Through analysis of the European Union Emissions Trading Scheme (EU ETS) and the Clean Development Mechanism (CDM), this book demonstrates how to use a variety of econometric techniques to analyze the evolving and expanding carbon markets sphere, techniques that can be extrapolated to the worldwide marketplace. It features stylized facts about carbon markets from an economics perspective, as well as covering key aspects of pricing strategies, risk and portfolio management.

This volume provides a general overview of the econometrics of panel data, both from a theoretical and from an applied viewpoint. Since the pioneering papers by Kuh (1959), Mundlak (1961), Hoch (1962), and Balestra and Nerlove (1966), the pooling of cross-section and time-series data has become an increasingly popular way of quantifying economic relationships. Each series provides information lacking in the other, so a combination of both leads to more accurate and reliable results than would be achievable by one type of series alone. Over the last 30 years much work has been done: investigation of the properties of the applied estimators and test statistics, analysis of dynamic models and the effects of eventual measurement errors, etc. These are just some of the problems addressed by this work. In addition, some specific difficulties associated with the use of panel data, such as attrition, heterogeneity, selectivity bias, pseudo panels etc. have also been explored. The first objective of this book, which takes up Parts I and II, is to give as complete and up-to-date a presentation of these theoretical developments as possible. Part I is concerned with classical linear models and their extensions; Part II deals with nonlinear models and related issues: logit and probit models, latent variable models, incomplete panels and selectivity bias, and point processes. The second objective is to provide insights into the use of panel data in empirical studies. Since the beginning, interest in panel data has been empirically based, and over time has become increasingly important in applied economic studies. This is demonstrated by growing numbers of conferences and special issues of economic journals devoted to the subject. Part III deals with studies in several major fields of applied economics, such as labour and investment demand, labour supply, consumption, transitions on the labour market, and finance. The double emphasis of this book (theoretical and applied), together with the fact that all the chapters have been written by well-known specialists in the field, ensure that it will become a standard textbook for all those who are concerned with the use of panel data in econometrics, whether they are advanced students, professional economists or researchers.

Thi s book ari ses from The Fourth European Coll oqui urn on Theoret i ca 1 and Quant itat i ve Geography wh i ch was he 1 din Ve 1 dhoven, The Netherlands in September 1985. It contains a series of papers on spatial choice dynamics and dynamical spatial systems which were presented at the colloquium, together with a few other soll icited ones. The book is intended primarily as a state-of-the art review of mainly European research on these two fastly growing problem areas. As a consequence of this decision, the book contains a selection of papers that differs in terms of focus, level of sophistication and conceptual background. Evidently, the dissimination of ideas and computer software is a time-related phenomenon, which in the European context is amplified by differences in language, the profile of geography and the formal training of geographers. The book reflects such differences. It would have been impossible to produce this book without the support of the various European study groups on theoretical and quantitative geography. Without their help the meetings from which this volumes originates would not have been held in the first place. We are also indebted to the Royal Dutch Academy of Science for partly funding the colloquium, and to SISWO and TNOjPSC for providing general support in the organisation of the conference.

Giovanni Castellani Rector of the University of Venice This book contains the Proceedings of the Conference on "Economic Policy and Control Theory" which was held at the University of Venice (Italy) on 27 January-l February 1985. The goal of the Conference was to survey the main developments of control theory in economics, by emphasizing particularly new achievements in the analysis of dynamic economic models by con trol methods. The development of control theory is strictly related to the development of science and technology in the last forty years. Control theory was indeed applied mainly in engineering, and only in the sixties economists started using control methods for analys ing economic problems, even if some preliminary economic applica tions of calculus of variations, from which control theory was then developed, date back to the twenties. Applications of control theory in economics also had to solve new, complicated, problems, like those encountered in optimal growth models, or like the determination of the appropriate inter temporal social welfare function, of the policy horizon and the relative final state of the system, of the appropriate discount factor. Furthermore, the uncertainty characterizing economic models had to be taken into account, thus giving rise to the development of stochastic control theory in economics."

This work grew out of a series of investigations begun by the authors in 1980 and 1981. Specifically the authors pursued two lines of inquiry. First, to advance the state of the theoretical lit- erature to better explain the crises of liberalization which seemed to be afflicting the third world in general and Latin America in particular. To do this, several different kinds of models were in- vestigated and adapted. These are presented in Chapters 2, 3 and 5. Secondly an analysis of the empirical evidence was conducted in order to gain insight into the processes that were thought to be occurring and the theoretical models that were being developed. Some of this work appears in Chapters 3, 4, 5 and 6. Other work by the authors on these issues has been published elsewhere and is referenced herein. There are a great many people whose work and whose com- ments have influenced this work. We would like to especially thank Guillermo Calvo, Michael Connolly, Sebastian Edwards, Roque Fernandez, Michael Darby, Robert Clower, Neil Wallace, John Kareken, Paul McNelis, Jeffrey Nugent, Jaime Marquez, Lee Ohanian, Leroy Laney, Jorge Braga de Macedo, Dale Henderson, vii Matthew Canzoneiri, Arthur Laffer, Marc Miles, and George Von Furstenberg whose ideas and comments gave rise to much of our work. We would like to thank Suh Lee for his assistance with the computations in Chapter 5.

In recent years there has been a growing interest in and concern for the development of a sound spatial statistical body of theory. This work has been undertaken by geographers, statisticians, regional scientists, econometricians, and others (e. g., sociologists). It has led to the publication of a number of books, including Cliff and Ord's Spatial Processes (1981), Bartlett's The Statistical Analysis of Spatial Pattern (1975), Ripley's Spatial Statistics (1981), Paelinck and Klaassen's Spatial Economet ics (1979), Ahuja and Schachter's Pattern Models (1983), and Upton and Fingleton's Spatial Data Analysis by Example (1985). The first of these books presents a useful introduction to the topic of spatial autocorrelation, focusing on autocorrelation indices and their sampling distributions. The second of these books is quite brief, but nevertheless furnishes an eloquent introduction to the rela tionship between spatial autoregressive and two-dimensional spectral models. Ripley's book virtually ignores autoregressive and trend surface modelling, and focuses almost solely on point pattern analysis. Paelinck and Klaassen's book closely follows an econometric textbook format, and as a result overlooks much of the important material necessary for successful spatial data analy sis. It almost exclusively addresses distance and gravity models, with some treatment of autoregressive modelling. Pattern Models supplements Cliff and Ord's book, which in combination provide a good introduction to spatial data analysis. Its basic limitation is a preoccupation with the geometry of planar patterns, and hence is very narrow in scope."

The determinants of yield curve dynamics have been thoroughly discussed in finance models. However, little can be said about the macroeconomic factors behind the movements of short- and long-term interest rates as well as the risk compensation demanded by financial investors. By taking on a macro-finance perspective, the book's approach explicitly acknowledges the close feedback between monetary policy, the macroeconomy and financial conditions. Both theoretical and empirical models are applied in order to get a profound understanding of the interlinkages between economic activity, the conduct of monetary policy and the underlying macroeconomic factors of bond price movements. Moreover, the book identifies a broad risk-taking channel of monetary transmission which allows a reassessment of the role of financial constraints; it enables policy makers to develop new guidelines for monetary policy and for financial supervision of how to cope with evolving financial imbalances.

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 provide a unique survey of progress in the discipline.

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 provide a unique survey of progress in the discipline.

A lot of economic problems can be formulated as constrained optimizations and equilibration of their solutions. Various mathematical theories have been supplying economists with indispensable machineries for these problems arising in economic theory. Conversely, mathematicians have been stimulated by various mathematical difficulties raised by economic theories. The series is designed to bring together those mathematicians who are seriously interested in getting new challenging stimuli from economic theories with those economists who are seeking effective mathematical tools for their research.

This book provides cutting-edge research results and application experiencesfrom researchers and practitioners in multiple criteria decision making areas. It consists of three parts: MCDM Foundation and Theory, MCDM Methodology, and MCDM Applications. In Part I, it covers the historical MCDM development, the influence of MCDM on technology, society and policy, Pareto optimization, and analytical hierarchy process. In Part II, the book presents different MCDM algorithms based on techniques of robust estimating, evolutionary multiobjective optimization, Choquet integrals, and genetic search. In Part III, this book demonstrates a variety of MCDM applications, including project management, financial investment, credit risk analysis, railway transportation, online advertising, transport infrastructure, environmental pollution, chemical industry, and regional economy. The 17 papers of the book have been selected out of the 121 accepted papers at the 20th International Conference on Multiple Criteria Decision Making "New State of MCDM in 21st Century," held at Chengdu, China, in 2009. The 35 contributors of these papers stem from 10 countries."

To fully function in today's global real estate industry, students and professionals increasingly need to understand how to implement essential and cutting-edge quantitative techniques. This book presents an easy-to-read guide to applying quantitative analysis in real estate aimed at non-cognate undergraduate and masters students, and meets the requirements of modern professional practice. Through case studies and examples illustrating applications using data sourced from dedicated real estate information providers and major firms in the industry, the book provides an introduction to the foundations underlying statistical data analysis, common data manipulations and understanding descriptive statistics, before gradually building up to more advanced quantitative analysis, modelling and forecasting of real estate markets. Our examples and case studies within the chapters have been specifically compiled for this book and explicitly designed to help the reader acquire a better understanding of the quantitative methods addressed in each chapter. Our objective is to equip readers with the skills needed to confidently carry out their own quantitative analysis and be able to interpret empirical results from academic work and practitioner studies in the field of real estate and in other asset classes. Both undergraduate and masters level students, as well as real estate analysts in the professions, will find this book to be essential reading.

Financial globalization has increased the significance of methods used in the evaluation of country risk, one of the major research topics in economics and finance. Written by experts in the fields of multicriteria methodology, credit risk assessment, operations research, and financial management, this book develops a comprehensive framework for evaluating models based on several classification techniques that emerge from different theoretical directions. This book compares different statistical and data mining techniques, noting the advantages of each method, and introduces new multicriteria methodologies that are important to country risk modeling.

Key topics include: (1) A review of country risk definitions and an overview of the most recent tools in country risk management, (2) In-depth analysis of statistical, econometric and non-parametric classification techniques, (3) Several real-world applications of the methodologies described throughout the text, (4) Future research directions for country risk assessment problems.

This work is a useful toolkit for economists, financial managers, bank managers, operations researchers, management scientists, and risk analysts. Moreover, the book can also be used as a supplementary text for graduate courses in finance and financial risk management.

The book deals with collusion between firms on both sides of a market that is immune to deviations by coalitions. We study this issue using an infinitely countably repeated game with discounting of future single period payoffs. A strict strong perfect equilibrium is the main solution concept that we apply. It requires that no coalition of players in no subgame can weakly Pareto improve the vector of continuation average discounted payoffs of its members by a deviation. If the sum of firms' average discounted profits is maximized along the equilibrium path then the equilibrium output of each type of good is produced with the lowest possible costs. If, in addition, all buyers are retailers (i.e., they resell the goods purchased in the analyzed market in a retail market) then the equilibrium vector of the quantities sold in the retail market is sold with the lowest possible selling costs. We specify sufficient conditions under which collusion increases consumer welfare.

This book will interest and assist people who are dealing with the problems of predicitons of time series in higher education and research. It will greatly assist people who apply time series theory to practical problems in their work and also serve as a textbook for postgraduate students in statistics economics and related subjects.

The aim of the book is to provide an overview of risk management in life insurance companies. The focus is twofold: (1) to provide a broad view of the different topics needed for risk management and (2) to provide the necessary tools and techniques to concretely apply them in practice. Much emphasis has been put into the presentation of the book so that it presents the theory in a simple but sound manner. The first chapters deal with valuation concepts which are defined and analysed, the emphasis is on understanding the risks in corresponding assets and liabilities such as bonds, shares and also insurance liabilities. In the following chapters risk appetite and key insurance processes and their risks are presented and analysed. This more general treatment is followed by chapters describing asset risks, insurance risks and operational risks - the application of models and reporting of the corresponding risks is central. Next, the risks of insurance companies and of special insurance products are looked at. The aim is to show the intrinsic risks in some particular products and the way they can be analysed. The book finishes with emerging risks and risk management from a regulatory point of view, the standard model of Solvency II and the Swiss Solvency Test are analysed and explained. The book has several mathematical appendices which deal with the basic mathematical tools, e.g. probability theory, stochastic processes, Markov chains and a stochastic life insurance model based on Markov chains. Moreover, the appendices look at the mathematical formulation of abstract valuation concepts such as replicating portfolios, state space deflators, arbitrage free pricing and the valuation of unit linked products with guarantees. The various concepts in the book are supported by tables and figures.

This contribution applies the cointegrated vector autoregressive (CVAR) model to analyze the long-run behavior and short-run dynamics of stock markets across five developed and three emerging economies. The main objective is to check whether liquidity conditions play an important role in stock market developments. As an innovation, liquidity conditions enter the analysis from three angles: in the form of a broad monetary aggregate, the interbank overnight rate and net capital flows, which represent the share of global liquidity that arrives in the respective country. A second aim is to understand whether central banks are able to influence the stock market.

The estimation and the validation of the Basel II risk parameters PD (default probability), LGD (loss given fault), and EAD (exposure at default) is an important problem in banking practice. These parameters are used on the one hand as inputs to credit portfolio models and in loan pricing frameworks, on the other to compute regulatory capital according to the new Basel rules. This book covers the state-of-the-art in designing and validating rating systems and default probability estimations. Furthermore, it presents techniques to estimate LGD and EAD and includes a chapter on stress testing of the Basel II risk parameters. The second edition is extended by three chapters explaining how the Basel II risk parameters can be used for building a framework for risk-adjusted pricing and risk management of loans.

Getting Started with a SIMPLIS Approach is particularly appropriate for those users who are not experts in statistics, but have a basic understanding of multivariate analysis that would allow them to use this handbook as a good first foray into LISREL. Part I introduces the topic, presents the study that serves as the background for the explanation of matters, and provides the basis for Parts II and III, which, in turn, explain the process of estimation of the measurement model and the structural model, respectively. In each section, we also suggest essential literature to support the utilization of the handbook. After having read the book, readers will have acquired a basic knowledge of structural equation modeling, namely using the LISREL program, and will be prepared to continue with the learning process."

This volume is centered around the issue of market design and resulting market dynamics. The economic crisis of 2007-2009 has once again highlighted the importance of a proper design of market protocols and institutional details for economic dynamics and macroeconomics. Papers in this volume capture institutional details of particular markets, behavioral details of agents' decision making as well as spillovers between markets and effects to the macroeconomy. Computational methods are used to replicate and understand market dynamics emerging from interaction of heterogeneous agents, and to develop models that have predictive power for complex market dynamics. Finally treatments of overlapping generations models and differential games with heterogeneous actors are provided.

This is the second of three volumes containing edited versions of papers and a commentary presented at invited symposium sessions of the Ninth World Congress of the Econometric Society, held in London in August 2005. The papers summarize 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 provide a unique survey of progress in the discipline.

This is the second of three volumes containing edited versions of papers and a commentary presented at invited symposium sessions of the Ninth World Congress of the Econometric Society, held in London in August 2005. The papers summarize 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 provide a unique survey of progress in the discipline.

The text is aimed at final-year undergraduate students or those at the graduate level doing econometrics for the first time. It is an introductory course in the theory and practice of classical and modern econometric methods. A proper study of the material will allow the reader to - Understand the scope and limitations of classical and modern econometric techniques - Read, write and properly interpret articles and reports of an applied econometric nature - Build upon the elements of econometric theory and practice introduced in the book Although some basic knowledge of matrix algebra and elementary statistical theory will be assumed, much of it is covered in the body of the text. All the main theoretical concepts are illustrated with the use of econometric software, mainly EViews.

" …deals rigorously with many of the problems that have bedevilled the subject up to the present time…" — Stephen Pollock, Econometric Theory

"I continued to be pleasantly surprised by the variety and usefulness of its contents " — Isabella Verdinelli, Journal of the American Statistical Association

Continuing the success of their first edition, Magnus and Neudecker present an exhaustive and self-contained revised text on matrix theory and matrix differential calculus. Matrix calculus has become an essential tool for quantitative methods in a large number of applications, ranging from social and behavioural sciences to econometrics. While the structure and successful elements of the first edition remain, this revised and updated edition contains many new examples and exercises.

• Contains the essentials of multivariable calculus with an emphasis on the use of differentials
• Many new examples and exercises
• Fulfils the need for a unified and self-contained treatment of matrix differential calculus
• Includes new developments in this field

Part I presents a concise, yet thorough overview of matrix algebra, while the second part develops the theory of differentials. The remaining Parts III to VI combine the theory and application of matrix differential calculus providing the practitioner and researcher with both a quick review and a detailed reference.

Testing for a unit root is now an essential part of time series analysis. Indeed no time series study in economics, and other disciplines that use time series observations, can ignore the crucial issue of nonstationarity caused by a unit root. However, the literature on the topic is large and often technical, making it difficult to understand the key practical issues. This volume provides an accessible introduction and a critical overview of tests for a unit root in time series, with extensive practical examples and illustrations using simulation analysis. It presents the concepts that enable the reader to understand the theoretical background, and importance of ranA--dom walks and Brownian motion, to the development of unit root tests. The book also examines the latest developments and practical concerns in unit root testing. This book is indispensable reading for all interested in econometrics, time series econometrics, applied econometrics and applied statistics. It will also be of interest to other disciplines, such as geography, climate change and meteorology, which use time series of data.