angrist-Mostly Harmless Econometrics.pdf

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1、MostlyHarmlessEconometrics:AnEmpiricist’sCompanionJoshuaD.AngristJörn-Ste¤enPischkeMassachusettsInstituteofTechnologyTheLondonSchoolofEconomicsMarch2008iiContentsPrefacexiAcknowledgmentsxiiiOrganizationofthisBookxvIIntroduction11QuestionsaboutQuestions32TheExperimentalIdeal92.1TheSelectio

2、nProblem........................................102.2RandomAssignmentSolvestheSelectionProblem........................122.3RegressionAnalysisofExperiments.................................16IITheCore193MakingRegressionMakeSense213.1RegressionFundamentals....................................

3、..223.1.1EconomicRelationshipsandtheConditionalExpectationFunction...........233.1.2LinearRegressionandtheCEF...............................263.1.3AsymptoticOLSInference..................................303.1.4SaturatedModels,MainE¤ects,andOtherRegressionTalk...............363.2Regression

4、andCausality......................................383.2.1TheConditionalIndependenceAssumption........................383.2.2TheOmittedVariablesBiasFormula............................443.2.3BadControl..........................................473.3HeterogeneityandNonlinearity...............

5、....................513.3.1RegressionMeetsMatching.................................51iiiivCONTENTS3.3.2ControlforCovariatesUsingthePropensityScore....................593.3.3Propensity-ScoreMethodsvs.Regression.........................633.4RegressionDetails.................................

6、.........663.4.1WeightingRegression....................................663.4.2LimitedDependentVariablesandMarginalE¤ects....................693.4.3WhyisRegressionCalledRegressionandWhatDoesRegression-to-the-meanMean?.803.5Appendix:Derivationoftheaveragederivativeformula...................

7、..814InstrumentalVariablesinAction:SometimesYouGetWhatYouNeed834.1IVandcausality...........................................844.1.1Two-StageLeastSquares..................................894.1.2TheWaldEstimator.....................................944.1.3GroupedDataand