The literature on neighborhood effects frequently is evaluated or interpreted in relation to the question, "Do neighborhoods matter?" We argue that this question has had a disproportionate influence on the field and does not align with the complexity of theoretical models of neighborhood effects or empirical findings that have arisen from the literature. In this article, we focus on empirical work that considers how different dimensions of individuals' residential contexts become salient in their lives, how contexts influence individuals' lives over different timeframes, how individuals are affected by social processes operating at different scales, and how residential contexts influence the lives of individuals in heterogeneous ways. In other words, we review research that examines where, when, why, and for whom do residential contexts matter. Using the large literature on neighborhoods and educational and cognitive outcomes as an example, the research we review suggests that any attempt to reduce the literature to a single answer about whether neighborhoods matter is misguided. We call for a more flexible study of context effects in which theory, measurement, and methods are more closely aligned with the specific mechanisms and social processes under study.The Annual Review of Statistics and Its Application aims to inform statisticians and quantitative methodologists, as well as all scientists and users of statistics about major methodological advances and the computational tools that allow for their implementation. It will include developments in the field of statistics, including theoretical statistical underpinnings of new methodology, as well as developments in specific application domains such as biostatistics and bioinformatics, economics, machine learning, psychology, sociology, and aspects of the physical sciences.Complimentary online access to the first volume will be available until January 2015. table of contents: