This is the third 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 recent key developments and discuss future directions in a wide range of topics in economics and econometrics. The papers cover both theory and applications. Written by leading specialists in their fields these volumes provide a unique survey of progress in the discipline.

Nanak Kakwani and Hyun Hwa Son make use of social welfare functions to derive indicators of development relevant to specific social objectives, such as poverty- and inequality-reduction. Arguing that the measurement of development cannot be value-free, the authors assert that if indicators of development are to have policy relevance, they must be assessed on the basis of the social objectives in question. This study develops indicators that are sensitive to both the level and the distribution of individuals' capabilities. The idea of the social welfare function, defined in income space, is extended to the concept of the social well-being function, defined in capability space. Through empirical analysis from selected developing countries, with a particular focus on Brazil, the authors shape techniques appropriate to the analysis of development in different dimensions. The focus of this evidence-based policy analysis is to evaluate alternative policies affecting the capacities of people to enjoy a better life.

The major methodological task for modern economists has been to establish the testability of models. Too often, however, methodological assumptions can make a model virtually impossible to test even under ideal conditions, yet few theorists have examined the requirements and problems of assuring testability in economics. In The Methodology of Economic Model Building, first published in 1989, Lawrence Boland presents the results of a research project that spanned more than twenty years. He examines how economists have applied the philosophy of Karl Popper, relating methodological debates about falsifiability to wider discussions about the truth status of models in natural and social sciences. He concludes that model building in economics reflects more the methodological prescriptions of the economist Paul Samuelson than Popper's 'falsificationism'. This title will prove invaluable to both students and researchers, and represents a substantial contribution to current debates about the scientific status of economics.

This book describes a maximally simple market risk model that is still practical and main risk measures like the value-at-risk and the expected shortfall. It outlines the model's (i) underlying math, (ii) daily operation, and (iii) implementation, while stripping away statistical overhead to keep the concepts accessible. The author selects and weighs the various model features, motivating the choices under real-world constraints, and addresses the evermore important handling of regulatory requirements. The book targets not only practitioners new to the field but also experienced market risk operators by suggesting useful data analysis procedures and implementation details. It furthermore addresses market risk consumers such as managers, traders, and compliance officers by making the model behavior intuitively transparent. A very useful guide to the theoretical and practical aspects of implementing and operating a risk-monitoring system for a mid-size financial institution. It sets a common body of knowledge to facilitate communication between risk managers, computer and investment specialists by bridging their diverse backgrounds. Giovanni Barone-Adesi - Professor, Universita della Svizzera italiana This unassuming and insightful book starts from the basics and plainly brings the reader up to speed on both theory and implementation. Shane Hegarty - Director Trade Floor Risk Management, Scotiabank Visit the book's website at www.value-at-risk.com.

This volume focuses on econometric models that confront estimation and inference issues occurring when sample data exhibit spatial or spatiotemporal dependence. This can arise when decisions or transactions of economic agents are related to the behaviour of nearby agents. Dependence of one observation on neighbouring observations violates the typical assumption of independence made in regression analysis. Contributions to this volume by leading experts in the field of spatial econometrics provide details regarding estimation and inference based on a variety of econometric methods including, maximum likelihood, Bayesian and hierarchical Bayes, instrumental variables, generalized method of moments, maximum entropy, non-parametric and spatiotemporal. An overview of spatial econometric models and methods is provided that places contributions to this volume in the context of existing literature. New methods for estimation and inference are introduced in this volume and Monte Carlo comparisons of existing methods are described. In addition to topics involving estimation and inference, approaches to model comparison and selection are set forth along with new tests for spatial dependence and functional form. These methods are applied to a variety of economic problems including: hedonic real estate pricing, agricultural harvests and disaster payments, voting behaviour, identification of edge cities, and regional labour markets. The volume is supported by a web site containing data sets and software to implement many of the methods described by contributors to this volume.

Over the course of his professional life, John Maynard Keynes altered his views from free trade in the classical tradition to restricted trade. At the end of his career, his position on the issue was still not categorically resolved even though the evidence seems to suggest that he moved closer to a system of managed trade. In that model, nations would not leave their foreign trade interests open to the vagaries of the free market, but rather exercise some degree of control over them just as they would their domestic economies. Nevertheless, there is no general agreement among economists as to whether Keynes ended his career in the camp of the free traders or aligned himself with the protectionists. John Maynard Keynes: Free Trader or Protectionist? seeks an answer to this question by analyzing Keynes' own views on this issue, as stated in his major publications, letters, speeches, testimony before government bodies, newspaper articles, participation in conferences, and other sources. Through this detailed review of what Keynes himself had to say on the issue as opposed to what others have alleged, this book strives to make a significant contribution to the resolution of this issue.

This textbook concisely covers math knowledge and tools useful for business and economics studies, including matrix analysis, basic math concepts, general optimization, dynamic optimization, and ordinary differential equations. Basic math tools, particularly optimization tools, are essential for students in a business school, especially for students in economics, accounting, finance, management, and marketing. It is a standard practice nowadays that a graduate program in a business school requires a short and intense course in math just before or immediately after the students enter the program. Math in Economics aims to be the main textbook for such a crash course.The 1st edition was published by People's University Publisher, China. This new edition contains an added chapter on Probability Theory along with changes and improvements throughout.

This textbook concisely covers math knowledge and tools useful for business and economics studies, including matrix analysis, basic math concepts, general optimization, dynamic optimization, and ordinary differential equations. Basic math tools, particularly optimization tools, are essential for students in a business school, especially for students in economics, accounting, finance, management, and marketing. It is a standard practice nowadays that a graduate program in a business school requires a short and intense course in math just before or immediately after the students enter the program. Math in Economics aims to be the main textbook for such a crash course.The 1st edition was published by People's University Publisher, China. This new edition contains an added chapter on Probability Theory along with changes and improvements throughout.

This book covers diverse themes, including institutions and efficiency, choice and values, law and economics, development and policy, and social and economic measurement. Written in honour of the distinguished economist Satish K. Jain, this compilation of essays should appeal not only to students and researchers of economic theory but also to those interested in the design and evaluation of institutions and policy.

The past ten years for the Middle East and North Africa (MENA) region countries have registered an extreme deterioration in at least one measure of social and economic welfare: earnings inequality, unemployment, and poverty. The combination of slow economic growth, population explosion, and decline in labor productivity led to the reversal of the economic gains achieved during the economic boom in the 1970s. In contrast to that period, growth per capita (GDP) in 1980-1991 for Arab countries was -0.2%. Several indicators point to the extent of the problems faced today by the region's countries. Although the percentage of poverty declined for the majority of the regions in the world in 1985-1990, it has increased in the MENA region.

The purpose of this volume is to address the conditions of earnings inequality, unemployment, and poverty in the MENA region and the problems associated with these factors; to determine the state and magnitude of these problems through various country studies; and to provide solutions to alleviate the negative conditions facing developing economies, with special emphasis on the MENA countries.

Change of Time and Change of Measure provides a comprehensive account of two topics that are of particular significance in both theoretical and applied stochastics: random change of time and change of probability law.Random change of time is key to understanding the nature of various stochastic processes, and gives rise to interesting mathematical results and insights of importance for the modeling and interpretation of empirically observed dynamic processes. Change of probability law is a technique for solving central questions in mathematical finance, and also has a considerable role in insurance mathematics, large deviation theory, and other fields.The book comprehensively collects and integrates results from a number of scattered sources in the literature and discusses the importance of the results relative to the existing literature, particularly with regard to mathematical finance.In this Second Edition a Chapter 13 entitled 'A Wider View' has been added. This outlines some of the developments that have taken place in the area of Change of Time and Change of Measure since the publication of the First Edition. Most of these developments have their root in the study of the Statistical Theory of Turbulence rather than in Financial Mathematics and Econometrics, and they form part of the new research area termed 'Ambit Stochastics'.

As communities in the United States and Europe confront shortages of disposal capacity, the growing solid waste stream increasingly threatens the environment.This important new book addresses a major policy question regarding the solid waste crisis: should municipalities charge households user fees for solid waste services? In her study of this issue, Professor Jenkins draws on a unique data set which relates the quantities of waste discarded and the prices charged to households for waste services in nine US communities. She thoroughly analyses the relationship between the quantity of waste that individuals discard and such socio-economic variables as household income, the age of individuals and the population density of the community. In addition she develops a utility maximization model that suggests that user fees do encourage people to recycle waste. Finally she provides simple instructions for forecasting the quantity of waste discarded by a particular community. This unique book will be essential reading not only for social scientists with an interest in the environment but also for government officials and community activists concerned with the solid waste crisis.

This volume gathers together key new contributions on the subject of the relationship, both empirical and theoretical, between economic oscillations, growth and structural change. Employing a sophisticated level of mathematical modelling, the collection contains articles from, amongst others, William Baumol, Katsuhito Iwai and William Brock.

Contrary to much Marxist thought, Everling does not view socialism as an antithesis to capitalism, and argues that socialism is, among other things, an objective development of capitalism. As capitalism develops it creates the premises for social development which are also the bases for a socialist and democratic construction of society. Drawing on economics, urban geography, political theory and Marxism, Social Economy: * Examines the evolution of capitalism from its early industrial to its present urban and global forms * Shows how Marx understood the economy as a unity of production, distribution, exchange and consumption engaged in social reproduction * Explores the contradictory evolution of US corporations and urban development from 1945 to the present * Argues that urban space involves requirements for social and individual reproduction which extend well beyond limits inherent in transnational corporate private appropriation Using his unique arguments, Everling makes the case that economic expansion can now best be secured by forms of development that take us beyond the limits of capitalism and point towards a democratic and socialist society.

This book is an introduction to financial valuation and financial data analyses using econometric methods. It is intended for advanced finance undergraduates and graduates. Most chapters in the book would contain one or more finance application examples where finance concepts, and sometimes theory, are taught.This book is a modest attempt to bring together several important domains in financial valuation theory, in econometrics modelling, and in the empirical analyses of financial data. These domains are highly intertwined and should be properly understood in order to correctly and effectively harness the power of data and statistical or econometrics methods for investment and financial decision-making.The contribution in this book, and at the same time, its novelty, is in employing materials in basic econometrics, particularly linear regression analyses, and weaving into it threads of foundational finance theory, concepts, ideas, and models. It provides a clear pedagogical approach to allow very effective learning by a finance student who wants to be well equipped in both theory and ability to research the data.This is a handy book for finance professionals doing research to easily access the key techniques in data analyses using regression methods. Students learn all 3 skills at once - finance, econometrics, and data analyses. It provides for very solid and useful learning for advanced undergraduate and graduate students who wish to work in financial analyses, risk analyses, and financial research areas.

This book is intended as an introduction to game theory which goes beyond the field of application, economics, and which introduces the reader to as many different sides of game theory as possible within the limitations of an introduction. The main goal is to give an impression of the diversity of game theoretical models, while at the same time covering the standard topics. The book has an equal coverage of non-cooperative and cooperative games, and it covers several topics such as selecting Nash equilibria, non-transferable utility games, applications of game theory to logic, combinatorial and differential games.

This book offers a useful combination of probabilistic and statistical tools for analyzing nonlinear time series. Key features of the book include a study of the extremal behavior of nonlinear time series and a comprehensive list of nonlinear models that address different aspects of nonlinearity. Several inferential methods, including quasi likelihood methods, sequential Markov Chain Monte Carlo Methods and particle filters, are also included so as to provide an overall view of the available tools for parameter estimation for nonlinear models. A chapter on integer time series models based on several thinning operations, which brings together all recent advances made in this area, is also included.

Readers should have attended a prior course on linear time series, and a good grasp of simulation-based inferential methods is recommended. This book offers a valuable resource for second-year graduate students and researchers in statistics and other scientific areas who need a basic understanding of nonlinear time series.

This collection of papers delivered at the Fifth International Symposium in Economic Theory and Econometrics in 1988 is devoted to the estimation and testing of models that impose relatively weak restrictions on the stochastic behaviour of data. Particularly in highly non-linear models, empirical results are very sensitive to the choice of the parametric form of the distribution of the observable variables, and often nonparametric and semiparametric models are a preferable alternative. Methods and applications that do not require string parametric assumptions for their validity, that are based on kernels and on series expansions, and methods for independent and dependent observations are investigated and developed in these essays by renowned econometricians.

In the twentieth century, Americans thought of the United States as a land of opportunity and equality. To what extent and for whom this was true was, of course, a matter of debate, however especially during the Cold War, many Americans clung to the patriotic conviction that America was the land of the free. At the same time, another national ideal emerged that was far less contentious, that arguably came to subsume the ideals of freedom, opportunity, and equality, and that eventually embodied an unspoken consensus about what constitutes the good society in a postmodern setting. This was the ideal of choice, broadly understood as the proposition that the good society provides individuals with the power to shape the contours of their lives in ways that suit their personal interests, idiosyncrasies, and tastes. By the closing decades of the century, Americans were widely agreed that theirs was-or at least should be-the land of choice. In A Destiny of Choice?, David Blanke and David Steigerwald bring together important scholarship on the tension between two leading interpretations of modern American consumer culture. That modern consumerism reflects the social, cultural, economic, and political changes that accompanied the country's transition from a local, producer economy dominated by limited choices and restricted credit to a national consumer marketplace based on the individual selection of mass-produced, mass-advertised, and mass-distributed goods. This debate is central to the economic difficulties seen in the United States today.

Environmental risk directly affects the financial stability of banks since they bear the financial consequences of the loss of liquidity of the entities to which they lend and of the financial penalties imposed resulting from the failure to comply with regulations and for actions taken that are harmful to the natural environment. This book explores the impact of environmental risk on the banking sector and analyzes strategies to mitigate this risk with a special emphasis on the role of modelling. It argues that environmental risk modelling allows banks to estimate the patterns and consequences of environmental risk on their operations, and to take measures within the context of asset and liability management to minimize the likelihood of losses. An important role here is played by the environmental risk modelling methodology as well as the software and mathematical and econometric models used. It examines banks' responses to macroprudential risk, particularly from the point of view of their adaptation strategies; the mechanisms of its spread; risk management and modelling; and sustainable business models. It introduces the basic concepts, definitions, and regulations concerning this type of risk, within the context of its influence on the banking industry. The book is primarily based on a quantitative and qualitative approach and proposes the delivery of a new methodology of environmental risk management and modelling in the banking sector. As such, it will appeal to researchers, scholars, and students of environmental economics, finance and banking, sociology, law, and political sciences.

This is the first volume in a ten-volume set designed for publication in 1997. It reprints in book form a selection of the most important and influential articles on probability, econometrics and economic games which cumulatively have had a major impact on the development of modern economics. There are 242 articles, dating from 1936 to 1996. Many of them were originally published in relatively inaccessible journals and may not, therefore, be available in the archives of many university libraries. The volumes are available separately and also as a complete ten-volume set. The contributors include D. Ellsberg, R.M. Hogart, J.B. Kadane, B.O. Koopmans, E.L. Lehman, D.F. Nicholls, H. Rubin, T.J. Sarjent, L.H. Summers and C.R. Wymer. This particular volume deals with the foundations of probability, econometrics and economic games.

Are there distinct European traditions in economics? Is modern economics homogenous and American? The volume includes case studies of the UK, Sweden, the Netherlands, Belgium, Germany, France, Italy, Portugal, Spain and Greece. Each of these examines the conditions relating to the supply of, and demand for, economists. These include: the growth of higher education, the development of postgraduate training in economics, international linkages, both within Europe and outside it, economic ideas and professionalization, and involvement in economic policy-making and public affairs. Whilst each chapter is attentive to particular national features, they also place the development of economics in the context of the postwar movement towards European integration.

The explosive growth of the credit risk industry is symbolic not only of the rapid expansion of finance into new and global markets, but is also representative of a widespread shift. The securitization of risk and, in particular, its transfer through the resulting credit derivatives, has dramatically changed the ways in which both the world economy and the finance industry work. This authoritative collection of key papers provides an overview of the subject from its beginnings through to current scholarship in this area. While the experienced investigator will find this anthology a convenient collection of essential papers, the student new to the field will be quickly taken to the front lines of research. Consequently, this collection will be of interest to historians, researchers, and students.

The book provides an extensive discussion of asymptotic theory of M-estimators in the context of dynamic nonlinear models. The class of M-estimators contains least mean distance estimators (including maximum likelihood estimators) and generalized method of moments estimators. In addition to establishing the asymptotic properties of such estimators, the book provides a detailed discussion of the statistical and probabilistic tools necessary for such an analysis. The book also gives a careful treatment of estimators of asymptotic variance covariance matrices for dependent processes.