实用计量经济学读本 Mostly Harmless Econometrics An Empiricist's Companion 英文原版 Joshua D Angrist Jörn Steffen Pischke

基本信息

Format Paperback | 392 pages

Dimensions 140 x 216 x 25.65mm | 454g

Publication date 21 Feb 2011

Publisher Princeton University Press

Language English

Illustrations note 8 halftones. 17 line illus. 26 tables.

ISBN10 0691120358

ISBN13 9780691120355

书籍简介

当今计量经济学工具包中的核心方法是用于统计控制的线性回归、用于分析自然实验的工具变量方法以及利用政策变化的差异中的差异方法。在现代实验主义范式中，这些技术解决了明确的因果问题，例如：较小的班级是否会增加学习？虐待妻子的人应该被逮捕吗？教育能提高多少工资？大多数无害计量经济学展示了应用计量经济学的基本工具如何让数据说话。除了计量经济学基础知识之外，《实用计量经济学读本 》还涵盖了重要的新扩展——回归不连续性设计和分位数回归——以及如何正确获得标准误差。 Joshua Angrist 和 Jorn-Steffen Pischke 解释了为什么更高级的计量经济学技术通常是不必要的，甚至是危险的。本书强调的应用计量经济学方法易于使用且与当代社会科学的许多领域相关。

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.

“对于任何对制定和检验有关社会世界的假设感兴趣的科学家来说，这本开创性的书是必读的。其中包括政治科学家、社会学家、历史学家、地理学家和人类学家。这本书既聪明又有趣，并引导您完成 社会科学实证研究面临的一系列问题。我希望我多年前就拥有它。”--詹姆斯罗宾逊，哈佛大学

"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

目录

List of Figures vii List of Tables ix Preface xi Acknowledgments xv Organization of This Book xvii PART I: PRELIMINARIES 1 Chapter 1: Questions about Questions 3 Chapter 2: The Experimental Ideal 11 2.1 The Selection Problem 12 2.2 Random Assignment Solves the Selection Problem 15 2.3 Regression Analysis of Experiments 22 PART II: THE CORE 25 Chapter 3: Making Regression Make Sense 27 3.1 Regression Fundamentals 28 3.2 Regression and Causality 51 3.3 Heterogeneity and Nonlinearity 68 3.4 Regression Details 91 3.5 Appendix: Derivation of the Average Derivative Weighting Function 110 Chapter 4: Instrumental Variables in Action: Sometimes You Get What You Need 113 4.1 IV and Causality 115 4.2 Asymptotic 2SLS Inference 138 4.3 Two-Sample IV and Split-Sample IV 147 4.4 IV with Heterogeneous Potential Outcomes 150 4.5 Generalizing LATE 173 4.6 IV Details 188 4.7 Appendix 216 Chapter 5: Parallel Worlds: Fixed Effects, Differences-in-Differences, and Panel Data 221 5.1 Individual Fixed Effects 221 5.2 Differences-in-Differences 227 5.3 Fixed Effects versus Lagged Dependent Variables 243 5.4 Appendix: More on Fixed Effects and Lagged Dependent Variables 246 PART III: EXTENSIONS 249 Chapter 6: Getting a Little Jumpy: Regression Discontinuity Designs 251 6.1 Sharp RD 251 6.2 Fuzzy RD Is IV 259 Chapter 7: Quantile Regression 269 7.1 The Quantile Regression Model 270 7.2 IV Estimation of Quantile Treatment Effects 283 Chapter 8: Nonstandard Standard Error Issues 293 8.1 The Bias of Robust Standard Error Estimates 294 8.2 Clustering and Serial Correlation in Panels 308 8.3 Appendix: Derivation of the Simple Moulton Factor 323 Last Words 327 Acronyms and Abbreviations 329 Empirical Studies Index 335 References 339 Index 361

作者简介

Joshua D. Angrist 是麻省理工学院的经济学教授。 Jorn-Steffen Pischke 是伦敦政治经济学院的经济学教授。

Joshua D. Angrist is professor of economics at the Massachusetts Institute of Technology. Jorn-Steffen Pischke is professor of economics at the London School of Economics and Political Science.