Econometrics

  1. Endogeneity and Instrumental Variables
    1. The Endogeneity Problem
      1. Sources of Endogeneity
        1. Omitted Variables
          1. Measurement Error
            1. Simultaneity
              1. Sample Selection
              2. Consequences of Endogeneity
                1. Bias and Inconsistency
                  1. Loss of Causal Interpretation
                2. Instrumental Variables Estimation
                  1. The IV Estimator
                    1. Motivation and Intuition
                      1. Mathematical Derivation
                      2. Conditions for Valid Instruments
                        1. Instrument Relevance
                          1. Instrument Exogeneity
                            1. Exclusion Restriction
                            2. Two-Stage Least Squares
                              1. First Stage Regression
                                1. Second Stage Regression
                                  1. Interpretation of Results
                                2. Testing in IV Models
                                  1. Testing for Endogeneity
                                    1. Hausman Test
                                      1. Durbin-Wu-Hausman Test
                                      2. Testing Instrument Validity
                                        1. First Stage F-test
                                          1. Weak Instruments Problem
                                          2. Overidentification Tests
                                            1. Sargan Test
                                              1. Hansen J-test
                                            2. Advanced IV Topics
                                              1. Multiple Endogenous Variables
                                                1. Multiple Instruments
                                                  1. Exactly vs. Over-identified Models
                                                    1. Limited Information Maximum Likelihood

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                                                  7. Violations of Classical Assumptions

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                                                  9. Model Selection and Specification Testing