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Mostly Harmless Econometrics: An Empiricist's Companion 1st Edition

4.3 out of 5 stars 53 customer reviews
ISBN-13: 978-0691120355
ISBN-10: 0691120358
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Editorial Reviews


"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 University


Product Details

  • Paperback: 392 pages
  • Publisher: Princeton University Press; 1 edition (January 4, 2009)
  • Language: English
  • ISBN-10: 0691120358
  • ISBN-13: 978-0691120355
  • Product Dimensions: 1.2 x 5.5 x 8.2 inches
  • Shipping Weight: 1.2 pounds (View shipping rates and policies)
  • Average Customer Review: 4.3 out of 5 stars  See all reviews (53 customer reviews)
  • Amazon Best Sellers Rank: #14,261 in Books (See Top 100 in Books)

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Top Customer Reviews

Format: Paperback Verified Purchase
The first thing I want to say is this: If you plan on doing regression analysis in your research, stop what you are doing, and read this book first. I think this book represents THE current statement on how we should use regression. For Angrist and Pischke, regression is a technology for summarizing data. If regression is to be used for causal inference, then there is nothing in the specification of the model or the choice of estimator that can ultimately make the causal story persuasive. That is, you don't identify causal effects simply by including "control" variables in your regression. The identification comes from elsewhere---either a real or "quasi" experiment---and the regression is what you use to clean up the imperfections of the experiment and measure effects. Angrist and Pischke have done an enormous service to social science by writing a regression textbook that nonetheless emphasizes the primacy of design. This is a terrific corrective for the "101 flavors of regression" approach of textbooks to date.

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.
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Format: Paperback
In their introduction Angrist and Pischke say "empirical research is most valuable when it uses data to answer specific causal questions, as if in a randomized clinical trial". The book aims to teach this approach to students of applied econometrics.

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.
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Format: Paperback
This is a wonderful book. Despite having taken many courses and read many statistics and econometrics books, I'm sometimes stuck in my own applied problems. Of course, these courses and books taught me how to derive asymptotic theorems or be careful when maximum likelihood fails, but this is not what I really need to know to solve my problems. Now with Angrist and Pischke, I have a book that is truly applied in focus -- one that explains why and how certain empirical strategies are convincing and one that is up-to-date with the latest examples of recent research employing these strategies. Real econometrics applied to real problems. This book should be on every applied economists bookshelf.
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This is a great book that I really wish had been written when I was first learning econometrics. It is probably best appreciated by someone who has already taken one or two econometrics classes and has had some exposure to applied econometrics research. If you haven't taken econometrics yet you will not really appreciate the 'paradigm shift' that they are trying to explain nor appreciate some of the humor and storytelling. But if you are like myself someone who first learned econometrics more than a decade ago you'll find yourself reading this book page by page with appreciation. I feel that it is helping me to develop a much more mature understanding of the field of applied micro econometrics (helping me to confirm hunches and general notions I already and also new gems of insight). There are many cookbooks that might explain the methods in more depth (e.g. Cameron and Trivedi Microeconometrics) but that's not the purpose of this book. It's purpose is to make you think more about 'research design' which is to say about the questions that you pose, and how you pose them, rather than the methods that you use to try to arrive at answers. For too long econometricians got lost in the details of methods without taking a step back to think about some really fundamental questions first. The book is filled with examples of both good and bad research and you'll be surprised at how bad some past very influential research looks in light of modern day paradigms. It's not that these earlier researchers didn't know enough math, it's that they used the math without clear enough purpose.

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.
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Mostly Harmless Econometrics: An Empiricist's Companion
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