Advances in economics and econometrics, vol. 3

310 Pages·2003·1.991 MB·English

by  Dewatripont M., Hansen L.P., Turnovsky S.J. (eds.)

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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
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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