Econometrics Blog

Even for experienced empirical researchers, certain econometric issues can be often overlooked or seem confusing. It can seem like everyone else knows what’s going on except you! The rapid pace with which new econometric methods are being developed further exacerbates these issues. Who has the time to keep up to date?

Enter, Professor Daniel Millimet from the SMU Department of Economics. His blog, “How the (Econometrics) Sausage is made” lays out what empirical practitioners need to know when it comes to those often overlooked or confusing issues as well as recently developed techniques in a simple, reader friendly way. His research spans microeconometric methods and applications in labor economics, environmental economics, and international trade and he teaches courses in labor economics and econometrics. He is also a research fellow at IZA, a senior co-editor of Advances in Econometrics, an associate editor of Empirical Economics, and a co-editor of the new Journal of the Association of Environmental and Resource Economists.

Mostly Unidentified

December 5, 2019
A microeconometrics lesson from Miracle Max in one of the greatest movies ever made: "Turns out your friend here is only MOSTLY dead. See, mostly dead is still slightly alive."
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Time to Dance!

October 29, 2019
Surely there is something to to be learned from the time-series macroeconometrics literature that applied microeconometricians can utilize, no?
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Econometrics of Inflation

October 3, 2019
If you think this post is about inflation of the macro variety, you have come to the wrong place!
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Yet Another Post on LPM and Probit?

September 9, 2019
For those unaware, LPM is a fancy name for "I am going to use OLS even though the dependent variable is binary, but I want to feel special!"
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There is Exogeneity, and Then There is Strict Exogeneity

June 26, 2019
This week I handled a paper at one of the journals for which I am on the editorial board and was reminded of a mistake that I have seen all too frequently over the years...
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Endogeneity Measurement Error

June 13, 2019
As you can tell from my first few posts in this blog, I enjoy thinking about measurement error and endogeneity more generally!
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IV with a Mismeasured Binary Covariate

June 6, 2019
The issue here is to consider a very simple model...
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IV with Endogenous Controls

June 6, 2019
But what about all those other "exogenous" vars in the model?...
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IV in Exactly Identified Models

June 6, 2019
You may remember (?) that the usual IV estimator is actually a biased, but consistent, estimator. But, do you remember that the expectation of the estimator does not even exist in exactly identified models!
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