Mostly Harmless Econometrics : An Empiricist's Companion

by Angrist, Joshua D.; Pischke, Jorn-steffen

• ISBN13: 9781400829828
• ISBN10: 1400829828
• Format: eBook
• Copyright: 2009-03-01
• Publisher: Princeton Univ Pr

Summary

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 Econometricsshows how the basic tools of applied econometrics allow the data to speak.In addition to econometric essentials,Mostly Harmless Econometricscovers important new extensions--regression-discontinuity designs and quantile regression--as well as how to get standard errors right. Joshua Angrist and Jouml;rn-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

Table of Contents

List of Figures	p. vii
List of Tables	p. ix
Preface	p. xi
Acknowledgments	p. xv
Organization of This Book	p. xvii
Preliminaries	p. 1
Questions about Questions	p. 3
The Experimental Ideal	p. 11
The Selection Problem	p. 12
Random Assignment Solves the Selection Problem	p. 15
Regression Analysis of Experiments	p. 22
The Core	p. 25
Making Regression Make Sense	p. 27
Regression Fundamentals	p. 28
Regression and Causality	p. 51
Heterogeneity and Nonlinearity	p. 68
Regression Details	p. 91
Appendix: Derivation of the Average Derivative Weighting Function	p. 110
Instrumental Variables in Action: Sometimes You Get What You Need	p. 113
IV and Causality	p. 115
Asymptotic 2SLS Inference	p. 138
Two-Sample IV and Split-Sample IV	p. 147
IV with Heterogeneous Potential Outcomes	p. 150
Generalizing LATE	p. 173
IV Details	p. 188
Appendix	p. 216
Parallel Worlds: Fixed Effects, Differences-in-Differences, and Panel Data	p. 221
Individual Fixed Effects	p. 221
Differences-in-Differences	p. 227
Fixed Effects versus Lagged Dependent Variables	p. 243
Appendix: More on Fixed Effects and Lagged Dependent Variables	p. 246
Extensions	p. 249
Getting a Little Jumpy: Regression Discontinuity Designs	p. 251
Sharp RD	p. 251
Fuzzy RD Is IV	p. 259
Quantile Regression	p. 269
The Quantile Regression Model	p. 270
IV Estimation of Quantile Treatment Effects	p. 283
Nonstandard Standard Error Issues	p. 293
The Bias of Robust Standard Error Estimates	p. 294
Clustering and Serial Correlation in Panels	p. 308
Appendix: Derivation of the Simple Moulton Factor	p. 323
Last Words	p. 327
Acronyms and Abbreviations	p. 329
Empirical Studies Index	p. 335
References	p. 339
Index	p. 361
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