Book review: Mostly Harmless Econometrics

Every now and again, it is worthwhile to revisit some things we learned long ago. So it was when I picked up Mostly Harmless Econometrics, by Joshua Angrist and Jorn-Steffen Pischke. The book is not new, and has been sitting on my shelf for several years. I have read bits of it previously, but only with particular topics in mind. A few years ago, it was the required textbook in one of the Masters-level econometrics papers at the University of Waikato. Someone once described it to me as a 'good refresher' for economics graduates who had been out in the workforce for a few years, and looking to get back up to speed on empirical economics work.

Having read the book, I have a new appreciation for just how difficult our econometrics students were finding the paper when this was the text. While Angrist and Pischke note that "[t]he main prerequisite for understanding the material here is basic training in probability and statistics", what they think of as 'basic training' is well beyond what I would consider it to be. This book is not an easy read, unless you have a very thorough grounding in the basics of econometrics, as well as a good understanding of probability theory and matrix algebra. And to be fair, Angrist and Pischke aren't hiding the level of the text, because on the first page of the preface it says:

Our view of what's important has been shaped by our experience as empirical researchers, and especially by our work teaching and advising economics Ph.D. students. This book was written with these students in mind.

I would say that some economics Ph.D. students would struggle with the more technical aspects of the book. And certainly, this is a book that is not for the fainthearted undergraduate economics student, although some may find value in it. This book definitely doesn't strike me as a 'refresher for graduates', who in my experience (along with undergraduates and many graduate students) are looking for the cookbook approach that is to be found in many of the more traditional econometrics textbooks.

Aside from the level though, there is a lot of value in the book. I jotted down a bunch of notes to myself, and the book is especially helpful in its coverage of instrumental variables regression, regression discontinuity, and quantile regression. The book is well sourced, with pointers to the appropriate primary literature (in case you are a glutton for punishment), but Angrist and Pischke do a great job of summarising the state of knowledge on the techniques they cover (or at least, the state of knowledge as of 2009, when the book was published).

If all you're looking for is a cookbook econometrics textbook, there are many better offerings than this one. But if you're looking for something deeper, then this book might be a good place to start.