rof-identification-strategy
GitHub针对金融RoF稿件，通过严格审查因果识别（DID/IV/RDD等）或理论假设与证明，以顶刊标准压力测试研究设计。
Trigger Scenarios
Install
npx skills add brycewang-stanford/Awesome-Journal-Skills --skill rof-identification-strategy -g -y
SKILL.md
Frontmatter
{
"name": "rof-identification-strategy",
"description": "Use when the credibility core of a Review of Finance (RoF) manuscript is the bottleneck — causal identification for empirical finance (DID, IV, RDD, event study, natural experiments) OR assumptions, results, and proof exposition for theoretical finance. Stress-tests the design or model to the top-three-finance-journal standard."
}
Identification & Theory Strategy (rof-identification-strategy)
When to trigger
- The empirical core is panel regressions with controls and an undefended causal claim
- A DID uses two-way fixed effects on staggered timing without modern estimators
- An IV's first stage is weak or its exclusion restriction is unargued
- The paper is theoretical and the assumptions, generality, or proof exposition are the weak link
The RoF credibility bar
RoF referees apply top-three-finance-journal standards to the inferential or logical spine. Because RoF publishes both empirical and theoretical finance, "identification" means two different things — pick the branch matching your paper.
Branch E1 — Empirical: causal design for finance
- Natural experiments / shocks: regulatory changes, index reconstitutions, staggered law adoption. Name the identifying variation in one sentence and defend its exogeneity.
- DID / event study: under staggered adoption, move beyond TWFE (Callaway–Sant'Anna, Sun–Abraham, de Chaisemartin–D'Haultfœuille); report a Goodman-Bacon decomposition and clean pre-trends.
- IV: strong first stage (report F); weak-IV-robust inference when needed; defend the exclusion restriction on economic, institutional, and falsification grounds.
- RDD: density/manipulation test, optimal bandwidth plus robustness, covariate smoothness.
- Asset-pricing inference: correct standard errors (Newey–West, two-way clustering, Shanken for Fama–MacBeth); guard against data-snooping in factor/anomaly work; cluster at the assignment level.
Branch T1 — Theoretical: assumptions, results, proof exposition
- Assumptions: state them economically; flag substantive vs. technical; discuss what breaks if each is relaxed.
- Results: lead with the proposition and its economic message, not the algebra; show it is non-obvious and general enough to matter.
- Proof exposition: keep proofs self-contained in an appendix with intuition in the body; proofs count against the 60-page cap.
- Numerical work: report solver tolerances, convergence, and seeds (see
rof-replication-and-data-policy).
Diagnostics placement grid — body vs. internet appendix
| Design | Must sit in the body | Goes to the internet appendix |
|---|---|---|
| Staggered DID | event-study plot with pre-trends; heterogeneity-robust estimate next to TWFE | Bacon decomposition detail; alternative comparison groups |
| IV | first-stage table with effective F; the exclusion argument in prose | weak-IV-robust CIs; alternative instruments |
| RDD | density test; the main RD plot | bandwidth grid; donut; placebo cutoffs |
| Return event study | abnormal-return model choice; clustering by event date | alternative factor models; bootstrap inference |
| Fama–MacBeth / sorts | Shanken or NW errors; microcap screen statement | alternative breakpoints; subperiods |
RoF's editors want the identification spine self-contained inside the 60-page envelope; the appendix carries the battery, the body carries the logic.
Worked vignette — a staggered short-sale-ban DID
Illustrative numbers. Twelve European exchanges ban short sales on financial stocks on different 2008–2012 dates. TWFE yields −1.9% on a liquidity outcome; Callaway–Sant'Anna with not-yet-treated controls yields −3.4% — TWFE was diluted by already-treated comparisons. The RoF-grade presentation: lead with the event-study figure (flat pre-trends, 95% bands, joint pre-trend test p = 0.41 reported, not just plotted); one table with both estimators; one sentence naming the identifying variation ("ban dates set by national regulators' crisis calendars, not by stock-level liquidity trends"); and the magnitude translated — 3.4% of the average bid–ask spread, roughly the trading-cost jump of moving the median bank stock one liquidity decile.
Referee pushback and the venue-specific repair
- "Ban timing is endogenous to crisis severity" → show timing is uncorrelated with pre-ban outcome trends; add severity-bin interactions; isolate a subset where the trigger was plausibly external.
- "The exclusion restriction is asserted, not argued" → add a falsification outcome the instrument should not move and cite the institutional document that created the variation — RoF referees reward institutional specificity over econometric hand-waving.
- "Your proposition rides on CARA plus normality" → prove the comparative static for a wider preference class or locate numerically where it breaks; the breaking point goes in the body, the proof in the appendix (which still counts toward the 60 pages).
- "Anomalies like this die out of sample" → pre-commit an international split (e.g., Datastream non-US sample) or a post-publication window before the referee demands one.
Execution bridge (StatsPAI / Stata MCP)
Estimate and audit the design, don't only describe it. Full map:
execution-with-mcp. Review of Finance is the EFA flagship — corporate-causal chain for corporate papers, factor-zoo haircut for asset pricing.
detect_design→recommend→ fit withas_handle=true→audit_result.- Observational causal claims: staggered DiD (
callaway_santanna/sun_abraham+bacon_decomposition+honest_did_from_result); IV (effective_f_test+anderson_rubin_ci); RDD (rdrobust+mccrary_test). - Experiments: randomization-based inference +
romano_wolffor many-outcome control. - Sensitivity:
oster_delta/sensemakrfor observational claims.
Report the magnitude in interpretable units; route the full battery to the appendix. A run end-to-end (synthetic data, real returns) is in the JF execution walkthrough.
Anti-patterns
- TWFE on staggered treatment with no heterogeneity-bias discussion.
- An anomaly "discovered" via repeated sorts with no multiple-testing or out-of-sample discipline.
- A theory result that is true by assumption, dressed in heavy notation.
- Over-claiming a local empirical estimate as a universal law, or a knife-edge model as general.
Output format
【Branch】empirical (E1) / theory (T1)
【Spine】identifying variation OR key assumption+result
【Diagnostics done / missing】[...]
【Inference / rigor】clustering & SE OR proof completeness
【Over-claim check】never exceeds design/model? [Y/N]
【Next step】rof-data-analysis
Version History
- 1839142 Current 2026-07-05 14:23
