Economics

Mostly Harmless Econometrics: An Empiricist's Companion

Mostly Harmless Econometrics: An Empiricist's Companion

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  • Create Date：2021-10-20 08:53:34
  • Update Date：2025-09-06
  • Status：finish
  • Author：Joshua D. Angrist
  • ISBN：0691120358
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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 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 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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Reviews

Nathan ，

Pretty technical。 Shows how to use predictive analytics （scientific） techniques to address common policy and research questions。 Best read alongside an actual textbook。

Berkeren Büyükeren ，

Great book， but you need a certain exposure to graduate-level econometrics。 My second time with this book， and it makes much more sense now！ After suffering from grad metrics， it feels good to get a small grasp of widely used applied methods。

Maxym Myroshnychenko ，

The most entertaining stats book in the world

Gabor Scheiring ，

Not really harmless， but one of the most useful resource books if you already have some backgrounds in econometrics。 The real added value lies in the focus on causal inference。 In the universe of causal Inference textbooks this is one of the bests。

Camilla C。 ，

Disappointing。This book is supposed to be a sort of introduction to econometrics and its methods。 Actually it’s hard to follow: many points are unclear and definitely， this is not a fun or easy reading as it may seem。 You continuously need to stop and search the concepts somewhere else， struggling to understand。 Onlestly if it wasn't required for my exam， I would have dropped it very fast。I think you could appreciate it just if you have already studied the key concepts in the past and you are lo Disappointing。This book is supposed to be a sort of introduction to econometrics and its methods。 Actually it’s hard to follow: many points are unclear and definitely， this is not a fun or easy reading as it may seem。 You continuously need to stop and search the concepts somewhere else， struggling to understand。 Onlestly if it wasn't required for my exam， I would have dropped it very fast。I think you could appreciate it just if you have already studied the key concepts in the past and you are looking for a revise in econometrics。 。。。more

Alex Lee ，

This highly technical book was a challenge for me to read because I am unpracticed in statistics。 It is written with attention to data scientists who might utilize programming libraries to do the work than mathematics。Overall the consideration is on teasing out trends and being able to understand how to model and interpret data as it applies to economics。 The majority of this book is about types of models。 There is much discussion about the mathematical consequences for various models， but not m This highly technical book was a challenge for me to read because I am unpracticed in statistics。 It is written with attention to data scientists who might utilize programming libraries to do the work than mathematics。Overall the consideration is on teasing out trends and being able to understand how to model and interpret data as it applies to economics。 The majority of this book is about types of models。 There is much discussion about the mathematical consequences for various models， but not much discussion about how to select models per data -- the examples are selected in order to align with the mathematics and not the other way around。I intend to read this again when I have a little more meat on my stats。 。。。more

Matt ，

Not an introductory book to econometrics for sure， but if you've already taken courses that cover basic asymptotics and have been introduced to stuff like instrumental variables and fixed effects models， you are going to get a lot of mileage out of this book。Angrist and Pischke put causal identification and inference front-and-center in this book， beginning with Rubin's potential outcomes model， the selection bias problem， and the ideal of a randomized experiment。 In practice， we are often stuck Not an introductory book to econometrics for sure， but if you've already taken courses that cover basic asymptotics and have been introduced to stuff like instrumental variables and fixed effects models， you are going to get a lot of mileage out of this book。Angrist and Pischke put causal identification and inference front-and-center in this book， beginning with Rubin's potential outcomes model， the selection bias problem， and the ideal of a randomized experiment。 In practice， we are often stuck with observational data， so a second-best identification strategy will involve seeking out natural or quasi-experiments。 This is where the authors really shine， often using classic papers as case studies in， say， differences-in-differences or regression discontinuity design。At times they skip over the technical details on certain topics， which is why I'm only giving it 4/5， but to be honest their main concern is general ideas and providing the reader some tricks of the trade。 If you want to see why a fixed effects estimator is asymptotically more efficient than a first differences estimator， go read Jeff Wooldridge's Econometric Analysis。 If you want a great sampling of an experimentalist perspective on econometric issues， this is a must-have。 。。。more

Guilherme ，

An authoritative view of econometric discipline from insiders。 Definitely not meant for beginners， but more of a companion with a strong opinionated view of econometric should and should not be thus should be read with care。

Joey ，

quick and dirty survey of popular econometric methods。 tremendously useful

Luca ，

Despite its apparent marketing， this is definitely not a "pop-economics" book。 Despite its many equations and derivations， it is also not a textbook either （for that you are better off with Woolridge）。Instead， what Angrist and Pischke carefully explain is the "intuition" behind what you learn in econometrics/statistics lectures。 As a litmus test， if you don't know what the difference between 2SLS and a Wald Estimator is but these terms seem familiar， then you are very much the target audience。Fo Despite its apparent marketing， this is definitely not a "pop-economics" book。 Despite its many equations and derivations， it is also not a textbook either （for that you are better off with Woolridge）。Instead， what Angrist and Pischke carefully explain is the "intuition" behind what you learn in econometrics/statistics lectures。 As a litmus test， if you don't know what the difference between 2SLS and a Wald Estimator is but these terms seem familiar， then you are very much the target audience。For a book that is about a rather dry （but important） topic， A&P's writing style is surprisingly engaging and fans of Douglas Adams get to enjoy many easter-eggs throughout。 It also does an excellent job of showing why good econometrics matters。 By re-examining much of their own seminal academic work and that of others， explaining why certain methodological decisions were made and where it may have been wrong， the one lesson you really learn is that getting reliable results is hard， even for MIT/LSE professors。One nitpicky thing to note is that several of the studies showcased have been criticised much more than the book would suggest。 I suspect such points are neglected （though sometimes referenced） to keep the focus on the specific concepts that each section attempts to explain。 But if you really want to know "How much does education raise wages？"， this book will not give you an accurate impression of the current research （which has changed a lot in the last decade anyway）。Nonetheless， this is a really fantastic resource if you have the right motivation。 Just be aware that reading it will feel like work， not "fun" Freakonomics， and the book's purpose is to teach intuitive Econometrics， not to answer real-world questions。 。。。more

Martin Lábaj ，

Great book on econometrics but definitely NOT the first one you should read。 There are useful and practical tips for practitioners。 It provides a big picture on recent developlemnts in econometrics and empirical research focused on causal questions。 I agree with other reviews that "Mostly harmless" in the title is quite painful reading with advanced formal notation。 I recommend to start with Mastering 'Metrics: The Path from Cause to Effect or Causal Inference: The Mixtape for modern approach to Great book on econometrics but definitely NOT the first one you should read。 There are useful and practical tips for practitioners。 It provides a big picture on recent developlemnts in econometrics and empirical research focused on causal questions。 I agree with other reviews that "Mostly harmless" in the title is quite painful reading with advanced formal notation。 I recommend to start with Mastering 'Metrics: The Path from Cause to Effect or Causal Inference: The Mixtape for modern approach to econometrics， or with a standard texbook Introductory Econometrics。 。。。more

Brice Karickhoff ，

If you're one of those people who loves to refer to statistics， learning how they work is useful。 This book isn’t a simple read but statistics aren’t a simple matter。 Certainly better than your typical textbook though。 If you're one of those people who loves to refer to statistics， learning how they work is useful。 This book isn’t a simple read but statistics aren’t a simple matter。 Certainly better than your typical textbook though。 。。。more

Corinne Bowers ，

man I read this thing cover to cover so I'm counting it towards my total and you can't stop me man I read this thing cover to cover so I'm counting it towards my total and you can't stop me 。。。more

Lia ，

It gives an overview of the most useful tools for an applied economist， and offers caution for what not to do。 Perhaps it is a good book to keep on hand to review when applying specific methods。 One hope is if more recent editions can include more recent papers or code for replication。

Stephen ，

Excellent text for econometric methods。

Cheng Nie ，

The learning curve for this book is very deep。 You would have a lot of trouble to understand it if you did not take Econometrics classes。 But the good thing about the book is that the authors are able to explain the intuition very well。

Chris ，

one of the only statistics books I recommend to people because it addresses real-world issues that impact whether real projects get funding or not。 It's a question we'd like to get right。This is one of two books I can think of off the top of my head （Weisberg's is the other） which foregrounds _what_does_regression_actually_mean_。 Versus the mathematical process。On the other hand， maybe statistical measures like lm beta and sd are nothing more than high-dimensional hypotenuse constructions。 Most one of the only statistics books I recommend to people because it addresses real-world issues that impact whether real projects get funding or not。 It's a question we'd like to get right。This is one of two books I can think of off the top of my head （Weisberg's is the other） which foregrounds _what_does_regression_actually_mean_。 Versus the mathematical process。On the other hand， maybe statistical measures like lm beta and sd are nothing more than high-dimensional hypotenuse constructions。 Most of what people want to know from lm questions could be answered by looking at random subsets of treatment group and non-treatment group， then drilling down with counter-questions that come from real world common sense。Using a concrete example from a random popular armchair bullshitter https://twitter。com/clairlemon/status。。。， people have various ideas about why divorced men might be less productive， and subgroups / extra data columns， if they're available， might be used to answer some of these real-world counter questions。If the gritty details of subscripts and high-dimensional hypotenuses weren't so focussed on， the time used to understand the minutiae of these arguments could instead be used to read the data collection methodology and variable definitions， which in my experience always swamp debates about what the algebra "means"。 。。。more

Ardyn ，

A nice reference book if you already have a decent background in the field。 There are so many references to other parts of the book that it felt jumpy， but it's a pretty comprehensive guide to the tools used by applied microeconomists。 A nice reference book if you already have a decent background in the field。 There are so many references to other parts of the book that it felt jumpy， but it's a pretty comprehensive guide to the tools used by applied microeconomists。 。。。more

Caglar ，

Don’t let the title fool you this is a PhD level econometrics book。 It’s a succinct supplementary book if you already know the concepts。

Leonardo ，

Usado en cursos de Microeconometría。

Terran M ，

This is an excellent book on causal inference for econometrics and related problems （many observations， some unobserved covariates， no randomized experiment or only partial compliance in the experiment）。 If you want to learn about propensity score matching， discontinuity regression， and a hell of a lot about instrumental variables， this is the book for you。As a minimum preparation， I think you would need to read and clearly understand parts 1 and 2 of Data Analysis Using Regression and Multileve This is an excellent book on causal inference for econometrics and related problems （many observations， some unobserved covariates， no randomized experiment or only partial compliance in the experiment）。 If you want to learn about propensity score matching， discontinuity regression， and a hell of a lot about instrumental variables， this is the book for you。As a minimum preparation， I think you would need to read and clearly understand parts 1 and 2 of Data Analysis Using Regression and Multilevel/Hierarchical Models before reading this book。 It is written in a style which is at times humorous， but don't let this mislead you into thinking that it is for a general audience; this is a highly technical book and at times it's tough going。 You'll want a thorough understanding of the linear algebra behind OLS， and this book is often cursory on the derivations。 。。。more

Daniel ，

I'm trying to get a feel for economics as an academic discipline at the moment。 As a users' guide， this would be great。 Angrist clearly loves econometrics and has a deep appreciation for the subtleties， especially where researchers might go wrong。 However， an introduction it is not。 Nonetheless， it does give a sense of the craft of economics， rather than the idealised theories found in an introductory text。Enjoyable read all things considered。 He starts every chapter with a Douglas Adams quote。 I'm trying to get a feel for economics as an academic discipline at the moment。 As a users' guide， this would be great。 Angrist clearly loves econometrics and has a deep appreciation for the subtleties， especially where researchers might go wrong。 However， an introduction it is not。 Nonetheless， it does give a sense of the craft of economics， rather than the idealised theories found in an introductory text。Enjoyable read all things considered。 He starts every chapter with a Douglas Adams quote。 Part I is really nice。___________Second read and a bit less went over my head。 They use proofs to decompose regressions nicely。 。。。more

Alejandro Coronado ，

Pretty good book for econometrics if you want to understand how econometrics experiments work and what are some of the most important checks that you need to do in order to have unbiased results。

RebeccaErGlad MegetGlad ，

Most notably， when they say in the foreword that you don't need much technical knowledge to follow it， say， you need to know what a t-statistic is， it's a lie。 You do need to know stuff， or you will suffer。 Hickhiker's Guide to the Galaxy jokes notwithstanding。 Most notably， when they say in the foreword that you don't need much technical knowledge to follow it， say， you need to know what a t-statistic is， it's a lie。 You do need to know stuff， or you will suffer。 Hickhiker's Guide to the Galaxy jokes notwithstanding。 。。。more

Giuseppe Burtini ，

Hard read， but a valuable look at modern econometric techniques like differences in differences， discontinuity designs and quantile methods。

Tobias Wolfram ，

Well， the general framing of this book is just awful。 Having no prior knowledge of econometrics and reading it is a pure waste of time as it assumes a great amount of a priori knowledge。 Therefore I consider it to be extremely problematic that nowhere in the beginning the target audience is clearly defined。 And even if you have a decent amount of knowledge in econometrics this is not going to be easy。 To be honest I read this book while working through Woolridge's famous Econometric Analysis of Well， the general framing of this book is just awful。 Having no prior knowledge of econometrics and reading it is a pure waste of time as it assumes a great amount of a priori knowledge。 Therefore I consider it to be extremely problematic that nowhere in the beginning the target audience is clearly defined。 And even if you have a decent amount of knowledge in econometrics this is not going to be easy。 To be honest I read this book while working through Woolridge's famous Econometric Analysis of Cross-Section and Panel-Data and for every 10 pages I read in the Woolridge I was just able to understand one in Mostly Harmless Econometrics。 Wrapping your head around the conditional-expectation-causal-analysis framework is time-consuming， but on the other hand it describes a perspective on econometrics and empirical research in a totally different way and gives many fascinating insights。 But to really appreciate that you need some good foundations in statistics and econometrics。 Therefore I consider this book to be everything but not harmless。 。。。more

Tam ，

Not too technical， has plenty of advice for empiricists， quite funny sometimes， too。 Works better as a complement， starts out simple but later still assumes quite some basic background in econometrics， naturally so as the problems become harder and bigger。 Leaves out a bunch of things to keep the book short， but makes me scratch my head since I want to know in details what was going on behind。Oh well， in general a decent read， except for the little bit extreme idea that all you need in econometr Not too technical， has plenty of advice for empiricists， quite funny sometimes， too。 Works better as a complement， starts out simple but later still assumes quite some basic background in econometrics， naturally so as the problems become harder and bigger。 Leaves out a bunch of things to keep the book short， but makes me scratch my head since I want to know in details what was going on behind。Oh well， in general a decent read， except for the little bit extreme idea that all you need in econometrics is OLS and IV。 。。。more

Frans Saxén ，

This is a most enjoyable intuitive guide to econometrics and inference。 The book does an excellent job of explaining the subtleties of making inference based on less than ideal data from more or less experimental sources。

Mohd Fahrulradzi Bukhari ，

Brilliant book for aspiring empiricists everywhere。 The casual approach adopted by angrist and pischke made it easier to read （as far as econometrics is readable I suppose）

Luis ，

Este es un libro indispensable para todo científico social interesado en el análisis empírico de corte econométrico。 De gran claridad al explicar los conceptos y los posibles problemas a los que se enfrentan quienes hacen investigación aplicada， así como las soluciones que existen a dichos problemas。 Todo ello con una prosa sumamente agradable y a bastante divertida por la cantidad de referencias a películas y novelas de ciencia ficción。Sumamente recomendable。

Reference

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