Mostly Harmless Econometrics PDF
Preview Mostly Harmless Econometrics
. st's companion. ProQuest Ebook Central <a onclick=window.open('http://ebookcentral.proquest.com','_blank') href='http://ebookcentral.proquest.com' target='_blank' style='cursor: pointer;'>http://ebookcentral.proquest.com</a> MostlyHarmlessEconometrics |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||■|||||||◆||||||||||■|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||| kcentral.proquest.com' target='_blank' style='cursor: pointer;'>http://ebookcentral.proquest.com</a> This page intentionally left blank kcentral.proquest.com' target='_blank' style='cursor: pointer;'>http://ebookcentral.proquest.com</a> Mostly Harmless Econometrics An Empiricist’s Companion |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||■|||||||◆||||||||||■|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||| Joshua D. Angrist and Jörn-Steffen Pischke PRINCETONUNIVERSITYPRESS ■ PRINCETONANDOXFORD kcentral.proquest.com' target='_blank' style='cursor: pointer;'>http://ebookcentral.proquest.com</a> Copyright©2009byPrincetonUniversityPress PublishedbyPrincetonUniversityPress,41WilliamStreet, Princeton,NewJersey08540 IntheUnitedKingdom:PrincetonUniversityPress, 6OxfordStreet,Woodstock,OxfordshireOX201TW AllRightsReserved LibraryofCongressCataloging-in-PublicationData Angrist,JoshuaDavid. Mostlyharmlesseconometrics:anempiricist’scompanion/ JoshuaD.Angrist,Jörn–SteffenPischke. p. cm. Includesbibliographicalreferencesandindex. ISBN978-0-691-12034-8(hardcover:alk.paper)— ISBN978-0-691-12035-5(pbk.:alk.paper) 1. Econometrics. 2. Regressionanalysis. I. Pischke,Jörn–Steffen. II. Title. HB139.A54 2008 330.01'5195—dc22 2008036265 BritishLibraryCataloging-in-PublicationDataisavailable ThisbookhasbeencomposedinSabon withHel.NeueCond.familydisplay IllustrationsbyKarenNorberg Printedonacid-freepaper.∞ press.princeton.edu PrintedintheUnitedStatesofAmerica 1 3 5 7 9 10 8 6 4 2 kcentral.proquest.com' target='_blank' style='cursor: pointer;'>http://ebookcentral.proquest.com</a> CONTENTS |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||■|||||||◆||||||||||■|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||| ListofFigures vii ListofTables ix Preface xi Acknowledgments xv OrganizationofThisBook xvii I PRELIMINARIES 1 1 QuestionsaboutQuestions 3 2 TheExperimentalIdeal 11 2.1 TheSelectionProblem 12 2.2 RandomAssignmentSolvestheSelectionProblem 15 2.3 RegressionAnalysisofExperiments 22 II THECORE 25 3 MakingRegressionMakeSense 27 3.1 RegressionFundamentals 28 3.2 RegressionandCausality 51 3.3 HeterogeneityandNonlinearity 68 3.4 RegressionDetails 91 3.5 Appendix:DerivationoftheAverageDerivative WeightingFunction 110 4 InstrumentalVariablesinAction:Sometimes YouGetWhatYouNeed 113 4.1 IVandCausality 115 4.2 Asymptotic2SLSInference 138 4.3 Two-SampleIVandSplit-SampleIV 147 . vi Contents 4.4 IVwithHeterogeneousPotentialOutcomes 150 4.5 GeneralizingLATE 173 4.6 IVDetails 188 4.7 Appendix 216 5 ParallelWorlds:FixedEffects,Differences-in-Differences, andPanelData 221 5.1 IndividualFixedEffects 221 5.2 Differences-in-Differences 227 5.3 FixedEffectsversusLaggedDependentVariables 243 5.4 Appendix:MoreonFixedEffectsandLagged DependentVariables 246 III EXTENSIONS 249 6 GettingaLittleJumpy:RegressionDiscontinuity Designs 251 6.1 SharpRD 251 6.2 FuzzyRDIsIV 259 7 QuantileRegression 269 7.1 TheQuantileRegressionModel 270 7.2 IVEstimationofQuantileTreatmentEffects 283 8 NonstandardStandardErrorIssues 293 8.1 TheBiasofRobustStandardErrorEstimates 294 8.2 ClusteringandSerialCorrelationinPanels 308 8.3 Appendix:DerivationoftheSimpleMoultonFactor 323 LastWords 327 AcronymsandAbbreviations 329 EmpiricalStudiesIndex 335 References 339 Index 361 . FIGURES |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||■|||||||◆||||||||||■|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||| 3 .1 .1 R a w d a t a a n d t h e C E F o f a v e r a g e lo g w e e k ly w a g e s g iv e n s c h o o lin g 31 3.1.2 RegressionthreadstheCEFofaverageweekly wagesgivenschooling 39 3.1.3 Microdataandgroupeddataestimatesofthe returnstoschooling 41 4.1.1 Graphicaldepictionofthefirst-stageandreduced formforIVestimatesoftheeconomicreturnto schoolingusingquarterofbirthinstruments 119 4.1.2 Therelationshipbetweenaverageearningsand theprobabilityofmilitaryservice 139 4.5.1 Theeffectofcompulsoryschoolinginstruments oneducation 185 4.6.1 MonteCarlocumulativedistributionfunctions ofOLS,IV,2SLS,andLIMLestimators 211 4.6.2 MonteCarlocumulativedistributionfunctions ofOLS,2SLS,andLIMLestimatorswith20 instruments 211 4.6.3 MonteCarlocumulativedistributionfunctions ofOLS,2SLS,andLIMLestimatorswith20 worthlessinstruments 212 5.2.1 CausaleffectsintheDDmodel 231 5.2.2 EmploymentinNewJerseyandPennsylvania fastfoodrestaurants,October1991to September1997 232 . viii Figures 5.2.3 Averagegraderepetitionratesinsecondgrade fortreatmentandcontrolschoolsinGermany 233 5.2.4 Theestimatedimpactofimplied-contract exceptionstotheemployment-at-willdoctrine ontheuseoftemporaryworkers 239 6.1.1 Thesharpregressiondiscontinuitydesign 254 6.1.2 Theprobabilityofwinninganelectionby pastandfuturevoteshare 258 6.2.1 Thefuzzy-RDfirst-stageforregression- discontinuityestimatesoftheeffectofclasssize ontestscores 265 7.1.1 Thequantileregressionapproximationproperty 280 . TABLES |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||■|||||||◆||||||||||■|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||| 2.2.1 Comparisonoftreatmentandcontrolcharacteristics intheTennesseeSTARexperiment 19 2.2.2 Experimentalestimatesoftheeffectofclasssize ontestscores 20 3.2.1 Estimatesofthereturnstoeducationformenin theNLSY 62 3.3.1 Uncontrolled,matching,andregressionestimates oftheeffectsofvoluntarymilitaryserviceon earnings 73 3.3.2 CovariatemeansintheNSWandobservational controlsamples 88 3.3.3 RegressionestimatesofNSWtrainingeffects usingalternativecontrols 89 3.4.1 AverageoutcomesintwooftheHIEtreatment groups 96 3.4.2 Comparisonofalternativeestimatesofthe effectofchildbearingonLDVs 106 4.1.1 2SLSestimatesoftheeconomicreturnsto schooling 124 4.1.2 Waldestimatesofthereturnstoschoolingusing quarter-of-birthinstruments 129 4.1.3 Waldestimatesoftheeffectsofmilitaryservice ontheearningsofwhitemenbornin1950 130 4.1.4 Waldestimatesoftheeffectsoffamilysizeon laborsupply 133 4.4.1 ResultsfromtheJTPAexperiment:OLSandIV estimatesoftrainingimpacts 163 4.4.2 Probabilitiesofcomplianceininstrumental variablesstudies 169 .
The list of books you might like
