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Advances in economics and econometrics, vol. 3 PDF

310 Pages·2003·1.991 MB·English
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TTTThhhhiiiissss ppppaaaaggggeeee iiiinnnntttteeeennnnttttiiiioooonnnnaaaallllllllyyyy lllleeeefffftttt bbbbllllaaaannnnkkkk This page intentionally left blank Advances in Economics and Econometrics This is the third of three volumes containing edited versions of papers and com- mentariespresentedatinvitedsymposiumsessionsoftheEighthWorldCongressof theEconometricSociety,heldinSeattle,WAinAugust2000.Thepaperssummarize andinterpretrecentkeydevelopments,andtheydiscussfuturedirectionsforawide rangeoftopicsineconomicsandeconometrics.Thepaperscoverboththeoryand applications.Writtenbyleadingspecialistsintheirfields,thesevolumesprovidea uniquesurveyofprogressinthediscipline. MathiasDewatripontisProfessorofEconomicsattheUniversite´LibredeBruxelles wherehewasthefoundingDirectoroftheEuropeanCentreforAdvancedResearch inEconomics(ECARE).Since1998,hehasbeenResearchDirectoroftheLondon- basedCEPR(CentreforEconomicPolicyResearch)network.In1998,hereceived theFrancquiPrize,awardedeachyeartoaBelgianscientistbelowtheageof50. LarsPeterHansenisHomerJ.LivingstonDistinguishedServiceProfessorofEco- nomicsattheUniversityofChicago.Hewasaco-winneroftheFrischPrizeMedal in1984.HeisalsoamemberoftheNationalAcademyofSciences. StephenJ.TurnovskyisCastorProfessorofEconomicsattheUniversityofWash- ingtonandrecentlyservedasanEditoroftheJournalofEconomicDynamicsand Control.HeisanAssociateEditorandisontheEditorialBoardoffourotherjournals ineconomictheoryandinternationaleconomics. Professors Dewatripont, Hansen, and Turnovsky are Fellows of the Econometric SocietyandwereProgramCo-ChairsoftheEighthWorldCongressoftheEcono- metricSociety,heldinSeattle,WAinAugust2000. EconometricSocietyMonographsNo.37 Editors: AndrewChester,UniversityCollegeLondon MatthewJackson,CaliforniaInstituteofTechnology TheEconometricSocietyisaninternationalsocietyfortheadvancementofeconomictheoryinrelation tostatisticsandmathematics.TheEconometricSocietyMonographSeriesisdesignedtopromotethe publicationoforiginalresearchcontributionsofhighqualityinmathematicaleconomicsandtheoretical andappliedeconometrics. Othertitlesintheseries: G.S.MaddalaLimiteddependentandqualitativevariablesineconometrics,0521338255 GerardDebreuMathematicaleconomics:TwentypapersofGerardDebreu,0521335612 Jean-MichelGrandmontMoneyandvalue:Areconsiderationofclassicalandneoclassicalmonetary economics,0521313643 FranklinM.FisherDisequilibriumfoundationsofequilibriumeconomics,0521378567 AndreuMas-ColellThetheoryofgeneraleconomicequilibrium:Adifferentiableapproach, 0521265142,0521388708 TrumanF.Bewley,EditorAdvancesineconometrics–FifthWorldCongress(VolumeI), 0521467268 TrumanF.Bewley,EditorAdvancesineconometrics–FifthWorldCongress(VolumeII), 052146725X Herve´MoulinAxiomsofcooperativedecisionmaking,0521360552,0521424585 L.G.GodfreyMisspecificationtestsineconometrics:TheLagrangemultiplierprincipleandother approaches,0521424593 TonyLancasterTheeconometricanalysisoftransitiondata,052143789X AlvinE.RothandMarildaA.OlivieraSotomayor,EditorsTwo-sidedmatching:Astudyin game-theoreticmodelingandanalysis,0521437881 WolfgangHa¨rdle,Appliednonparametricregression,0521429501 Jean-JacquesLaffont,EditorAdvancesineconomictheory–SixthWorldCongress(VolumeI), 0521484596 Jean-JacquesLaffont,EditorAdvancesineconomictheory–SixthWorldCongress(VolumeII), 052148460X HalbertWhiteEstimation,inferenceandspecification,0521252806,0521574463 ChristopherSims,EditorAdvancesineconometrics–SixthWorldCongress(VolumeI), 052156610X ChristopherSims,EditorAdvancesineconometrics–SixthWorldCongress(VolumeII), 0521566096 RogerGuesnerieAcontributiontothepuretheoryoftaxation,0521236894,052162956X DavidM.KrepsandKennethF.Wallis,EditorsAdvancesineconomicsandeconometrics–Seventh WorldCongress(VolumeI),0521580110,0521589835 DavidM.KrepsandKennethF.Wallis,EditorsAdvancesineconomicsandeconometrics–Seventh WorldCongress(VolumeII),0521580129,0521589827 DavidM.KrepsandKennethF.Wallis,EditorsAdvancesineconomicsandeconometrics–Seventh WorldCongress(VolumeIII),0521580137,0521589819 DonaldP.Jacobs,EhudKalai,andMortonI.Kamien,EditorsFrontiersofresearchineconomic theory:TheNancyL.SchwartzMemorialLectures,1983–1997,0521632226,0521635381 A.Colin,CameronandPravinK.Trivedi,Regressionanalysisofcountdata,0521632013, 0521635675 SteinarStrøm,EditorEconometricsandeconomictheoryinthe20thcentury:TheRagnarFrisch CentennialSymposium,0521633230,0521633656 EricGhysels,NormanR.Swanson,andMarkWatson,EditorsEssaysineconometrics:Collected papersofCliveW.J.Granger(VolumeI),0521772974,0521804018,0521774969, 0521796970 EricGhysels,NormanR.Swanson,andMarkWatson,EditorsEssaysineconometrics:Collected papersofCliveW.J.Granger(VolumeII),052179207X,0521804018,0521796490, 0521796970 ChengHsiao,Analysisofpaneldata,secondedition,0521818559,0521522714 MathiasDewatripont,LarsPeterHansen,andStephenJ.Turnovsky,EditorsAdvancesineconomics andeconometrics–EighthWorldCongress(Volume1),0521818728,0521524113 MathiasDewatripont,LarsPeterHansen,andStephenJ.Turnovsky,EditorsAdvancesineconomics andeconometrics–EighthWorldCongress(VolumeII),0521818737,0521524121 Advances in Economics and Econometrics Theory and Applications, Eighth World Congress, Volume III Edited by Mathias Dewatripont Universite´ LibredeBruxelles andCEPR,London Lars Peter Hansen UniversityofChicago Stephen J. Turnovsky UniversityofWashington    Cambridge, New York, Melbourne, Madrid, Cape Town, Singapore, São Paulo Cambridge University Press The Edinburgh Building, Cambridge  , United Kingdom Published in the United States of America by Cambridge University Press, New York www.cambridge.org Information on this title: www.cambridge.org/9780521818742 © Mathias Dewatripont, Lars Peter Hansen, and Stephen J. Turnovsky 2003 This book is in copyright. Subject to statutory exception and to the provision of relevant collective licensing agreements, no reproduction of any part may take place without the written permission of Cambridge University Press. First published in print format 2003 -  isbn-13 978-0-511-06991-8 eBook (EBL) -  isbn-10 0-511-06991-X eBook (EBL) -  isbn-13 978-0-521-81874-2 hardback -  isbn-10 0-521-81874-5 hardback isbn--13 978-0-521-52413-1 paperback -  isbn-10 0-521-52413-X paperback Cambridge University Press has no responsibility for the persistence or accuracy of s for external or third-party internet websites referred to in this book, and does not guarantee that any content on such websites is, or will remain, accurate or appropriate. Contents ListofContributors page ix Preface xi 1. ContractingConstraints,CreditMarkets,andEconomic Development 1 abhijit v. banerjee 2. FactorModelsinLargeCrossSectionsofTimeSeries 47 lucrezia reichlin 3. MacroeconomicForecastingUsingManyPredictors 87 mark w. watson “BigData”DynamicFactorModelsforMacroeconomic MeasurementandForecasting:ADiscussionofthePapers byLucreziaReichlinandbyMarkW.Watson 115 francis x. diebold 4. HowSevereIstheTime-InconsistencyProblemin MonetaryPolicy? 123 stefania albanesi, v. v. chari, and lawrence j. christiano 5. NewPerspectivesonMonetaryPolicy,Inflation,andthe BusinessCycle 151 jordi gal´ı CommentsonPapersbyStefaniaAlbanesi,V.V.Chari, andLawrenceJ.ChristianoandbyJordiGal´ı 198 christopher a. sims 6. ConsumptionSmoothingandExtendedFamilies 209 orazio p. attanasio and jose´-v´ictor r´ios-rull 7. ComputationalMethodsforDynamicEquilibriawith HeterogeneousAgents 243 kenneth l. judd, felix kubler, and karl schmedders Index 291

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