Mostly Harmless Econometrics: An Empiricist's Companion

Joshua D. Angrist, Jörn-Steffen Pischke

Princeton University Press, Dec 15, 2008 - Business & Economics - 392 pages

The core methods in today's econometric toolkit are linear regression for statistical control, instrumental variables methods for the analysis of natural experiments, and differences-in-differences methods that exploit policy changes. In the modern experimentalist paradigm, these techniques address clear causal questions such as: Do smaller classes increase learning? Should wife batterers be arrested? How much does education raise wages? Mostly Harmless Econometrics shows how the basic tools of applied econometrics allow the data to speak.


In addition to econometric essentials, Mostly Harmless Econometrics covers important new extensions--regression-discontinuity designs and quantile regression--as well as how to get standard errors right. Joshua Angrist and Jörn-Steffen Pischke explain why fancier econometric techniques are typically unnecessary and even dangerous. The applied econometric methods emphasized in this book are easy to use and relevant for many areas of contemporary social science.

• An irreverent review of econometric essentials


• A focus on tools that applied researchers use most


• Chapters on regression-discontinuity designs, quantile regression, and standard errors


• Many empirical examples


• A clear and concise resource with wide applications

What people are saying

Good policy read

User Review  - elizabibi - Overstock.com

Bought this for a class in public policy good overview a bit highlevel even for a Masters student. There are not enough books out there on econometrics though.

Contents

• Questions about Questions: 4
• The Experimental Ideal: 12
• 21 The Selection Problem: 13
• 22 Random Assignment Solves the Selection Problem: 16
• 23 Regression Analysis of Experiments: 23
• THE CORE: 26
• Making Regression Make Sense: 28
• 31 Regression Fundamentals: 29
• 32 Regression and Causality: 52
• 33 Heterogeneity and Nonlinearity: 69
• 34 Regression Details: 92
• Instrumental Variables in Action Sometimes You Get What You Need: 114
• 41 IV and Causality: 116
• 42 Asymptotic 2SLS Inference: 139
• 43 TwoSample IV and SplitSample IV: 148
• 44 IV with Heterogeneous Potential Outcomes: 151
• 45 Generalizing LATE: 174
• 46 IV Details: 189
• 47 Appendix: 217
• Parallel Worlds Fixed Effects DifferencesinDifferences and Panel Data: 222
• 52 DifferencesinDifferences: 228
• 53 Fixed Effects versus Lagged Dependent Variables: 244
• More on Fixed Effects and Lagged Dependent Variables: 247
• Getting a Little Jumpy Regression Discontinuity Designs: 252
• 62 Fuzzy RD Is IV: 260
• Quantile Regression: 270
• 71 The Quantile Regression Model: 271
• 72 IV Estimation of Quantile Treatment Effects: 284
• Nonstandard Standard Error Issues: 294
• 81 The Bias of Robust Standard Error Estimates: 295
• 82 Clustering and Serial Correlation in Panels: 309
• Derivation of the Simple Moulton Factor: 324
• Acronyms and Abbreviations: 330
• Empirical Studies Index: 336
• References: 340
• Index: 362

About the author

Joshua D. Angrist is professor of economics at the Massachusetts Institute of Technology. Jörn-Steffen Pischke is professor of economics at the London School of Economics and Political Science.

Bibliographic information

• Title: Mostly Harmless Econometrics: An Empiricist's Companion
• Authors: Joshua D. Angrist, Jörn-Steffen Pischke
• Edition: illustrated
• Publisher: Princeton University Press, 2008
• ISBN: 1400829828, 9781400829828
• Length: 392 pages
• Subjects: Business & Economics / Econometrics