Unobservable Selection and Coefficient Stability: Theory and Evidence
Unobservable Selection and Coefficient Stability: Theory and Evidence
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DOI：
10.1080/07350015.2016.1227711
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发表时间：
2019-04-03
影响因子：
3
通讯作者：
Oster, Emily
中科院分区：
文献类型：
--
作者：
Oster, Emily
评估遗漏变量偏差稳健性的常用方法是观察纳入对照后的系数变化。仅当可观察量的选择对于不可观察量的选择提供信息时，这才是信息性的。尽管这种联系在现有文献中在理论上是已知的，但很少有实证文章正式探讨这一点。我发展了该理论的扩展，将偏差明确地与系数稳定性联系起来。我表明有必要考虑系数和 R 平方运动。我提出了一个正式的边界论证。我展示了两个验证练习并讨论了在经济学文献中的应用。本文的补充材料可在线获取。
A common approach to evaluating robustness to omitted variable bias is to observe coefficient movements after inclusion of controls. This is informative only if selection on observables is informative about selection on unobservables. Although this link is known in theory in existing literature, very few empirical articles approach this formally. I develop an extension of the theory that connects bias explicitly to coefficient stability. I show that it is necessary to take into account coefficient and R-squared movements. I develop a formal bounding argument. I show two validation exercises and discuss application to the economics literature. Supplementary materials for this article are available online.