A Simple Measure of Robustness for External Validity under Covariate Shifts (opens in new tab)

This paper studies the robustness of estimated policy effects to changes in the distribution of covariates, a key determinant of the external validity of (quasi)-experimental results. I propose a novel robustness metric $\delta^*$ which measures the smallest covariate shift needed to invalidate an empirical claim about the policy effect (e.g., $ATE > 0$). I estimate $\delta^*$ via de-biased GMM, achieving a parametric rate of convergence whi...