Mostly Harmless Econometrics: An Empiricist's Companion

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

PREFACE
The universe of econometrics is constantly expanding. Econometric methods and practice have advanced greatly as a result, but the modern menu of econo- metric methods can seem confusing, even to an experienced number cruncher. Luckily, not everything on the menu is equally valuable or important. Some of the more exotic items are needlessly complex and may even be harmful. On the plus side, the core methods of applied econometrics remain largely unchanged, while the interpretation of basic tools has become more nuanced and sophisticated. Our Companion is an empiricist's guide to the econometric essentials ... Mostly Harmless Econometrics.The most important items in an applied econometrician's toolkit are:
1. Regression models designed to control for variables that may mask the causal effects of interest;
2. Instrumental variables methods for the analysis of real and natural experiments;
3. Differences-in-differences-type strategies that use repeated observations to control for unobserved omitted factors.

The productive use of these basic techniques requires a solid conceptual foundation and a good understanding of the machinery of statistical inference. Both aspects of applied econometrics are covered here.

Our view of what's important has been shaped by our experience as empirical researchers, and especially by our work teaching and advising economics Ph.D. students. This book was written with these students in mind. At the same time, we hope the book will find an audience among other groups of researchers who have an urgent need for practical answers regarding choice of technique and the interpretation

-xi-

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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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