Mostly Harmless Econometrics: An Empiricist's Companion

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

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. Read full review

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
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

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
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
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About the author (2008)

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

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