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REGSENSITIVITY: Stata module for regression sensitivity analysis

Author

Listed:
  • Paul Diegert

    (Duke University)

  • Matthew A. Masten

    (Duke University)

  • Alexandre Poirier

    (Georgetown University)

Programming Language

Stata

Abstract

This module provides a set of tools for analyzing the sensitivity of regression estimates to the presence of omitted variables. Specifically, it calculates bounds on regression coefficients by relaxing the assumption that the omitted variables are uncorrelated with the included variable of interest. Bounds are calculated for a range of alternative assumptions about the omitted variables. The module also performs breakdown analysis for hypotheses about these regression coefficients. This analysis tells us how much we can relax the exogeneity assumption before a hypothesis about the regression coefficient of interest is overturned. The module also provides tools to visualize the results.

Suggested Citation

  • Paul Diegert & Matthew A. Masten & Alexandre Poirier, 2022. "REGSENSITIVITY: Stata module for regression sensitivity analysis," Statistical Software Components S459088, Boston College Department of Economics, revised 07 Aug 2022.
    • Handle: RePEc:boc:bocode:s459088
    Note: This module should be installed from within Stata by typing "ssc install regsensitivity". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/r/regsensitivity.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/r/regsensitivity.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/r/regsensitivity_plot.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/r/regsensitivity_breakdown.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/r/regsensitivity_bounds.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/r/regsen.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/r/regsen.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/_/_regsen_write_tuples.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/_/_regsen_write_table_header.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/_/_regsen_write_scalar_table.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/_/_regsen_idset_plot.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/_/_regsen_display.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/_/_regsen_breakfront_plot.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/b/bfg2020.dta
    File Function: sample data file
    Download Restriction: no
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