Joshua Angrist and Jörn-Steffen Pischke
Princeton University Press (2009)
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 Jörn-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
Joshua Angrist is professor of economics at the Massachusetts Institute of Technology.
Jörn-Steffen Pischke is professor of economics at LSE.
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'Interesting and unusual, this is an econometrics book with attitude. It offers real answers and suggestions to problems faced daily by those engaged in the analysis of economic data. I will recommend it to my students.'
Guido Imbens, Harvard University
'A well-written and very quirky take on econometric practice.'
Orley Ashenfelter, Princeton University
'This pathbreaking book is a must read for any scientist who is interested in formulating and testing hypotheses about the social world. This includes political scientists, sociologists, historians, geographers, anthropologists... The book is clever, funny, and guides you through the tangle of problems which confront empirical research in social science. I wish I had had it years ago.'
James Robinson, Harvard University
'Finally - an econometrics book for practitioners! Not only for students, MHE is a fantastic resource for anyone who does empirical work.'
Sandra Black, UCLA
'There is a theory which states that if ever anyone discovers exactly what Econometrics is for and why it is here, it will instantly disappear and be replaced by something even more bizarre and inexplicable. There is another theory which states that this has already happened. There is a third theory which suggests that both of the first two theories were concocted by the authors of Mostly Harmless Econometrics in order to increase the universal level of uncertainty and paranoia and so boost the sales of the book .....'
Richard Blundell, University College London
'I read MHE from cover to cover last night. I found it so engrossing that I failed to notice rioters were burning down my neighborhood!'
Patrick Kline, University of California at Berkeley
'What a fascinating and useful book! The application of econometrics in empirical research is as much art as science. What is most distinctive about Mostly Harmless Econometrics relative to other graduate-level econometrics books (besides the colorful prose style!) is that, because the authors are long-time practitioners of applied microeconometrics, they speak often and insightfully about the art. I expect it's a great thing to work in the same department with Angrist or Pischke and to be able to ask their advice. Having this book close at hand is the next best thing. When you consult the book to see "What would Angrist and Pischke do?" about econometric issues you encounter in your own research, you won't necessarily end up doing what they would in every single instance, but I bet you always will benefit from getting their take on the issue.'
Gary Solon, Michigan State University
'This is a remarkable book - it does the profession a great service by taking knowledge that is usually acquired over many years and distilling it in such a succinct manner.'
Amitabh Chandra, Harvard Kennedy School of Government