Recent Posts

I was saddened to hear of Chris Sims’s passing yesterday. Although I’m not a macroeconometrician, his work has strongly influenced the way I think about econometrics. I covered his famous helicopter tour paper on this blog a while back.

In my earlier post on Overlapping Confidence Intervals I asked what we can learn from the overlap, or lack thereof, between confidence intervals for two population means constructed using independent samples.

Perhaps you’ve seen a claim like this in an applied paper: “the estimated effect for Group A is statistically significant, but the estimated effect for Group B is not; this treatment helps As but not Bs.

At a recent seminar dinner the conversation drifted to causal inference, and I mentioned my dream of one day producing a Lady Gaga parody music video called “Bad Control”.1 A lively discussion of bad controls ensued, during which I offered one of my favorite examples: a good instrument is a bad control.

The result that I prefer to call Yule’s Rule, more commonly known as the “Frisch-Waugh-Lovell (FWL) theorem”, shows how to calculate the regression slope coefficient for one predictor by carrying out additional “auxiliary” regressions that adjust for all other predictors.