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Re: RE: st: Robust Standard Errors in Paneldatasets


From   Stas Kolenikov <skolenik@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: RE: st: Robust Standard Errors in Paneldatasets
Date   Wed, 27 Oct 2010 20:43:46 -0400

On Wed, Oct 27, 2010 at 8:30 PM, Amy Dunbar
<Amy.Dunbar@business.uconn.edu> wrote:
> Don't worry - it's not an econometrics class!  ;-)  My students replicate papers, and we work hard at trying to understand the intuition behind the econometrics, so your post was really helpful.

I am going through Angrist and Pischke's "Mostly Harmless
Econometrics", and that's a great book in terms of how things are
explained at the fine edge between non-technical and inaccurate. That
is, what they say is still correct, to the current accumulated
knowledge of econometrics, at the level they adapt in that book; and
this level is very student-friendly -- for instance, they avoid matrix
notation unless absolutely necessary. For some of the things they say,
an econometrician who publishes regularly in Econometrica can find
some wicked counterexamples, but these would involve technicalities
and/or qualifications way above even the standard graduate
econometrics sequence.

As Kit highlighted, published papers do contain errors, unfortunately.
Some papers that seem OK first turn out to be not so OK later -- and
Angrist is an not-so-fortunate author of the paper that drew attention
of econometricians to weak instruments, and eventually led to the
development of this new subfield of econometric theory.

-- 
Stas Kolenikov, also found at http://stas.kolenikov.name
Small print: I use this email account for mailing lists only.

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