技能 数据科学 宏观经济学稳健性检验程序

宏观经济学稳健性检验程序

v20260724
aejmac-robustness
本程序提供了一个全面的框架,用于严格检验宏观经济学关键结果的稳健性。它旨在解决由于规格选择、样本时期(如大平稳期、零利率下限、新冠疫情等结构性断裂)和方法学差异(如SVAR与局部投影)可能带来的偏差。其核心目标是确保报告的主要结论在面对质疑时依然可靠,是高水平实证宏观论文的必备环节。
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概览

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
信息
Category 数据科学
Name aejmac-robustness
版本 v20260724
大小 6.35KB
更新时间 2026-07-28
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