Applied Econometrics: Mostly Harmless Big Data

Lecture and Recitation Notes

Lecture Notes

Below are selected lecture notes. Topics I-VIII were created by Joshua Angrist. Topic VIII and X were created by Victor Chernozhukov. 

TOPICS	NOTES
Topic I: Regression Recap	Regression Recap Notes (PDF)
Topic II: Matching	Matching Notes (PDF)
Topic IV: Instrumental Variables: Constant Effects	Constant Effects Notes (PDF - 1.2MB)
Topic V: Instrumental Variables (Take 2) Causal Effects in a Heterogeneous World	Causal Effects Notes (PDF - 2.1MB)
Topic VIII. Prediction and Confidence Intervals with a Large Number of Covariates (“Big P”)	Big P Notes (PDF - 1.2MB)
Topic X: Analysis with Large Samples Sizes (“Big N”)	Big N Notes (PDF)

Recitation Notes

Recitations notes courtesy of Peter Hull. Used with permission. 

TOPICS	NOTES
Recitation 1: Expectations, Regression, and Controls	Recitation 1 Notes (PDF)
Recitation 2: Probits, Logits, and 2SLS	Recitation 2 Notes (PDF)
Recitation 3: LATEs, Differences, and Changes	Recitation 3 Notes (PDF)