econometrics.blog
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Sims and Uhlig (1991) Replication
As a teaser for our upcoming (2024-07-23) virtual reading group session on Bayesian macro / time series econometrics, this post replicates a classic paper by Sims & Uhlig (1991) contrasting Bayesian and Frequentist inferences for a unit root.
Last updated on Jul 15, 2024
7 min read
econometrics
,
Statistics
The Return of econometrics.blog!
After a year-long hiatus, I’m excited to return to regular blogging about econometrics! I have a long list of posts that I’m eager to write, and I hope you’ll find them interesting.
Last updated on Jul 14, 2024
1 min read
A Good Instrument is a Bad Control
Here’s a puzzle for you. What will happen if we regress some outcome of interest on both an endogenous regressor and a valid instrument for that regressor? I hadn’t thought about this question until 2018, when one of my undergraduate students asked it during class.
Last updated on Jun 29, 2023
9 min read
econometrics
,
R
,
IV
,
control function
,
TSLS
The R Formula Cheatsheet
R’s formula syntax is extremely powerful but can be confusing for beginners.1 This post is a quick reference covering all of the symbols that have a “special” meaning inside of an R formula: ~, +, .
Last updated on Apr 28, 2023
2 min read
Statistics
,
R
Random Variables Cheatsheet
To do well in an econometrics or statistics course at any level, you need to have a large number of simple properties of random variables at your fingertips. Some years back I made a handout containing the most important properties for my undergraduate students at the University of Pennsylvania.
Last updated on Jan 7, 2023
1 min read
econometrics
,
Statistics
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