An Automatic Finite-Sample Robustness Metric: Can Dropping a Little Data Change Conclusions?

Abstract: We propose a method to assess the sensitivity of econometric analyses to the removal of a small fraction of the sample. Analyzing all possible data subsets of a certain size is computationally prohibitive, so we provide a finite-sample metric to approximately compute the number (or fraction) of observations that has the greatest influence on a given result when dropped. We call our resulting metric the Approximate Maximum Influence Perturbation. Our approximation is automatically computable and works for common estimators (including OLS, IV, GMM, MLE, and variational Bayes). We provide explicit finite-sample error bounds on our approximation for linear and instrumental variables regressions. At minimal computational cost, our metric provides an exact finite-sample lower bound on sensitivity for any estimator, so any non-robustness our metric finds is conclusive. We demonstrate that the Approximate Maximum Influence Perturbation is driven by a low signal-to-noise ratio in the inference problem, is not reflected in standard errors, does not disappear asymptotically, and is not a product of misspecification. Several empirical applications show that even 2-parameter linear regression analyses of randomized trials can be highly sensitive. While we find some applications are robust, in others the sign of a treatment effect can be changed by dropping less than 1% of the sample even when standard errors are small.