Econometrics Agony

Agony is when ManU/Liverpool/Chelsea/Arsenal lose to one and another --depends on what team you root for.

But for ones who ever do econometrics exercise for their paper, few beat the definition of agony in a short haiku by Keisuke Hirano that appeared in the highly recommended Angrist and Pischke's Mostly Harmless Econometrics.

T-stat looks too good
Try clustered standard errors --
Significance gone

OK, it's not as depressing as infamous Hemingway's six-word story ("For sale: baby shoes, never worn."); but trust me, if you ever work with regression and robustness test, you would share the pain.

Refresh. Update.

I really am glad I came to this applied microeconometric workshop, folks. How I needed an update. The topics that were covered ranged from useful to very useful or very interesting. (Get the lecture notes here. In all likelihood the lectures will be published as a book in the future.) The presenters, Imbens and Wooldridge, are two of the best in the business and more importantly, very good teachers. Very well organized, timed like a clockwork. Burning questions? Talk individually with the presenters between sessions. The rumor has it they will also do this at the AEA meetings. Based on a similar workshop at NBER in 2007. Highly recommended.

Update: well, it is not a rumor. They have scheduled another workshop for the 2009 AEA meetings in SF. Registration starts August 23.