One of the things I've been very thankful for has been the opportunity to do research in mathematics and economics as an undergrad. It's been an experience I'll always look back on fondly. People talk about taking learning beyond the classroom, but in reality it's been my experience the learning which results from research can completely overshadow any related work done in the classroom. This isn't simply technical material (and there's plenty of that to learn before real research can begin), but an entire philosophy about work in general.
One of the biggest ways in which learning from research overshadows classroom learning is that in the classroom it is usual for all presented problems to have been previously solved or to fit into a given mold. In research neither of these things are true. The point of doing research is (usually) to do something which hasn't been done before in a given way and the first question may well be "does this resemble anything else I already know/is anything I already know applicable here?"
The second major way in which research overshadows classroom learning is it requires a far greater level of self-motivation, maturity, creativity, and determination. There isn't some manual that tells you how to solve the problem and most of the competition is against yourself. Nor is it designed to make a given point in a "reasonable" amount of time after "reasonable" effort. It's on the individual researcher to find it within themselves to keep going and working and thinking until they find the insight to make more progress until the next plateau. It goes in lurches: you lurch forward, then stall only to at some unknown point lurch forward again.
At the end of the day, I can't really express how much I value the experience research has given me. All I can do is try to keep working and learning.
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