I want to leave the big 4 to do social science research. What are my options besides doing a PhD?

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Typically, think tanks do hire PhDs for research positions, and the major exception (military/political/foreign policy experience) doesn't apply. You might find a research programming/quantitative analyst-type position where you'll be involved with research in some capacity, and once you're there you might or might not be able to persuade them to use you for other stuff.

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Or maybe a government agency that needs someone with this skill set.

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Like what kind of research ? Qual survey research - a place like Ipsos ?

I would either Survey research like Ipsos or think tank work like Brookings.

Look into boutique consultancies, maybe there are some up your alley. But yeah, like DS1 wrote, gonna be tough

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