Why Econometrics is Confusing Part II: The Independence Zoo

In econometrics it’s absolutely crucial to keep track of which things are dependent and which are independent. To make this as confusing as possible for students, a typical introductory econometrics course moves back and forth between different notions of dependence, stopping occasionally to mention that they’re not equivalent but never fully explaining why, on the premise that “you’ve certainly already learned this in your introductory probability and statistics course.