Mostly Harmless Econometrics: An Empiricist’s Companion

Organization of this Book

We begin with two introductory chapters. The first describes the type of research agenda for which the material in subsequent chapters is most likely to be useful. The second discusses the sense in which ex­periments, i. e., randomized trials of the sort used in medical research, provide an ideal benchmark for the questions we find most interesting. After this introduction, the three chapters of Part II present core mate­rial on regression, instrumental variables, and differences-in-differences. These chapters emphasize both the universal properties of the relevant estimators (e. g., regression always approximates the conditional mean function) and the assumptions necessary for a causal interpretation of results (the conditional independence assumption; instruments as good as randomly assigned; parallel worlds). We then turn to important exten­sions in Part III. Chapter 6 covers regression discontinuity designs, which can be seen as either a variation on regression-control strategies or a type of instrumental variables strategy. In Chapter 7, we discuss the use of quantile regression for estimating effects on distributions. The last chapter covers important infer­ence problems that are missed by the textbook asymptotic approach. Some chapters include more technical or specialized sections that can be skimmed or skipped without missing out on the main ideas - these are indicated with a star. Notation, an acronym glossary, and an index to empirical examples are gathered at the back of the book.

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Mostly Harmless Econometrics: An Empiricist’s Companion

Regression Details

1.4.1 Weighting Regression Few things are as confusing to applied researchers as the role of sample weights. Even now, 20 years post - Ph. D., we read the section of …

Getting a Little Jumpy: Regression Discontinuity Designs

But when you start exercising those rules, all sorts of processes start to happen and you start to find out all sorts of stuff about people... Its just a way …

Two-Sample IV and Split-Sample IVF

GLS estimates of Г in (4.3.1) are consistent because E The 2SLS minimand can be thought of as GLS applied to equation (4.3.1), after multiplying by /N to keep the …

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