The Department of Economics presents a Joint Applied Microeconomics - Econometrics Seminar
"Robustness Checks and Robustness Tests in Applied Economics"
with Hal White, UCSD
Wednesday, May 18, 2011
Social Science Plaza A, Room 2112 (IMBS Seminar Room)
A common exercise in empirical studies is a "robustness check," where the researcher examines how certain "core" regression coefficient estimates behave when the regression specification is modified by adding or removing regressors. If the coefficients are plausible and robust, this is commonly interpreted as evidence of structural validity. In this talk, Whilte will address when and how one can infer structural validity from coefficient robustness and plausibility. He finds there are numerous pitfalls, as commonly implemented robustness checks give neither necessary nor sufficient evidence for structural validity. Indeed, if not conducted properly, robustness checks can be completely uninformative or entirely misleading. He will discuss how critical and non-critical core variables can be properly specified and how non- core variables for the comparison regression can be chosen to ensure that robustness checks are indeed structurally informative. He will provide a straightforward new Hausman (1978)-type test of robustness for the critical core coefficients, additional diagnostics that can help explain why robustness test rejection occurs, and a new estimator, the Feasible Optimally combined GLS (FOGLeSs) estimator, that makes relatively efficient use of the robustness check regressions. A new procedure for Matlab, testrob, embodies these methods.
For further information, please contact Gloria Simpson, email@example.com.