SAMREGC: Stata module to perform Sensitivity Analysis of Main Regression Coefficients

Pablo Gluzmann and Demian Panigo

Statistical Software Components from Boston College Department of Economics

Abstract: SAMREGC is a Stata package designed to enhance robustness and sensitivity analyses for regression coefficients by systematically performing subset regressions. It significantly improves upon existing tools by introducing innovative solutions for distinguishing between sample and omitted variables/collinearity effects (with samesample and sisters options). Additionally, samregc expands computational feasibility and analytical detail. The ncomb() option allows targeted combinational analyses of control variables rather than exhaustive all-subset approaches, increasing the practical limit of manageable testing variables well beyond the (∼25 control/testing variables) limit of existing alternatives. The griterateover() option further enhances flexibility by iterating over groups of conceptually related variables, significantly reducing complexity and aligning analysis with theoretical frameworks. Moreover, SAMREGC improves interpretability by providing detailed diagnostic tables and comprehensive plots, effectively highlighting control variables with the greatest robustness impact on interest/main variables and clearly distinguishing sample-driven variability from genuine model uncertainty (sample vs omitted variables/collinearity effects).

Language: Stata
Requires: Stata version 15
Keywords: regression; specification; robustness (search for similar items in EconPapers)
Date: 2025-04-17
Note: This module should be installed from within Stata by typing "ssc install samregc". 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.
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http://fmwww.bc.edu/repec/bocode/s/samregc.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/s/samregc.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/s/samregc.pdf documentation (application/pdf)

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