Advanced Econometrics

Advanced Econometrics labs

1. Lab 01

   The Frisch–Waugh–Lovell Identity

   Why can residualizing both outcome and exposure recover a controlled regression slope?

   11 min read

2. Lab 02

   An Exact Sample Omitted-Variable Decomposition

   How does omitting a correlated control change a regression coefficient?

   11 min read

3. Lab 03

   Measurement Error and Attenuation

   Why can noisy exposure measurement shrink an ordinary regression slope?

   11 min read

4. Lab 04

   Collinearity, Coefficients and Stable Combinations

   Why can individual slopes be uncertain while their sum is estimated well?

   11 min read

5. Lab 05

   Leverage and Leave-One-Out Sensitivity

   How do unusual predictor values affect a fit and its uncertainty?

   11 min read

6. Lab 06

   Known Variance Weights and WLS

   How do inverse-variance weights change a least-squares fit?

   11 min read

7. Lab 07

   Clustered Errors and the Sampling Unit

   Which observations provide independent information when errors share a group shock?

   11 min read

8. Lab 08

   Serial Dependence and HAC Covariance

   How can uncertainty account for correlated scores over time?

   10 min read

9. Lab 09

   Joint Wald Restrictions with Robust Covariance

   Why is a joint test different from reading two individual p values?

   10 min read

10. Lab 10

    Delta-Method Inference for a Coefficient Ratio

    How should uncertainty be propagated through a nonlinear function of coefficients?

    10 min read

11. Lab 11

    Specification Changes and Common Samples

    When coefficients change after adding a control, how much came from changing rows?

    11 min read

12. Lab 12

    Centering a Polynomial without Changing Its Fit

    Why does centering change coefficients while leaving a polynomial fit unchanged?

    10 min read

13. Lab 13

    Fixed Effects as Dummies and Within Variation

    How do unit dummies recover the same slope as within-unit demeaning?

    10 min read

14. Lab 14

    First Differences and Their Error Structure

    What does differencing remove, and what dependence can it introduce?

    10 min read

15. Lab 15

    Instrumental Variables and the Projection Formula

    How does an instrument isolate exposure variation that is orthogonal to the structural error?

    9 min read

16. Lab 16

    Weak Relevance and IV Sensitivity

    What changes when an otherwise valid instrument barely predicts exposure?

    11 min read

17. Lab 17

    Logit Probabilities, Odds and Marginal Effects

    Why is a logit coefficient not a probability change?

    9 min read

18. Lab 18

    Poisson Rates with an Exposure Offset

    How can counts from different observation exposures be compared?

    9 min read

19. Lab 19

    Local Projections over Several Horizons

    How can horizon-specific regressions trace the response to an exogenous shock?

    9 min read

20. Lab 20

    A Reproducible Treatment-Effect Report

    How should a report retain its estimand, sensitivity specifications and full evidence?

    10 min read