E-Book Overview
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 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
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Mostly Harmless Econometrics ■ ◆■ |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||| This page intentionally left blank Mostly Harmless Econometrics An Empiricist’s Companion ■ ◆■ |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||| Joshua D. Angrist and Jörn-Steffen Pischke PRINCETON UNIVERSITY PRESS ■ PRINCETON AND OXFORD Copyright © 2009 by Princeton University Press Published by Princeton University Press, 41 William Street, Princeton, New Jersey 08540 In the United Kingdom: Princeton University Press, 6 Oxford Street, Woodstock, Oxfordshire OX20 1TW All Rights Reserved Library of Congress Cataloging-in-Publication Data Angrist, Joshua David. Mostly harmless econometrics : an empiricist’s companion / Joshua D. Angrist, Jörn–Steffen Pischke. p. cm. Includes bibliographical references and index. ISBN 978-0-691-12034-8 (hardcover : alk. paper) — ISBN 978-0-691-12035-5 (pbk. : alk. paper) 1. Econometrics. 2. Regression analysis. I. Pischke, Jörn–Steffen. II. Title. HB139.A54 2008 330.01'5195—dc22 2008036265 British Library Cataloging-in-Publication Data is available This book has been composed in Sabon with Hel. Neue Cond. family display Illustrations by Karen Norberg Printed on acid-free paper. ∞ press.princeton.edu Printed in the United States of America 1 3 5 7 9 10 8 6 4 2 CONTENTS ■ ◆■ |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||| List of Figures List of Tables Preface vii ix xi Acknowledgments xv Organization of This Book I PRELIMINARIES xvii 1 1 Questions about Questions 2 The Experimental Ideal 11 2.1 The Selection Problem 12 2.2 Random Assignment Solves the Selection Problem 2.3 Regression Analysis of Experiments 22 II THE CORE 3 25 Making Regression Make Sense 3.1 3.2 3.3 3.4 3.5 4 3 27 Regression Fundamentals 28 Regression and Causality 51 Heterogeneity and Nonlinearity 68 Regression Details 91 Appendix: Derivation of the Average Derivative Weighting Function 110 Instrumental Variables in Action: Sometimes You Get What You Need 113 4.1 IV and Causality 115 4.2 Asymptot