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Mostly Harmless Econometrics: An Empiricist's Companion

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Synopses & Reviews

Publisher Comments:

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 J

Synopsis:

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.

Table of Contents

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

Product Details

ISBN:
9781400829828
Publisher:
Princeton University Press
Subject:
Business & Economics : Econometrics
Author:
Angrist, Joshua David
Author:
Pischke, Jorn-Steffen
Author:
Pischke, Jorn-Steffen
Author:
Pischke, J
Author:
Angrist, Joshua D.
Author:
Pischke, Jörn-Steffen
Subject:
Econometrics
Subject:
Regression analysis
Subject:
Economics
Subject:
Economics - General
Subject:
main_subject
Subject:
all_subjects
Publication Date:
March 2009
Binding:
eBooks
Language:
English

Related Subjects

History and Social Science » Economics » General

Mostly Harmless Econometrics: An Empiricist's Companion
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Product details pages Princeton University Press - English 9781400829828 Reviews:
"Synopsis" by , 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.
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