aeja-robustness

Robustness Suite (aeja-robustness)

When to trigger

• The main estimate is in hand and you need to show it is not an artifact of one specification
• A referee asks "is this robust to [alternative controls / sample / functional form / inference]?"
• The result depends on a bandwidth, a clustering choice, or a sample-selection rule that could be questioned
• You suspect specification-search concerns and want to pre-empt them

The AEJ: Applied robustness bar

AEJ: Applied referees probe whether the headline number is stable, honestly inferred, and not the product of researcher degrees of freedom. Robustness here is not a wall of regressions — it is a targeted set of checks each tied to a specific threat to the design. Map every plausible objection to the one check that answers it, and report the checks so the reader sees the estimate barely moves.

| Threat to the result | The check that answers it |

|----------------------|---------------------------|

| Omitted confounders | Oster δ / coefficient-stability bounds; added controls in steps |

| Specification search | a specification curve / multiverse; pre-registered primary spec |

| Functional form | levels vs logs, alternative outcome definitions, nonparametric version |

| Sample selection | drop influential units, alternative inclusion rules, balanced vs unbalanced panel |

| Inference too narrow | clustered SEs at the right level, wild-cluster bootstrap (few clusters), randomization inference |

| Design-specific fragility | DID: honest-DID bounds; RD: bandwidth/donut; IV: weak-IV-robust set |

| Multiple outcomes/subgroups | Romano–Wolf / List–Shaikh–Wooldridge MHT adjustment |

Robustness craft

1. Lock the primary specification first. Everything else is a perturbation around it; do not present five co-equal specs and let the reader guess which is preferred.
2. One threat → one check. A robustness table should read as "here is the worry, here is the evidence it is not a problem."
3. Show stability, not just significance. The persuasive object is that the point estimate barely moves, not that it stays starred.
4. Be honest about where it weakens. A check that shifts the estimate is information; report it and bound the implication rather than hiding it.
5. Match inference to the data structure (clustering, spatial dependence, few clusters) — wrong SEs are the most common AEJ: Applied robustness failure.

Execution bridge (StatsPAI / Stata MCP)

Run the battery, don't just enumerate it. Full map:

[execution-with-mcp](../../../shared-resources/empirical-methods/execution-with-mcp.md). AEJ: Applied is applied microeconomics — labor, health, education, and development field settings where a clean research design is the entry ticket.

• Many outcomes / specifications: romano_wolf (step-down FWER, accounts for

cross-test correlation) or benjamini_hochberg — report the adjusted threshold.

• OVB sensitivity: oster_delta / sensemakr — the confounder strength that would

overturn the headline.

• Inference: wild_cluster_bootstrap (few clusters), twoway_cluster / conley.
• Re-fit off one handle: audit_result(result_id) lists the missing checks and the

exact suggest_function for each — no guessing the battery.

• Exhibits: etable / did_summary_to_latex from the handle — no retyped numbers.

Keep the decisive checks in the body and the exhaustive (now actually-run) battery in

the appendix. See the executed chain in the [JF execution walkthrough](../../../Journal-of-Finance-Skills/resources/worked-examples/02-execution-walkthrough.md).

Checklist

• [ ] Primary specification declared (ideally pre-registered) before perturbations
• [ ] Each robustness check mapped to a specific threat, not added for volume
• [ ] Coefficient-stability evidence (Oster δ or stepwise controls) for selection-on-unobservables
• [ ] Inference stress-tested: correct clustering level + wild-cluster/randomization inference where relevant
• [ ] Design-specific sensitivity included (honest-DID / RD bandwidth / weak-IV set)
• [ ] Multiple-hypothesis adjustment if many outcomes/subgroups
• [ ] Stability of the point estimate shown, and any check that moves it reported honestly

Anti-patterns

• A 20-column robustness table with no map from check to threat ("kitchen-sink robustness")
• Reporting only that significance survives while the point estimate wanders
• Hiding the specification that breaks the result
• Clustering at the wrong level or ignoring few-cluster bias, then claiming robustness
• Treating "added more controls and it survived" as sufficient for selection on unobservables
• Subgroup p-hacking with no MHT correction

Worked vignette (illustrative)

An IV estimate of the return to a training program is 0.11 (s.e. 0.04). The robustness suite: (i) effective F of 23 rules out weak instruments; (ii) the Anderson–Rubin 95% set is [0.04, 0.19], so inference is not weak-IV-fragile; (iii) Oster δ implies selection on unobservables would need to be 1.8× selection on observables to nullify it; (iv) wild-cluster bootstrap with 14 clusters keeps the CI away from zero; (v) dropping the largest region moves the estimate to 0.10. The point estimate barely moves — the AEJ: Applied target.

Referee pushback mapped to the robustness fix

• "This looks like specification search." → Declare the pre-registered or primary spec; show a

specification curve in which the point estimate barely moves.

• "Did you cluster correctly?" → Cluster at the assignment level; with few clusters report a wild-cluster

bootstrap or randomization-inference p-value.

• "Could selection on unobservables explain this?" → Report Oster δ; state how strong selection on

unobservables would have to be (relative to observables) to nullify the result.

Output format

【Primary spec】declared / pre-registered? [Y/N] — estimate: ___ (s.e. ___)
【Threat → check map】selection: ___ | spec-search: ___ | form: ___ | sample: ___ | inference: ___ | design: ___
【Inference】clustering level: ___; few-cluster/randomization: ___
【Design sensitivity】honest-DID / RD bandwidth / weak-IV set: ___
【Estimate stability】range across checks: [___, ___]; checks that move it: ___
【Next step】aeja-tables-figures