract

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.

Keywords

Cite

@article{arxiv.2508.13076,
  title  = {The purpose of an estimator is what it does: Misspecification, estimands, and over-identification},
  author = {Isaiah Andrews and Jiafeng Chen and Otavio Tecchio},
  journal= {arXiv preprint arXiv:2508.13076},
  year   = {2026}
}

Comments

to be published in Econometric Society Monographs, 2025 World Congress volumes: Volume 1, Chapter 8