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Format: 1 online resource (386 pages)

Edition: 1st ed.

ISBN: 9780521818735 , 9781139148702

Series Statement: Econometric Society Monographs v.Series Number 36

Content: This is the second of three volumes containing edited versions of papers and commentaries presented in invited symposium sessions of the Eighth World Congress of the Econometric Society. The papers summarize and interpret key developments and discuss future directions in a wide range of topics in economics and econometrics

Note: Cover -- Half-title -- Series-title -- Title -- Copyright -- Contents -- Contributors -- Preface -- CHAPTER 1 Sorting, Education, and Inequality -- 1. INTRODUCTION -- 2. SORTING INTO NEIGHBORHOODS -- 2.1. Multicommunity Models: The Economics of Sorting -- 2.2. The Efficiency of Local Provision of Education -- 2.3. Comparing Systems of Financing Public Education: Dynamic Considerations -- 3. SORTING INTO SCHOOLS -- 4. HOUSEHOLD SORTING -- 5. CONCLUDING REMARKS -- ACKNOWLEDGMENTS -- References -- CHAPTER 2 Wage Equations and Education Policy -- 1. INTRODUCTION -- 2. INTERPRETING WAGE EQUATIONS -- 2.1. The Wage Equation in a Competitive Model -- 2.2. The Wage Equation in the Burdett-Mortensen Equilibrium Search Model -- 2.3. The Schooling Coefficient -- 2.4. A Brief Digression: Estimating the Schooling Coefficient by Using Natural Experiments -- 3. EXTENSIONS OF THE COMPETITIVE SKILL MARKET EQUILIBRIUM MODEL -- 3.1. Willis and Rosen -- 3.2. Heckman and Sedlacek -- 3.3. Keane and Wolpin -- 4. USE OF STRUCTURAL ESTIMATION OF SCHOOLING CHOICE MODELS FOR THE EVALUATION OF EDUCATION POLICIES -- 4.1. Graduation Bonuses -- 4.2. Tuition Effects -- 4.3. Relaxing Borrowing Constraints -- 5. GENERAL EQUILIBRIUM -- 6. CONCLUSIONS -- ACKNOWLEDGMENTS -- References -- Empirical and Theoretical Issues in the Analysis of Education Policy -- 1. INTRODUCTION -- 2. SORTING, EDUCATION, AND INEQUALITY -- 3. WAGE EQUATIONS AND EDUCATION POLICY -- 4. CONCLUSION -- ACKNOWLEDGMENTS -- References -- CHAPTER 3 Toward a Theory of Competition Policy -- 1. INTRODUCTION -- 2. PRICE-FIXING AGREEMENTS -- 2.1. Fighting Collusion Per Se -- 2.1.1. Fighting Collusion in a Static Setting -- 2.1.2. Fighting Collusion in a Dynamic Setting -- 2.2.Fighting Facilitating Practices -- 2.2.1. Communication Devices -- 2.2.2. Resale Price Maintenance -- 3. MERGER CONTROL , 1. NONLINEAR IMPLICIT STRUCTURAL EQUATIONS -- 1.1. Discrete Case -- 1.2. Testing for Overidentification and Underidentification -- 2. CONTROL FUNCTIONS AND INSTRUMENTAL VARIABLES -- 2.1. Additive Errors -- 2.2. Discrete Choice -- References -- Name Index , 3.1. The Efficiency-Market Power Trade-Off -- 3.2. Assessing the Collusion Concern: The Role of Capacity Constraints -- 3.2.1. A Simple Model -- 3.2.2. Alpha-Equilibria -- 4. RESEARCH AGENDA -- 4.1. Procedures and Control Rights -- 4.2. Timing of Oversight -- 4.3. Information Intensiveness and Continued Relationship -- 4.4. Independence vis-à-vis the Political Environment -- ACKNOWLEDGMENTS -- References -- CHAPTER 4 Identification and Estimation of Cost Functions Using Observed Bid Data -- 1. INTRODUCTION -- 2. IDENTIFYING MARGINAL COST FUNCTIONS FROM BIDS AND MARKET PRICES AND QUANTITIES -- 3. MODELS OF BEST-RESPONSE BIDDING AND BEST-RESPONSE PRICING -- 4. RECOVERING COST FUNCTION ESTIMATES FROM BEST-RESPONSE PRICES -- 5. RECOVERING COST FUNCTION ESTIMATES FROM BEST-RESPONSE BIDDING -- 6. OVERVIEW OF NEM1 -- 6.1. Market Structure in NEM1 -- 6.2. Market Rules in NEM1 -- 7. RECOVERING IMPLIED MARGINAL COST FUNCTIONS AND HEDGE CONTRACT QUANTITIES -- 8. IMPLICATIONS FOR MARKET MONITORING AND DIRECTIONS FOR FUTURE RESEARCH -- ACKNOWLEDGMENTS -- References -- CHAPTER 5 Liquidity, Default, and Crashes -- 1. LIQUIDITY CRISES -- 2. DEFAULT AND ENDOGENOUS CONTRACTS -- 3. DEFAULT AND COLLATERAL -- 3.1. Contracts with Collateral -- 3.2. Production -- 4. COLLATERAL EQUILIBRIUM -- 4.1. The Budget Set -- 4.2. Equilibrium -- 4.3. The Orderly Function of Markets -- 4.4. Endogenous Contracts -- 4.5. Margins and Liquidity -- 4.6. Collateral and Default -- 4.7. Constrained Efficiency -- 5. VOLATILITY -- 5.1. Natural Buyers, the Marginal Buyer, and the Distribution of Wealth -- 5.2. Volatility and Incomplete Markets -- 5.3. Volatility II: Asset Values and Margin Requirements -- 5.4. Why Margin Requirements Get Tougher -- 6. ENDOGENOUS COLLATERAL WITH HETEROGENOUS BELIEFS: A SIMPLE EXAMPLE -- 6.1. The Marginal Buyer -- 6.2. Endogenous Margin Requirement , 6.3. Margin Feedback Effects -- 6.4. Endogenous Default -- 6.5. Efficiency Versus Constrained Efficiency -- 7. CRASHES -- 7.1. What Caused the Crash? Feedback -- 7.2. Why Did the Margin Increase? -- 7.3. Liquidity and Differences of Opinion -- 7.4. Profits After the Crash and Cautious Speculators -- 8. THE LIQUIDITY SPREAD -- 9. SPILLOVERS -- 9.1. Correlated Output -- 9.2. Independent Outputs and Correlated Opinions -- 9.3. Cross-Collateralization and the Margin Requirement -- 9.4. Rational Expectations and Liquidity Risk -- 10. TWO MORE CAUSES OF LIQUIDITY CRISES -- 11. A DEFINITION OF LIQUIDITY AND LIQUID WEALTH -- References -- CHAPTER 6 Trading Volume -- 1. INTRODUCTION -- 2. A DYNAMIC EQUILIBRIUM MODEL -- 2.1. The Economy -- 2.2. Discussion, Notation, and Simplifications -- 2.3.The Equilibrium -- 2.4. Implications for Trading and Returns -- 2.4.1. Trading Activity -- 2.4.2. Stock Returns -- 2.4.3. Volume-Return Relations -- 2.4.4. Merton's ICAPM -- 3. THE DATA -- 3.1. Volume Measures -- 3.1.1. A Numerical Example -- 3.1.2. Defining Individual and Portfolio Turnover -- 3.1.3. Time Aggregation -- 3.2. MiniCRSP Volume Data -- 3.3. Turnover Indexes -- 4. CROSS-SECTIONAL CHARACTERISTICS OF VOLUME -- 4.1. Theoretical Implications for Volume -- 4.2. The Cross Section of Turnover -- 4.2.1. Cross-Sectional Regressions -- 4.2.2. Tests of (K +1)-Fund Separation -- 5. DYNAMIC VOLUME-RETURN RELATION -- 5.1. Theoretical Implications for a Volume-Return Relation -- 5.2. The Impact of Asymmetric Information -- 5.3. Empirical Evidence -- 6. TRADING VOLUME AND TRANSACTIONS COSTS -- 6.1. Equilibrium Under Fixed Transactions Costs -- 6.2. Volume Under Fixed Transactions Costs -- 6.3. A Calibration Exercise -- 7. TECHNICAL ANALYSIS -- 7.1. Automating Technical Analysis -- 7.2. Statistical Inference -- 7.3. Empirical Results -- 8. CONCLUSIONS -- APPENDIX , ACKNOWLEDGMENTS -- References -- A Discussion of the Papers by John Geanakoplos and by Andrew W. Lo and Jiang Wang -- 1. INTRODUCTION -- 2. THE GEANAKOPLOS PAPER -- 3. THE LO AND WANG PAPER -- 4. CONCLUDING REMARKS -- References -- CHAPTER 7 Inverse Problems and Structural Econometrics -- 1. INTRODUCTION -- 2. FUNCTIONAL STRUCTURAL ECONOMETRICS AND INVERSE PROBLEMS -- 3. LINEAR INVERSE PROBLEMS -- 4. ILL-POSED LINEAR INVERSE PROBLEMS -- 5. RELATION BETWEEN ENDOGENOUS VARIABLES -- 6. IV ESTIMATION -- 7. ASYMPTOTIC THEORY FOR TIKHONOV REGULARIZATION OF ILL-POSED LINEAR INVERSE PROBLEMS -- 8. CONCLUSIONS -- ACKNOWLEDGMENTS -- References -- CHAPTER 8 Endogeneity in Nonparametric and Semiparametric Regression Models -- 1. INTRODUCTION -- 1.1. Structural Equations -- 1.2. Parameters of Interest -- 2. NONPARAMETRIC ESTIMATION UNDER ALTERNATIVE STOCHASTIC RESTRICTIONS -- 2.1. Instrumental Variables Methods -- 2.1.1. The Linear Model -- 2.1.2. Extensions to Additive Nonparametric Models -- 2.1.3. The Ill-Posed Inverse Problem -- 2.1.4. Consistent Estimation Methods -- 2.1.5. Nonadditive Models -- 2.1.6. Fitted-Value Methods -- 2.2. Control Function Methods -- 2.2.1. The Linear Model -- 2.2.2. Extensions to Additive Nonparametric Models -- 2.2.3. Nonadditive Models -- 2.2.4. Support Restrictions -- 3. BINARY RESPONSE LINEAR INDEX MODELS -- 3.1. Model Specification and Estimation Approach -- 3.1.1. The Semiparametric Estimator of the Index Coefficients -- 3.1.2. The Partial-Mean Estimator of the ASF -- 4. COHERENCY AND ALTERNATIVE SIMULTANEOUS REPRESENTATIONS -- 5. AN APPLICATION -- 5.1. The Data -- 5.2. A Model of Participation in Work and Other Family Income -- 5.3. Empirical Results -- 5.4. The Coherency Model -- 6.SUMMARY AND CONCLUSIONS -- ACKNOWLEDGMENTS -- References -- Endogeneity and Instruments in Nonparametric Models

Additional Edition: Print version Dewatripont, Mathias Advances in Economics and Econometrics: Volume 2 New York : Cambridge University Press,c2003 ISBN 9780521818735

Language: English

Keywords: Electronic books

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