Mostly Harmless Econometrics: An Empiricist's Companion Paperback – Jan 4 2009
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"A quirky and thought-provoking read for any budding econometrician. . . . Insightful and refreshing."--James Davidson, Times Higher Education
"I'd recommend it to the entire range of empirical economists, from those still in training to those who, like me, have only a hazy memory of statistical theory and stick to our tried and tested methods of estimation . . . an excellent guide to how to do basic regression/IV/panel data estimation really well. In particular, it demonstrates through many examples how to bring about a happy marriage between one's underlying model and the data which might or might not confirm the researcher's hypotheses."--Diane Coyle, The Enlightened Economist Blog
"The applied econometric methods emphasized in this book are easy to use and relevant for many areas of contemporary social sciences."--Pavel Stoynov, Zentralblatt MATH
"[T]he matter covered in the book is surely of interest to most agricultural economists. Even if it is not a complete overview of existing econometric research methods, it certainly contains a good deal of hands on advice driven by years of experience."--European Review of Agricultural Economics
"This book is an extremely thought-provoking contribution to the literature. It champions a different paradigm to that characterising most econometrics texts and does so with considerable (idiosyncratic) style and grace. Highly recommended!"--David Harris and Christopher L. Skeels, Economic Record
From the Back Cover
"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, and anthropologists. The book is clever and funny, and guides you through the tangle of problems that confront empirical research in social science. I wish I had had it years ago."--James Robinson, Harvard University
"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 longtime 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
"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 UniversitySee all Product Description
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Most Helpful Customer Reviews on Amazon.com (beta)
Even with this emphasis on design, Angrist and Pischke show us that are a lot of nuances to the way that regressions measure such effects---e.g., in the presence of effect heterogeneity---and that's what this book explores in exquisite detail. It's a hugely important book and a very serious and rigorous treatment, despite it's apparently causal style. They make some claims that may strike some as outrageous---e.g., always using OLS, even for limited dependent variables---but the rigor of their presentation means that the onus is on those who disagree to think harder about why, exactly, they would prefer, say, a more parametric approach.
Nonetheless, it isn't a "5 star" book. It often feels a bit rough-draft-like. The presentation of technical material skips important steps rather haphazardly. I wonder if this was due to bad editing? Hopefully there will be a second edition that cleans up these rough edges, in which case it would be the ideal textbook on regression analysis.
The emphasis on natural experiments and quasi-experiments which the authors espouse has become influential in some sub-areas of econometrics and the authors, particularly Angrist, have played a leading role in this development. However, this approach is not uncontroversial. The Journal of Economic Perspectives has an entire issue (Spring 2010, Vol. 24, No. 2, full text online for public) discussing the pros and cons and you may want to glance through it before buying this book.
Taken on its own terms, the book intermingles four levels of discussion: the philosophical and methodological issues around causality, tips and tricks on how the apply the workhorse models of (micro)econometrics, case studies, and the mathematical properties of models and estimators. This intermingling may be useful for a practitioner trying to see the big picture, but it makes things hard for a beginning student. The problem is compounded by the sketchiness of the mathematical derivations.
If you are starting out in econometrics you may be better served by traditional textbooks with more detailed and linear presentations such as Wooldridge's Introductory Econometrics and Econometric Analysis of Cross Section and Panel Data.
If your interest is primarily in causal inference, book-length treatments that focus only on that aspect can be found in Judea Pearl's Causality: Models, Reasoning and Inference or Morgan and Winship's Counterfactuals and Causal Inference.
This book will make you a better economist and beyond that make you see the world around you slightly differently. You'll end up with a keener eye for all those natural experiments happening all around you. If you are an advanced undergraduate, MA or starting PhD student with any pretensions of becoming engaged in original applied economics research this book should be a "must have" on your bookshelf.