Skills Data Science Robustness Program for Macroeconomic Research

Robustness Program for Macroeconomic Research

v20260724
aejmac-robustness
A comprehensive framework designed to rigorously test the stability of key macroeconomic findings. This program addresses potential biases arising from specification choices, sample periods (e.g., Great Moderation, ZLB, COVID breaks), and methodological variations (SVAR vs. LP). It ensures that the reported headline quantity remains robust even when challenged by a skeptical academic referee, providing a targeted defense rather than simply listing extra tables. Ideal for high-stakes empirical macro papers.
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Overview

Robustness Program (aejmac-robustness)

When to trigger

  • The headline number rests on one specification, one sample, one lag length, or one grid
  • A referee could ask "is this an artifact of [choice]?" and you have no panel of alternatives
  • The empirical IRF and the model-implied response are compared but only at the baseline
  • A structural/calibrated result has never been re-run under alternative targets

The AEJ: Macro robustness bar

Macro inference is fragile in characteristic ways: short effective samples, structural breaks (Great Moderation, ZLB, COVID), specification forks (lag length, detrending, prior, calibration target), and method dependence (SVAR vs. LP; perturbation vs. global). The AEJ: Macro robustness bar is to show the headline quantity survives the choices a skeptical macro referee would flip, and to be honest where it does not. Robustness is not a graveyard of extra tables — it is a targeted defense of the specific number the paper claims.

A macro robustness program (build the panel)

Empirical (SVAR / LP / narrative)

  • Sample splits: pre/post-1984 (Great Moderation), exclude/keep the ZLB period, exclude COVID; report whether the response is stable.
  • Specification: lag length, detrending/filtering choice (HP vs. one-sided vs. none), control set, levels vs. differences.
  • Method cross-check: if SVAR is baseline, corroborate with LP (and vice versa); agreement is strong evidence.
  • Inference: alternative HAC bandwidths / clustering; weak-instrument-robust bands for proxy-VAR/LP-IV.
  • Identification variants: alternative orderings / sign sets / instrument constructions.

Quantitative (DSGE / HANK / structural)

  • Alternative calibration targets and parameter ranges; show how the headline quantity moves.
  • Alternative solution method / accuracy (higher perturbation order, finer grid) where nonlinearity matters.
  • Alternative model elements (Taylor-rule coefficients, adjustment costs, market structure) the referee will name.
  • Estimation: alternative moments / priors; re-estimate on a subsample.

Cross-cutting

  • External validity: another country / dataset / period where the mechanism should also hold.
  • Placebo / falsification: a response that should be zero (pre-shock leads; a non-targeted series).

Reporting discipline

  • Lead with a one-paragraph summary of what is robust and what is not, then a compact robustness table/figure.
  • Keep the baseline number visible in every robustness exhibit so the reader sees the movement.
  • Put the bulk in the online appendix; main text carries the decisive checks only.
  • A spec-curve / multiverse plot is powerful for empirical macro when many forks exist.

Execution bridge (StatsPAI / Stata MCP)

Run the battery, don't just enumerate it. Full map: execution-with-mcp. AEJ: Macro mixes empirical and structural work — local projections (local_projections / irf) are in StatsPAI, but DSGE / calibration estimation is outside this causal-inference toolchain.

  • 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.

Checklist

  • The specific choices a referee would flip are enumerated
  • Sample splits across the relevant macro breaks (Great Moderation / ZLB / COVID)
  • Specification forks (lags, filtering, controls) tested with baseline shown alongside
  • Method cross-check (SVAR↔LP, or perturbation↔global) where both are plausible
  • Quantitative: alternative targets/parameters move the headline within a stated range
  • Placebo/falsification and at least one external-validity check
  • Honest statement of where the result weakens, not just where it holds

Anti-patterns

  • A wall of robustness tables that never restate the baseline, so movement is invisible
  • Testing only the choices that confirm the result; omitting the obvious adversarial fork
  • Ignoring the ZLB/COVID break in a sample that spans it
  • Claiming robustness from one alternative specification
  • Hiding a fragile headline behind a forest of irrelevant checks
  • "Available upon request" instead of an online-appendix robustness section

Worked vignette: is the fiscal multiplier a Great-Moderation artifact? (illustrative)

A paper reports a fiscal multiplier of 1.2 from a proxy-VAR on 1960–2019. A referee suspects it is driven by the volatile pre-1984 period. The robustness program: re-estimate on 1984–2019, exclude the ZLB years, and corroborate with local projections using the same narrative instrument. Suppose the multiplier is 1.2 full sample, 1.0 post-1984, 1.4 at the ZLB, all with overlapping bands, and the LP cross-check agrees within 0.1 — the paper then claims a multiplier "around 1.0–1.4 depending on the monetary regime," which is more credible and more interesting than the single number (illustrative).

Output format

【Headline quantity defended】... (baseline value)
【Empirical robustness】sample splits / specs / method cross-check / inference variants
【Quantitative robustness】alt targets / parameters / solution accuracy
【Placebo + external validity】...
【Where it weakens (honest)】...
【Next step】aejmac-tables-figures
Info
Category Data Science
Name aejmac-robustness
Version v20260724
Size 6.35KB
Updated At 2026-07-28
Language