Qe Data Analysis

Data Analysis (qe-data-analysis)

When to trigger

• Estimation is running but you need a disciplined plan for moments, solvers, and inference
• Data cleaning / sample construction choices are undocumented or ad hoc
• A structural model's computation (value-function iteration, simulation, optimization) needs validation
• You want the analysis built so it passes the pre-acceptance ES Data Editor reproducibility check on the first try

QE expects analysis that is both credible and reproducible

QE is the Econometric Society's empirically/computationally oriented journal, so the analysis is judged on quantitative credibility and reproducibility together. The ES Data and Code Availability Policy (DCAS-compatible) means the ES Data Editor runs reproducibility checks before final acceptance: raw data, code, and documentation must regenerate every result in the paper and approved appendices. Build the analysis so this is true from the start, not retrofitted. House norms: report standard errors and confidence/coverage sets (no significance asterisks), and for long-running or hard-to-access computations ship simplified/manageable versions and summary output files (QE explicitly encourages this).

Analysis discipline by paper type

Structural / computational

• Solve cleanly: document the algorithm (VFI, policy iteration, projection), grids, tolerances, and convergence criteria.
• Estimate transparently: state the objective (MLE / GMM / MSM / indirect inference), the weighting matrix, starting values, and use multi-start to argue a global optimum.
• Validate: Monte Carlo recovery of known parameters; fit to targeted moments; untargeted-moment checks; sensitivity of estimates to moments.
• Counterfactuals: re-solve the model under the policy; report uncertainty around counterfactual quantities.

Empirical (applied micro / finance)

• Sample construction documented (inclusion rules, merges, missing-data handling) so it is reproducible.
• Match the estimator to the design (modern DID, IV, RDD — see qe-identification-strategy).
• Inference: cluster at the assignment level; wild-cluster bootstrap with few clusters; randomization inference where apt.

Experimental / simulation

• Pre-registered analysis followed; deviations reported. Seeds set and reported for any randomness.
• Document the DGP / experimental data pipeline end to end.

Reproducibility scaffolding (build as you go)

• One master script (run_all) regenerating every table and figure from raw inputs.
• Pin versions: renv.lock, requirements.txt/conda, Project.toml/Manifest.toml, recorded Stata ssc/net versions.
• Deterministic seeds; logged run times; a README noting any partial-check scope for the Data Editor.

Execution bridge (StatsPAI / Stata MCP)

Run the battery, don't just enumerate it. Full map: execution-with-mcp. Quantitative Economics spans structural and applied micro; the chain serves its reduced-form lane, structural estimation uses its own toolkit.

• Many outcomes / specifications: romano_wolf (step-down FWER) or benjamini_hochberg.
• OVB sensitivity: oster_delta / sensemakr.
• Inference: wild_cluster_bootstrap (few clusters), twoway_cluster / conley.
• Re-fit off one handle: audit_result(result_id) lists missing checks + the exact suggest_function for each.
• Exhibits: etable / did_summary_to_latex from the handle — no retyped numbers.

Decisive checks in the body, exhaustive battery in the appendix. JF execution walkthrough.

Checklist

• Sample / moment construction fully documented and scripted
• Structural: solver + tolerances + multi-start + Monte Carlo recovery reported
• Estimator matched to design; inference reported as SEs / coverage sets (no asterisks)
• Seeds set and reported; results bit-reproducible from raw data via one master script
• Heavy/long computations have manageable versions + summary outputs (QE encourages this)
• Environment pinned; README drafted for the ES Data Editor

Anti-patterns

• A single global optimum claimed from one start point with no multi-start check
• Undocumented data cleaning that cannot be reproduced
• Significance asterisks instead of standard errors / coverage sets
• Leaving the replication package to assemble at acceptance (the check is before acceptance)
• Non-deterministic results with no seed control

What QE referees probe in the quantitative core

The defining QE failure mode is numerical accuracy left unvalidated — a counterfactual reported to three digits the grid cannot support. Treat numerical error like sampling error: bound it and report it.

Worked vignette: an SMM estimate (illustrative)

A paper estimates an adjustment-cost parameter by simulated method of moments, targeting investment-rate variance and serial correlation. Suppose the headline counterfactual — removing a subsidy lowers aggregate investment 8% — shifts to 5% when the grid doubles from 100 to 200 capital nodes. That 3-point swing is a numerical artifact a referee will catch. Fix: refine the grid until the counterfactual is stable, show a global minimum across 50 starts, and attach a sensitivity matrix. (Illustrative.)

Referee pushback and the analysis fix

• "The structural estimates are not credibly identified." → Add a sensitivity matrix mapping parameters to moments; show targeted-moment fit and untargeted validation.
• "Numerical accuracy is not validated." → Report tolerances, a grid-refinement check, and stability to the digits shown.
• "Results are not robust to specification." → Re-estimate under alternative moments and sub-samples; tabulate the headline movement.

Output format

【Paper type】structural / empirical / experimental / simulation
【Estimation】objective + solver/tolerances + multi-start? [Y/N]
【Validation】Monte Carlo recovery / moment fit / design diagnostics
【Inference】SEs / coverage sets (no asterisks); clustering if any
【Reproducibility】master script + pinned env + seeds? [Y/N]
【Next step】qe-tables-figures

Source: brycewang-stanford/Awesome-Journal-Skills → Quantitative-Economics-Skills/skills/qe-data-analysis/SKILL.md