Blog

Technical notes on econometrics, applied economics, and data methods.

 

You Cannot Test the Exclusion Restriction

Notes
Exclusion Restriction
Instrumental Variables

A worked example showing why including an instrument in the structural equation is not a valid test of the exclusion restriction.

Mar 17, 2025
C. Luke Watson

Traditional vs. Bayesian Bootstrap Standard Errors

Notes
Bootstrap
Standard Errors
Robust
Clustered
Bayesian
Random Weights

Comparing traditional resampling and Bayesian random-weight bootstrap standard errors.

Sep 13, 2024
C. Luke Watson
 

Manual Calculation of SEs from Optimization - Pt.2

Notes
Optimx
Standard Errors
Robust
Gradient
Sandwich
Clustered
Random Weights

Extending the sandwich estimator to clustered and weighted standard errors after numerical optimization.

Sep 12, 2024
C. Luke Watson
 

Manual Calculation of SEs from Optimization

Notes
Optimx
Standard Errors
Robust
Gradient
Hessian
Sandwich

Computing robust standard errors manually after nonlinear optimization using the sandwich estimator.

Sep 4, 2024
C. Luke Watson
 

Nested Logit Gradient

Notes
Nested Logit
Gradient

Deriving the gradient of the nested logit log-likelihood for use in numerical optimization.

Apr 18, 2024
C. Luke Watson

Regression Cumulative (Average) Abnormal Returns

Finance
Event Study
Abnormal Returns
Regression
Stata

A regression-based approach to estimating cumulative average abnormal returns in financial event studies.

Feb 26, 2024
C. Luke Watson

Isolated Places

Structural IO
Urban
Entry Model
Data

A data exercise constructing a dataset of geographically isolated U.S. towns for use in structural entry models.

Sep 17, 2023
C. Luke Watson
 

First year notes on preference relations

Notes
Preferences
PHD Micro

First year notes on preference relations

Jun 9, 2020
C. Luke Watson
 

TFP Guide

Notes
TFP
Production Function Estimation

A TFP guide I made

Jun 18, 2018
C. Luke Watson
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