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Mostly Harmless Econometrics Joshua D. Angrist

Mostly Harmless Econometrics By Joshua D. Angrist

Mostly Harmless Econometrics by Joshua D. Angrist


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Summary

Shows how the basic tools of applied econometrics allow the data to speak. This book covers regression-discontinuity designs and quantile regression - as well as how to get standard errors right. It is suitable for various areas in contemporary social science.

Mostly Harmless Econometrics Summary

Mostly Harmless Econometrics: An Empiricist's Companion by Joshua D. Angrist

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 Jorn-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

Mostly Harmless Econometrics Reviews

A quirky and thought-provoking read for any budding econometrician... Insightful and refreshing.--James Davidson, Times Higher Education I'd recommend it to the entire range of empirical economists, from those still in training to those who, like me, have only a hazy memory of statistical theory and stick to our tried and tested methods of estimation ... an excellent guide to how to do basic regression/IV/panel data estimation really well. In particular, it demonstrates through many examples how to bring about a happy marriage between one's underlying model and the data which might or might not confirm the researcher's hypotheses.--Diane Coyle, The Enlightened Economist Blog The applied econometric methods emphasized in this book are easy to use and relevant for many areas of contemporary social sciences.--Pavel Stoynov, Zentralblatt MATH [T]he matter covered in the book is surely of interest to most agricultural economists. Even if it is not a complete overview of existing econometric research methods, it certainly contains a good deal of hands on advice driven by years of experience.--European Review of Agricultural Economics This book is an extremely thought-provoking contribution to the literature. It champions a different paradigm to that characterising most econometrics texts and does so with considerable (idiosyncratic) style and grace. Highly recommended!--David Harris and Christopher L. Skeels, Economic Record

About Joshua D. Angrist

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.

Table of Contents

List of Figures vii List of Tables ix Preface xi Acknowledgments xv Organization of This Book xvii PART I: PRELIMINARIES 1 Chapter 1: Questions about Questions 3 Chapter 2: The Experimental Ideal 11 2.1 The Selection Problem 12 2.2 Random Assignment Solves the Selection Problem 15 2.3 Regression Analysis of Experiments 22 PART II: THE CORE 25 Chapter 3: Making Regression Make Sense 27 3.1 Regression Fundamentals 28 3.2 Regression and Causality 51 3.3 Heterogeneity and Nonlinearity 68 3.4 Regression Details 91 3.5 Appendix: Derivation of the Average Derivative Weighting Function 110 Chapter 4: Instrumental Variables in Action: Sometimes You Get What You Need 113 4.1 IV and Causality 115 4.2 Asymptotic 2SLS Inference 138 4.3 Two-Sample IV and Split-Sample IV 147 4.4 IV with Heterogeneous Potential Outcomes 150 4.5 Generalizing LATE 173 4.6 IV Details 188 4.7 Appendix 216 Chapter 5: Parallel Worlds: Fixed Effects, Differences-in-Differences, and Panel Data 221 5.1 Individual Fixed Effects 221 5.2 Differences-in-Differences 227 5.3 Fixed Effects versus Lagged Dependent Variables 243 5.4 Appendix: More on Fixed Effects and Lagged Dependent Variables 246 PART III: EXTENSIONS 249 Chapter 6: Getting a Little Jumpy: Regression Discontinuity Designs 251 6.1 Sharp RD 251 6.2 Fuzzy RD Is IV 259 Chapter 7: Quantile Regression 269 7.1 The Quantile Regression Model 270 7.2 IV Estimation of Quantile Treatment Effects 283 Chapter 8: Nonstandard Standard Error Issues 293 8.1 The Bias of Robust Standard Error Estimates 294 8.2 Clustering and Serial Correlation in Panels 308 8.3 Appendix: Derivation of the Simple Moulton Factor 323 Last Words 327 Acronyms and Abbreviations 329 Empirical Studies Index 335 References 339 Index 361

Additional information

NGR9780691120355
9780691120355
0691120358
Mostly Harmless Econometrics: An Empiricist's Companion by Joshua D. Angrist
New
Paperback
Princeton University Press
2009-01-04
392
N/A
Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
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