Robustness Battery

Robustness Battery

Standardized referee-anticipating robustness sweep for any headline coefficient.

Inputs (ask the user)

• Main spec do-file or script (path).
• Dependent variable and key regressor(s) to track.
• Headline coefficient sign + p-value to test stability against.

Variants to run (5 families × ≥1 each)

1. Estimator — OLS, Gassen-Veenman M-est, MM-est, Poisson (if outcome non-negative), LP-DiD or stacked DiD (if event-time).
2. Sample — drop top/bottom 1% of outcome, drop largest 1% by size, balanced panel only, alt time window (e.g., pre-COVID), drop singleton FE groups.
3. Controls — none, firm FE only, firm + year FE, firm + industry-year FE, plus bank- or lender-level controls.
4. Weights — unweighted, WLS by inverse propensity, WLS by firm size.
5. Clustering — primary (firm), two-way (firm + year), two-way (firm + bank/lender), bootstrap SEs.

Aim for ≥ 5 variants per headline coefficient.

Fast-grid mode (default when the user names the variants)

When the user asks for "the grid in one pass," run the main spec plus these six columns together, in a single pass, and return one comparison table with coef, SE, and N per column:

1. Baseline, firm-clustered
2. Industry × year FE
3. Rating × year FE
4. 90% CI (report the interval, not just stars)
5. Contemporaneous treatment measure
6. Domestic-only subsample

Rules for this mode:

• Never silently drop a failing spec. If a column errors (r(504), collinearity, time-invariant regressor, empty sample), keep the column in the table and write the failure reason in its cell. Report the Stata error code verbatim.
• State the exact main spec back to the user — LHS, RHS, FE set, sample filter, clustering — before running anything.
• One pass means one batch: don't hand back column 1 and wait for a follow-up asking for column 2.

Execution

For each variant, write a small Stata or Python wrapper that:

• Loads the same data the main spec uses.
• Applies only the variant's modification.
• Estimates the model.
• Appends one row to results/robustness_results.csv with columns: family, variant, coef, se, t, p, n, pass_sign, pass_sig.

Run variants in parallel where independent (e.g., xargs -P 4 over Stata batch mode, or asyncio over Python).

Output

1. results/robustness_results.csv — full raw results.
2. results/appendix_robustness.tex — esttab/booktabs table grouped by family.
3. results/robustness_forest.png — coefficient stability forest plot, headline overlaid as vertical line.
4. Short summary (≤ 8 lines): how many variants pass sign, how many pass significance, and any flagged spec where the headline breaks (name the variant).

Stopping rule

Stop only when every tracked coefficient has ≥ 5 variants AND every variant either:

• Passes both sign and significance, OR
• Has been explicitly noted in the summary with a sentence on why it differs.

Notes

• Do NOT paste full tables into chat. Write to results/ and link the path.
• If a variant runs > 30 minutes, send it to background and report job ID.