I have been following Marc Bellemare for a while now on twitter (@mfbellemare) and really became interested in his blog because of the proliferate amount of very good posts related to applied econometrics. He also writes about a number of interesting topics related to applied economics and in areas related to his own research. In the last few weeks (months?), he as been running a series of posts titled 'Metrics Monday where he addresses lots of issues related to applied econometrics that aren't always addressed in typical theory based courses. I think every advanced undergraduate, graduate student, or any 'metrics
or analytics practitioner should read all of his econometrics related
posts. Below are some links to selected posts. I'll probably add to this list as he posts more, and as I discover older related posts I have not yet read.
Some of my favorite 'Metrics Monday posts:
Friends *do* let friends do IV
When is heteroskedasticity (not) a problem
Hypothesis Testing in Theory and Practice
Data Cleaning
Outliers
Rookie mistakes in empirical analysis
What to do with missing data
Other Applied Econometrics Posts by Marc Bellemare:
Love it or logic, Or: people really care about binary dependent variables
A rant on estimation with binary dependent variables
In defense of the cookbook approach to econometrics
Econometrics teaching needs an overhaul
Do Both
