Advances in Economics and Econometrics: Theory and Applications, Ninth World Congress, Volume III

This is the third book of three volumes containing edited versions of papers and a commentary presented at the Ninth World Congress of the Econometric Society, held in London in August 2005. The papers summarise and interpret key developments, and they discuss future directions for a wide variety of topics in economics and econometrics. The papers cover both theory and applications. Written by leading specialists in their fields, these volumes pre a unique survey of progress in the discipline.

• The most rigorously focused analysis of these subjects available anywhere • Written by world-class, internationally known academics based in North America and Europe • Contains 30 essential summative statements of key topics in today's economics
Contents

1. Identification of non-additive structural functions Andrew Chesher; 2. Non-additive models with endogenous regressors Guido W. Imbens; 3. Heterogeneity and microeconomics modeling Martin Browning and Jesus Carro; 4. Heterogeneous choice Rosa L. Matzkin; 5. Modeling heterogeneity Arthur Lewbel; 6. Inference with weak instruments Donald W. K. Andrews and James H. Stock; 7. Empirical likelihood methods in econometrics: theory and practice Yuichi Kitamura; 8. Weak instruments and empirical likelihood: a discussion of the papers by D. W. K. Andrews, J. H. Stock and Y. Kitamura Richard J. Smith; 9. Estimating continuous-time models with discretely sampled data Yacine Aït-Sahalia; 10. Variation, jumps and high frequency data in financial econometrics Ole E. Barndorff-Nielsen and Neil Shephard; 11. Discussion of Aït-Sahalia and Barndorff-Nielsen and Shephard Oliver Linton and Ilze Kalnina; 12. Understanding bias in nonlinear panel models: some recent developments Manuel Arellano and Jinyong Hahn; 13. Fixed and random effects in nonlinear panel data model, a discussion of a paper by Manuel Arellano and Jinyong Hahn Tiemen M. Woutersen.

Contributors

Andrew Chesher, Guido W. Imbens, Martin Browning, Jesus Carro, Rosa L. Matzkin, Arthur Lewbel, Donald W. K. Andrews, James H. Stock, Yuichi Kitamura, Richard J. Smith, Yacine Aït-Sahalia, Ole E. Barndorff-Nielsen, Neil Shephard, Oliver Linton, Ilze Kalnina, Manuel Arellano, Jinyong Hahn, Tiemen M. Woutersen