The so-called Frisch-Waugh-Lovell (FWL) Theorem is a standard result that we meet in pretty much any introductory grad. course in econometrics.The theorem is so-named because (i) in the very fist volume of Econometrica Frisch and Waugh (1933) establish...
Some ideas are so good that they keep re-appearing again and again. In other words, they stand the test of time, and prove to be useful in lots of different contexts – sometimes in situations that we couldn’t have imagined when the idea first came ...
There are no April Fool's tricks in the following list of suggestions.
Continuing on from my earlier posts about vintage years for econometrics in the 1930's, 1940's, 1950's, 1960's, here's my tasting guide for the 1970's.Once again, let me note that "in econometrics, what constitutes quality and importance is partly a ma...
Goodness me! November went by really quickly!Bagnato, L., L. De Capitani, & A. Punzo, 2016. Testing for serial independence: Beyond the portmanteau approach. American Statistician, in press.Aastveit, K.A., C. Foroni, & F. Ravazzolo, 2016. Densi...
Over the years I've posted a number of times about various aspects of using dummy variables in regression models. You can use the "Search" window in the right sidebar of this page if want to take a look at those posts.One of my earlier working papers o...
Here's a suggested reading list for February:Casey, G. and M. Klemp, 2016. Instrumental variables in the long run. MPRA Paper No. 68696.Coglianese, J., L. W. Davis, L. Kilian, and J. H. Stock, 2016. Anticipation, tax avoidance, and the price elasticity...
Now that the (Northern) summer is here, you should have plenty of time for reading. Here are some recommendations:Ahelegbey, D. F., 2015. The econometrics of networks: A review. Working Paper 13/WP/2015, Department of Economics, University of Venice.Ca...
Andrews, I. and T. B. Armstrong, 2015. Unbiased instrumental variables estimation under known first-stage sign. Cowles Foundation Discussion Paper No. 1984R, Yale University,Bajari, P., D. Nekipelov, S. P. Ryan, and M. Yang. 2015. Demand estimation wit...
Consider the following abstract for an econometrics paper:"The method of instrumental variables (IV) and the generalized method of moments (GMM), and their applications to the estimation of errors-in-variables and simultaneous equations models in econo...
