This monograph reviews the three most popular methods in applied economics and other social sciences: matching, regression discontinuity, and difference in differences. This book also examines related methods such as weighting, regression imputation, complete pairing, and triple difference. The book introduces the underlying econometric/statistical ideas for these methods, shows what is identified and how the identified parameters are estimated, and then illustrates how they are applied with empirical examples. The volume emphasizes how to implement the methods with data; many data and programs are provided in the online appendix that will be updated over time. The minimum requirement for the book is basic econometrics and statistics including least squares estimator, and the target audience is upper‐level undergraduate students, graduate students and researchers on self‐study. Despite this, all readers—theoretical econometricians/statisticians, applied economists/social scientists, and researchers/students—will find something useful in the book from different perspectives.