Advances in Economics and Econometrics: Theory and Applications, Eighth World Congress, Volume II (Econometric Society Monographs)

Cover......Page 1
Half-title......Page 3
Series-title......Page 5
Title......Page 7
Copyright......Page 8
Contents......Page 9
Contributors......Page 11
Preface......Page 13
1. INTRODUCTION......Page 15
2. SORTING INTO NEIGHBORHOODS......Page 16
2.1. Multicommunity Models: The Economics of Sorting......Page 17
2.2. The Efficiency of Local Provision of Education......Page 21
2.3. Comparing Systems of Financing Public Education: Dynamic Considerations......Page 28
3. SORTING INTO SCHOOLS......Page 38
4. HOUSEHOLD SORTING......Page 42
5. CONCLUDING REMARKS......Page 50
References......Page 51
1. INTRODUCTION......Page 55
2. INTERPRETING WAGE EQUATIONS......Page 58
2.1. The Wage Equation in a Competitive Model......Page 59
2.2. The Wage Equation in the Burdett–Mortensen Equilibrium Search Model......Page 61
2.3. The Schooling Coefficient......Page 63
2.4. A Brief Digression: Estimating the Schooling Coefficient by Using Natural Experiments......Page 66
3.1. Willis and Rosen......Page 67
3.2. Heckman and Sedlacek......Page 69
3.3. Keane and Wolpin......Page 71
4.1. Graduation Bonuses......Page 75
4.2. Tuition Effects......Page 77
4.3. Relaxing Borrowing Constraints......Page 79
5. GENERAL EQUILIBRIUM......Page 81
ACKNOWLEDGMENTS......Page 83
References......Page 84
2. SORTING, EDUCATION, AND INEQUALITY......Page 87
3. WAGE EQUATIONS AND EDUCATION POLICY......Page 91
References......Page 94
1. INTRODUCTION......Page 96
2. PRICE-FIXING AGREEMENTS......Page 98
2.1.1. Fighting Collusion in a Static Setting......Page 100
2.1.2. Fighting Collusion in a Dynamic Setting......Page 105
2.2.1. Communication Devices......Page 118
2.2.2. Resale Price Maintenance......Page 119
3. MERGER CONTROL......Page 123
3.1. The Efficiency–Market Power Trade-Off......Page 124
3.2. Assessing the Collusion Concern: The Role of Capacity Constraints......Page 128
3.2.1. A Simple Model......Page 129
3.2.2. Alpha-Equilibria......Page 130
4. RESEARCH AGENDA......Page 135
4.1. Procedures and Control Rights......Page 136
4.2. Timing of Oversight......Page 137
4.3. Information Intensiveness and Continued Relationship......Page 139
4.4. Independence vis-à-vis the Political Environment......Page 140
References......Page 142
1. INTRODUCTION......Page 147
2. IDENTIFYING MARGINAL COST FUNCTIONS FROM BIDS AND MARKET PRICES AND QUANTITIES......Page 149
3. MODELS OF BEST-RESPONSE BIDDING AND BEST-RESPONSE PRICING......Page 153
4. RECOVERING COST FUNCTION ESTIMATES FROM BEST-RESPONSE PRICES......Page 162
5. RECOVERING COST FUNCTION ESTIMATES FROM BEST-RESPONSE BIDDING......Page 165
6. OVERVIEW OF NEM1......Page 168
6.1. Market Structure in NEM1......Page 169
7. RECOVERING IMPLIED MARGINAL COST FUNCTIONS AND HEDGE CONTRACT QUANTITIES......Page 170
8. IMPLICATIONS FOR MARKET MONITORING AND DIRECTIONS FOR FUTURE RESEARCH......Page 181
References......Page 182
1. LIQUIDITY CRISES......Page 184
2. DEFAULT AND ENDOGENOUS CONTRACTS......Page 185
3. DEFAULT AND COLLATERAL......Page 187
3.2. Production......Page 188
4. COLLATERAL EQUILIBRIUM......Page 189
4.1. The Budget Set......Page 190
4.3. The Orderly Function of Markets......Page 191
4.4. Endogenous Contracts......Page 192
4.5. Margins and Liquidity......Page 193
4.7. Constrained Efficiency......Page 194
5.1. Natural Buyers, the Marginal Buyer, and the Distribution of Wealth......Page 195
5.4. Why Margin Requirements Get Tougher......Page 197
6. ENDOGENOUS COLLATERAL WITH HETEROGENOUS BELIEFS: A SIMPLE EXAMPLE......Page 199
6.3. Margin Feedback Effects......Page 203
6.4. Endogenous Default......Page 204
6.5. Efficiency Versus Constrained Efficiency......Page 205
7. CRASHES......Page 206
7.1. What Caused the Crash? Feedback......Page 209
7.4. Profits After the Crash and Cautious Speculators......Page 211
8. THE LIQUIDITY SPREAD......Page 212
9.1. Correlated Output......Page 214
9.2. Independent Outputs and Correlated Opinions......Page 215
9.4. Rational Expectations and Liquidity Risk......Page 216
11. A DEFINITION OF LIQUIDITY AND LIQUID WEALTH......Page 217
References......Page 218
1. INTRODUCTION......Page 220
2.1. The Economy......Page 222
2.2. Discussion, Notation, and Simplifications......Page 224
2.3.The Equilibrium......Page 225
2.4.2. Stock Returns......Page 228
2.4.3. Volume-Return Relations......Page 229
3. THE DATA......Page 230
3.1.1. A Numerical Example......Page 231
3.1.2. Defining Individual and Portfolio Turnover......Page 233
3.2. MiniCRSP Volume Data......Page 234
3.3. Turnover Indexes......Page 235
4.1. Theoretical Implications for Volume......Page 242
4.2. The Cross Section of Turnover......Page 244
4.2.1. Cross-Sectional Regressions......Page 245
4.2.2. Tests of (K +1)-Fund Separation......Page 251
5.1. Theoretical Implications for a Volume-Return Relation......Page 256
5.2. The Impact of Asymmetric Information......Page 257
5.3. Empirical Evidence......Page 258
6.1. Equilibrium Under Fixed Transactions Costs......Page 263
6.2. Volume Under Fixed Transactions Costs......Page 267
6.3. A Calibration Exercise......Page 268
7. TECHNICAL ANALYSIS......Page 273
7.1. Automating Technical Analysis......Page 274
7.2. Statistical Inference......Page 277
7.3. Empirical Results......Page 278
APPENDIX......Page 284
ACKNOWLEDGMENTS......Page 286
References......Page 287
1. INTRODUCTION......Page 292
2. THE GEANAKOPLOS PAPER......Page 293
3. THE LO AND WANG PAPER......Page 294
References......Page 296
1. INTRODUCTION......Page 298
2. FUNCTIONAL STRUCTURAL ECONOMETRICS AND INVERSE PROBLEMS......Page 299
3. LINEAR INVERSE PROBLEMS......Page 302
4. ILL-POSED LINEAR INVERSE PROBLEMS......Page 305
5. RELATION BETWEEN ENDOGENOUS VARIABLES......Page 310
6. IV ESTIMATION......Page 314
7. ASYMPTOTIC THEORY FOR TIKHONOV REGULARIZATION OF ILL-POSED LINEAR INVERSE PROBLEMS......Page 316
ACKNOWLEDGMENTS......Page 322
References......Page 323
1. INTRODUCTION......Page 326
1.1. Structural Equations......Page 327
1.2. Parameters of Interest......Page 329
2.1.1. The Linear Model......Page 332
2.1.2. Extensions to Additive Nonparametric Models......Page 333
2.1.3. The Ill-Posed Inverse Problem......Page 335
2.1.4. Consistent Estimation Methods......Page 336
2.1.5. Nonadditive Models......Page 339
2.1.6. Fitted-Value Methods......Page 342
2.2.1. The Linear Model......Page 344
2.2.2. Extensions to Additive Nonparametric Models......Page 345
2.2.3. Nonadditive Models......Page 347
2.2.4. Support Restrictions......Page 348
3.1. Model Specification and Estimation Approach......Page 350
3.1.1. The Semiparametric Estimator of the Index Coefficients......Page 351
4. COHERENCY AND ALTERNATIVE SIMULTANEOUS REPRESENTATIONS......Page 352
5. AN APPLICATION......Page 355
5.1. The Data......Page 356
5.2. A Model of Participation in Work and Other Family Income......Page 357
5.3. Empirical Results......Page 359
5.4. The Coherency Model......Page 362
6.SUMMARY AND CONCLUSIONS......Page 364
References......Page 366
1. NONLINEAR IMPLICIT STRUCTURAL EQUATIONS......Page 372
1.1. Discrete Case......Page 373
2.1. Additive Errors......Page 374
2.2. Discrete Choice......Page 376
References......Page 377
Name Index......Page 379