Papers › Robustness Auditing for Linear Regression: To Singularity and Beyond

Robustness Auditing for Linear Regression: To Singularity and Beyond

10 Oct 2024arXiv:2410.07916archive 2025-07-28

Ittai Rubinstein, Samuel B. Hopkins

It has recently been discovered that the conclusions of many highly influential econometrics studies can be overturned by removing a very small fraction of their samples (often less than 0.5%). These conclusions are typically based on the results of one or more Ordinary Least Squares (OLS) regressions, raising the question: given a dataset, can we certify the robustness of an OLS fit on this dataset to the removal of a given number of samples? Brute-force techniques quickly break down even on small datasets. Existing approaches which go beyond brute force either can only find candidate small subsets to remove (but cannot certify their non-existence) [BGM20, KZC21], are computationally intractable beyond low dimensional settings [MR22], or require very strong assumptions on the data distribution and too many samples to give reasonable bounds in practice [BP21, FH23]. We present an efficient algorithm for certifying the robustness of linear regressions to removals of samples. We implement our algorithm and run it on several landmark econometrics datasets with hundreds of dimensions and tens of thousands of samples, giving the first non-trivial certificates of robustness to sample removal for datasets of dimension $4$ or greater. We prove that under distributional assumptions on a dataset, the bounds produced by our algorithm are tight up to a 1 + o(1) multiplicative factor.

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