What’s Wrong with How We Teach Estimation and Inference in Econometrics? And What Should We Do About It?

The widespread use of “Null hypothesis significance testing” and p-values in empirical work has come in for widespread criticism from many directions in recent years. Nearly all this literature and commentary has, understandably, focused on practice: how researchers use, and abuse, these methods and tools, and what they should do instead. Surprisingly, relatively little attention has been devoted to what to do about how we teach econometrics and applied statistics more generally. I suggest that it is possible to teach students how to practice frequentist statistics sensibly if the core concepts they are taught at the start are “coverage” and interval estimation. I suggest various tools that can be used to convey these concepts.