I’ve been reading a truly excellent book by Joshua Angrist and Jorn-Steffen Pischke called Mostly Harmless Econometrics: An Empiricist’s Companion. It’s not written for a general audience, but if you pulled an A- or better on a college-level econometrics course (and if you love Freakonomics), then this is the book for you. It should be required reading for anyone who is trying to write an applied dissertation.
MHE is not only an econometrics reference and tutorial, it’s also a guide to a subset of the observational study literature that applies sound technique. Every method is motivated and illuminated by reference to or examples from published work. That’s particularly valuable to the publishing practitioner who needs to demonstrate adherence to proven methodology by reference to prior studies.
Thus, MHE is better than “mostly harmless,” and I recommend it highly, particularly to those who evaluate social programs, clinical trials, or otherwise wish to estimate causal effects from experimental or observational data.
“[Mostly Harmless Econometrics is] a retrospective on the search for causal identification, and a more readable guide for practice than the usual fare (it’s only partly written in Greek).”
This book is remarkable. Angrist and Pischke excel at spelling out under what conditions regression coefficients have a causal interpretation. They also devote careful attention to more practical issues such as constructing valid standard errors (chap. 8). It is safe to predict that Angrist and Pischke’s uniquely fresh writing style will appeal to a wider audience than that of the standard econometrics textbook.
“All graduate students and researchers should read Mostly Harmless Econometrics: An Empiricist’s Companion, by Joshua D. Angrist and Jörn-Steffen Pischke. This instructive and irreverent romp through microeconometrics is as much of a page turner as we are likely to see in a book about statistical methods.”
“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.”
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Guido Imbens, Harvard University
“A well-written and very quirky take on econometric practice.”
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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.”
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James Robinson, Harvard University
“Finally – An econometrics book for practitioners! Not only for students, Mostly Harmless Econometrics is a fantastic resource for anyone who does empirical work.”
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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 …”
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Richard Blundell, University College London
“I read Mostly Harmless Econometrics from cover to cover last night. I found it so engrossing that I failed to notice rioters were burning down my neighborhood!”
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Patrick Kline, The 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.”
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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.”
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Amitabh Chandra, Harvard Kennedy School of Government
“Angrist and Pischke have written the researcher’s guide to econometrics for those who muck through data daily, run regressions all the time, and who strive to get it right. It’s a terrific book!”
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Ted Joyce, Baruch College, CUNY
“Loving the textbook as do my students!! At least if 42 is the answer to the Ultimate Question in ‘Hitchhikers‘, Mostly Harmless Econometrics shows us a myriad of ways to estimate it with great precision and ease.”
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Colm Harmon, University College Dublin
“Mostly Harmless Econometrics is a great resource for teachers, researchers and researchers in-training. Causal inference is an afterthought in most econometrics texts, where it gets lost in the lengthy exegesis of large-sample theory. Mostly Harmless Econometrics puts causal inference front and center, where it belongs. I have used the book with great success in introductory methods courses for masters’ and doctoral students in public policy and education at Michigan.”
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Susan Dynarski, Professor of Education and Public Policy, University of Michigan
“Mostly Harmless Econometrics is truly excellent. I found it to be really insightful and helpful. Even though I’m at least vaguely familiar with much of the material, it still provoked me to think of things I do in my own work a little differently. It’s the kind of book that I’m going to be returning to whenever a question creeps in my mind about how to approach a particular empirical problem.”
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George Borjas, Harvard Kennedy School
“All graduate students and researchers should read Mostly Harmless Econometrics: An Empiricist’s Companion, by Joshua D. Angrist and Jörn-Steffen Pischke. This instructive and irreverent romp through microeconometrics is as much of a page turner as we are likely to see in a book about statistical methods.”
“[Mostly Harmless Econometrics is] a retrospective on the search for causal identification, and a more readable guide for practice than the usual fare (it’s only partly written in Greek).”
I’ve been reading a truly excellent book by Joshua Angrist and Jorn-Steffen Pischke called Mostly Harmless Econometrics: An Empiricist’s Companion. It’s not written for a general audience, but if you pulled an A- or better on a college-level econometrics course (and if you love Freakonomics), then this is the book for you. It should be required reading for anyone who is trying to write an applied dissertation.
“MHE is a fantastic book that should be read cover-to-cover by any young applied micro economist. The book provides an excellent mix of statistical detail, econometric intuition and practical instruction. The topic coverage includes the bulk of econometric tools used in the vast majority of applied microeconomics. I wish there was an econometric textbook this well done when I was in graduate school.”
—
William N Evans, Notre Dame Department of Economics
This book is remarkable. Angrist and Pischke excel at spelling out under what conditions regression coefficients have a causal interpretation. They also devote careful attention to more practical issues such as constructing valid standard errors (chap. 8). It is safe to predict that Angrist and Pischke’s uniquely fresh writing style will appeal to a wider audience than that of the standard econometrics textbook.
MHE is not only an econometrics reference and tutorial, it’s also a guide to a subset of the observational study literature that applies sound technique. Every method is motivated and illuminated by reference to or examples from published work. That’s particularly valuable to the publishing practitioner who needs to demonstrate adherence to proven methodology by reference to prior studies.
Thus, MHE is better than “mostly harmless,” and I recommend it highly, particularly to those who evaluate social programs, clinical trials, or otherwise wish to estimate causal effects from experimental or observational data.
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