How the (Econometric) Sausage is Made

Today is one of the best days of the year ... opening day for baseball (in the US)! In honor of the return to the diamond, and ending my own offseason, I decided it was a great day to blow off some of my duties and write another blog. Not a coincidence, the topic very much relates to a line by the character, Brickma, the pitching coach of the Chicago Cubs in the classic film Rookie of the Year .   “I wrap the cake up in my vomit bag, and voila!... Breakfast! Conservation,  Managing  resources... that is the key to Baseball.” -Brickma Of course, Brickma also got himself locked in the equipment cage when it was game time! So, let’s play some ball and do this. The topic here is instrumental variables (IV). [Insert eye roll here] I have been teaching IV in my class for the last few lectures. It is a fascinating estimator; how it works, its relation to other estimators, how finicky it can be, etc. Yes, many people hate it, but they are misinformed and/or don't appreciate the mechanics u