Tail Wagging the Dog
How the (Econometric) Sausage is Made
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3d ago
So, it snowed in North Texas over night. There is at least 0.25 inches. Of course, that means all schools are closed for at least today and tomorrow. Likely the day after as well. Seems like a good time to turn on Netflix and write another post. I have wanted to write this one for a while, but it also came up during lecture on Monday. And, that may be the last lecture I give this week. The topic of the lecture was very straightforward: omitted variable bias. All empirical researchers understand omitted variable bias; omission of relevant covariates relegates them to the (composite) error term ..read more
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Learning from Penguins
How the (Econometric) Sausage is Made
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1w ago
Being sick and stuck at home makes me cranky. So, seems like the perfect time to write a new post about something that has long irked me. Robustness checks. Khoa Vu has tweeted many times about the absurd number of robustness checks in today's empirical papers. See, for example, here. Jokes abound about countless robustness requests by the infamous Referee 2, the length of appendices to NBER working papers, and the despair that researchers feel when a good paper comes crashing down due to failure of the 87th robustness check.  In my view, researchers have just accepted this as the ne ..read more
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Heckman, Schmeckman!
How the (Econometric) Sausage is Made
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3w ago
Ah, grad school. It's brutal, both in terms of the work required and the mental toll. Thankfully, the latter is more out in the open these days. I came across one tweet this week, presumably from a current PhD student, asking how often people thought about dropping out of grad school. Today, I came across another tweet asking how often PhD students were brought to tears. I must admit, I have had a few PhD students cry in my office over the years.  Thinking about the mental toll of grad school for myself, I was reminded of an incident during my time that happens to be (tangentially) relate ..read more
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What Do You Median?
How the (Econometric) Sausage is Made
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1M ago
Every parent with young children get the tv shows their kids watch etched into their permanent memory. No way to get it out of there. For me, one of our kid's favorites was Blue's Clues. A quote from one episode, where Blue is playing hide-and-go-seek, is "I could really use your help. Will you help me? You will? Oh good. Let me know if you see Blue." I am thinking about Blue today for two reasons. First, I just finished updating my lecture notes for Econometrics II, our second-semester econometrics course for first-year economics Ph.D. students (available here). Second, I came across this&n ..read more
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It All Stacks Up
How the (Econometric) Sausage is Made
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2M ago
Mark Twain famously quipped, "The report of my death was an exaggeration." As with Twain, reports of #EconTwitter's demise has also been grossly exaggerated. Casein point, an interesting econometric question was posed by Casey Wichman. The question concerned testing hypotheses containing parameters estimated from two different specifications (where one specification is estimated using only a subset of the observations used to estimate the other specification ... but that does not change anything).  Several individuals immediately offered a solution: stacked regression.  Hat tip to ..read more
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Dig a Little Deeper
How the (Econometric) Sausage is Made
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2M ago
After 2.5 years as department chair, I have found the mental bandwidth to return to my blog on econometric stuff for applied people. Since it is job market season, and many elevator pitches and job talks are about to given, humor me for a short rant on a topic that has long irked me.  The so-called credibility revolution in economics refers to the focus of most empirical research (by academics at least) on credible identification of the causal effects of some policy or intervention or treatment. Whether this revolution has been mostly harmless or sharp is a matter of perspective, but ..read more
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Tomato, Tomahto
How the (Econometric) Sausage is Made
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5M ago
Wow, did that semester last a long time! For today, I am back to one of the activities I love, but for which I have had no time or mental energy: talking with all of you. I hope everyone has survived. I won't ask if anyone thrived. That is not the proper metric. Survival is more than sufficient.  It reminds me of a conversation I have repeatedly with a friend of mine. He has a son the same as age as mine (both sophomores at our local high school). He and I co-coached our boys' soccer and baseball teams when they were little. His son is now trying to be the kicker/punter on our high scho ..read more
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Flip Flop
How the (Econometric) Sausage is Made
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5M ago
This is a week filled with great angst. And, while I don't think a good electoral outcome "saves the republic," it does help stem the tide. And avert more unnecessary deaths. At least for a while. So, here's hoping the will of the people leads to a flip flop in our government.  Our government needs a flip; not necessarily from one party to the other. It needs a flip from those in leadership positions that lack the ability or desire to lead to those that do. If politicians who are willing to and able to lead are concentrated in one party, so be it. If individuals on both sides of the aisl ..read more
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Different, but the Same
How the (Econometric) Sausage is Made
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5M ago
To say that difference-in-differences (DID) as a strategy to estimate causal effects has seen a resurgence in the past decade would be an understatement. A search for the term on Google Scholar produces nearly 2,000 hits. In 2020. About 22,000 since 2010. And, to say that I am not much of a fan of DID would also be a bit of an understatement. In case you are curious, I feel this way for two reasons. First, the lack of originality, as suggested by Google Scholar. Admittedly, this is an unfair critique. If it works, then it should be popular. But, I have my suspicions. I also have inner ..read more
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Chicken or Egg?
How the (Econometric) Sausage is Made
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5M ago
It's a question nearly as old as time itself, dating back at least to Aristotle.  "Which came first, the chicken or the egg?" Individuals representing different disciplines have arrived at different answers, or no answer at all. I've been thinking about this ancient question lately, and not for the reasons you might think. It would be easy to link this question to questions of causation that many readers of this blog grapple in their empirical research. Does the egg cause the chicken to exist, or does the chicken cause the egg to exist. I'm sure if Paul is reading this -- y ..read more
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