https://teddyrookbook.com/business/econometrics/Recent content in Econometrics: From Data to Cause and Effect on Teddy Rook Bookhttps://teddyrookbook.com/img/share.jpghttps://teddyrookbook.com/img/share.jpgHugoenhttps://teddyrookbook.com/business/econometrics/binary-outcomes/Mon, 01 Jan 0001 00:00:00 +0000https://teddyrookbook.com/business/econometrics/binary-outcomes/Fit a straight line, a logit and a probit to yes-or-no data and see where the line breaks, then climb the log-likelihood by hand and with Newton’s method to learn maximum likelihood, partial effects, odds ratios and likelihood-ratio tests.https://teddyrookbook.com/business/econometrics/difference-in-differences/Mon, 01 Jan 0001 00:00:00 +0000https://teddyrookbook.com/business/econometrics/difference-in-differences/Compare the change for a treated group with the change for a control group, break the parallel-trends assumption to see the bias, read event-study plots, and see why two-way fixed effects can give the wrong sign when a policy rolls out at different times.https://teddyrookbook.com/business/econometrics/estimation-and-inference/Mon, 01 Jan 0001 00:00:00 +0000https://teddyrookbook.com/business/econometrics/estimation-and-inference/Run a machine that builds 100 confidence intervals at a time and watch about 95 of them catch the truth, throw darts with biased and unbiased estimators, and see p-values, errors and power as areas. Learn estimators, standard errors, intervals and hypothesis tests.https://teddyrookbook.com/business/econometrics/heteroskedasticity/Mon, 01 Jan 0001 00:00:00 +0000https://teddyrookbook.com/business/econometrics/heteroskedasticity/Stretch the noise around a regression line, then run 2,000 samples and watch the usual 95% intervals miss far too often until robust standard errors fix them. Learn why OLS stays unbiased, how to test for heteroskedasticity, and when weighted least squares helps.https://teddyrookbook.com/business/econometrics/regression-inference/Mon, 01 Jan 0001 00:00:00 +0000https://teddyrookbook.com/business/econometrics/regression-inference/Draw thousands of samples from a world where you know the true slope, watch the estimates pile up around it, then break the assumptions one by one to see which cause bias and which only fool the standard errors. Learn the OLS assumptions, standard errors, t-tests, confidence intervals and the Gauss–Markov theorem.https://teddyrookbook.com/business/econometrics/instrumental-variables/Mon, 01 Jan 0001 00:00:00 +0000https://teddyrookbook.com/business/econometrics/instrumental-variables/Use growing up near a college to untangle schooling from ability, and watch two-stage least squares find the true effect where OLS fails. Then weaken or break the instrument and see what goes wrong. Learn the IV estimator, 2SLS, weak instruments, overidentification tests and local average treatment effects.https://teddyrookbook.com/business/econometrics/functional-form/Mon, 01 Jan 0001 00:00:00 +0000https://teddyrookbook.com/business/econometrics/functional-form/Fit four models to the same data, watch a curve turn into a straight line on log axes, and read every slope in plain English. Learn percent changes and elasticities, quadratics and turning points, dummy variables and interactions.https://teddyrookbook.com/business/econometrics/modern-causal-inference/Mon, 01 Jan 0001 00:00:00 +0000https://teddyrookbook.com/business/econometrics/modern-causal-inference/Draw causal diagrams and let the backdoor criterion pick your controls, match people on propensity scores, build a synthetic twin for a treated state, and see why machine learning needs double/debiased methods to answer causal questions.https://teddyrookbook.com/business/econometrics/multiple-regression/Mon, 01 Jan 0001 00:00:00 +0000https://teddyrookbook.com/business/econometrics/multiple-regression/Leave a hidden factor out of a wage regression and watch the estimate go wrong by exactly the amount the omitted-variable formula predicts. Learn what “holding other things constant” means, partialling out, R² and adjusted R², and multicollinearity.https://teddyrookbook.com/business/econometrics/panel-data/Mon, 01 Jan 0001 00:00:00 +0000https://teddyrookbook.com/business/econometrics/panel-data/Follow cities over time and watch pooled OLS get the effect of police on crime backward until fixed effects compares each city with itself. Learn the within transformation, first differences, random effects and the Hausman test, two-way fixed effects, and clustered standard errors.https://teddyrookbook.com/business/econometrics/probability/Mon, 01 Jan 0001 00:00:00 +0000https://teddyrookbook.com/business/econometrics/probability/Shape seven probability distributions, drop thousands of random draws into a live histogram and watch averages of lopsided data pile up into a bell. Learn expected value, variance, covariance, conditional expectation, the normal, t and chi-square distributions and the central limit theorem.https://teddyrookbook.com/business/econometrics/regression-discontinuity/Mon, 01 Jan 0001 00:00:00 +0000https://teddyrookbook.com/business/econometrics/regression-discontinuity/Measure the jump in outcomes at a cutoff with local linear regression, find the bandwidth that balances bias against noise, catch people gaming the cutoff with a density test, and handle fuzzy designs with instrumental variables.https://teddyrookbook.com/business/econometrics/simple-regression/Mon, 01 Jan 0001 00:00:00 +0000https://teddyrookbook.com/business/econometrics/simple-regression/Drag points and watch the least-squares line refit, with every residual drawn as a square, then try to beat it with your own line. Derive the OLS formulas from scratch, learn R² and how to read a slope, and see why Galton called it regression.https://teddyrookbook.com/business/econometrics/specification/Mon, 01 Jan 0001 00:00:00 +0000https://teddyrookbook.com/business/econometrics/specification/Blur a variable with measurement error and watch the slope shrink by a predictable amount, drag an outlier until it bends the line, and overfit a polynomial. Learn the RESET test, proxy variables, leverage and Cook’s distance, the variance inflation factor, and how to choose among models.https://teddyrookbook.com/business/econometrics/time-series/Mon, 01 Jan 0001 00:00:00 +0000https://teddyrookbook.com/business/econometrics/time-series/Turn one dial from white noise to a random walk and watch autocorrelations appear, catch spurious regressions between unrelated trending series, draw forecast fans, and test for unit roots and cointegration with error-correction models.https://teddyrookbook.com/business/econometrics/macro-tools/Mon, 01 Jan 0001 00:00:00 +0000https://teddyrookbook.com/business/econometrics/macro-tools/Shock a small simulated economy and read its impulse responses, see why the Cholesky ordering matters and why Granger causality is not causation, then match moments by hand and use GMM and Hansen’s J test to catch a bad instrument.https://teddyrookbook.com/business/econometrics/what-is-econometrics/Mon, 01 Jan 0001 00:00:00 +0000https://teddyrookbook.com/business/econometrics/what-is-econometrics/Run a summer in a beach town where ice-cream sales and lifeguard calls move together, then hold the weather fixed and watch the link vanish. Learn what econometrics is for, the kinds of data, the regression model and why a coin flip beats self-selection.