Mostly Harmless Econometrics: An Empiricist's Companion

By Joshua D. Angrist; Jörn-Steffen Pischke | Go to book overview

Chapter 4
Instrumental Variables in Action:
Sometimes You Get What You Need

Anything that happens, happens.
Anything that, in happening, causes something else to happen,
causes something else to happen.
Anything that, in happening,
causes itself to happen again, happens again.
It doesn't necessarily do it in chronological order, though.
Douglas Adams, Mostly Harmless

Two things distinguish the discipline of econometrics from the older sister field of statistics. One is a lack of shyness about causality. Causal inference has always been the name of the game in applied econometrics. Statistician Paul Holland (1986) cautions that there can be [no causation without manipulation,] a maxim that would seem to rule out causal inference from nonexperimental data. Less thoughtful observers fall back on the truism that [correlation is not causality.] Like most people who work with data for a living, we believe that correlation can sometimes provide pretty good evidence of a causal relation, even when the variable of interest has not been manipulated by a researcher or experimenter.1

The second thing that distinguishes us from most statisticians—and indeed from most other social scientists— is an arsenal of statistical tools that grew out of early

1 Recent years have seen an increased willingness by statisticians to discuss
statistical models for observational data in an explicitly causal framework;
see, for example, Freedman's (2005) review.

-113-

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Mostly Harmless Econometrics: An Empiricist's Companion
Table of contents

Table of contents

  • Title Page iii
  • Contents v
  • Figures vii
  • 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
  • Part II - The Core 25
  • Chapter 3 - Making Regression Make Sense 27
  • Chapter 4 - Instrumental Variables in Action: Sometimes You Get What You Need 113
  • Chapter 5 - Parallel Worlds: Fixed Effects, Differences-In-Differences, and Panel Data 221
  • Part III - Extensions 249
  • Chapter 6 - Getting a Little Jumpy: Regression Discontinuity Designs 251
  • Chapter 7 - Quantile Regression 269
  • Chapter 8 - Nonstandard Standard Error Issues 293
  • Last Words 327
  • Acronyms and Abbreviations 329
  • Empirical Studies Index 335
  • References 339
  • Index 361
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