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The Econometric Society Monographs series is designed to promote the publication of original research contributions of high quality in economic theory and theoretical and applied econometrics. The editors of the Monographs series now welcome focused manuscripts of 100 to 150 pages that treat or survey cutting-edge or perennially important topics. For instance, these may address themes covered in the Society's recent World Congress volumes and similar series.

  • General Editors: Alessandro Pavan, Northwestern University, Illinois, Serena Ng, Columbia University, New York

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63 results in Econometric Society Monographs

Page 1 of 4

Stochastic Choice Theory
  • Tomasz Strzalecki
  • Coming soon
  • Expected online publication date:
    January 2025
    Print publication:
    23 January 2025
  • Models of stochastic choice are studied in decision theory, discrete choice econometrics, behavioral economics and psychology. Numerous experiments show that perception of stimuli is not deterministic, but stochastic (randomly determined). A growing body of evidence indicates that the same is true of economic choices. Whether trials are separated by days or minutes, the fraction of choice reversals is substantial. Stochastic Choice Theory offers a systematic introduction to these models, unifying insights from various fields. It explores mathematical models of stochastic choice, which have a variety of applications in game theory, industrial organization, labor economics, marketing, and experimental economics. Offering a systematic introduction to the field, this book builds up from scratch without any prior knowledge requirements and surveys recent developments, bringing readers to the frontier of research.

Analysis of Panel Data
  • 4th edition
  • Cheng Hsiao
  • Published online:
    19 May 2022
    Print publication:
    07 July 2022
  • Now in its fourth edition, this comprehensive introduction of fundamental panel data methodologies provides insights on what is most essential in panel literature. A capstone to the forty-year career of a pioneer of panel data analysis, this new edition's primary contribution will be the coverage of advancements in panel data analysis, a statistical method widely used to analyze two or higher-dimensional panel data. The topics discussed in early editions have been reorganized and streamlined to comprehensively introduce panel econometric methodologies useful for identifying causal relationships among variables, supported by interdisciplinary examples and case studies. This book, to be featured in Cambridge's Econometric Society Monographs series, has been the leader in the field since the first edition. It is essential reading for researchers, practitioners and graduate students interested in the analysis of microeconomic behavior.

The Black–Scholes–Merton Model as an Idealization of Discrete-Time Economies
  • David M. Kreps
  • Published online:
    09 September 2019
    Print publication:
    19 September 2019
  • This book examines whether continuous-time models in frictionless financial economies can be well approximated by discrete-time models. It specifically looks to answer the question: in what sense and to what extent does the famous Black-Scholes-Merton (BSM) continuous-time model of financial markets idealize more realistic discrete-time models of those markets? While it is well known that the BSM model is an idealization of discrete-time economies where the stock price process is driven by a binomial random walk, it is less known that the BSM model idealizes discrete-time economies whose stock price process is driven by more general random walks. Starting with the basic foundations of discrete-time and continuous-time models, David M. Kreps takes the reader through to this important insight with the goal of lowering the entry barrier for many mainstream financial economists, thus bringing less-technical readers to a better understanding of the connections between BSM and nearby discrete-economies.

How to Divide When There Isn't Enough
  • From Aristotle, the Talmud, and Maimonides to the Axiomatics of Resource Allocation
  • William Thomson
  • Published online:
    13 August 2019
    Print publication:
    05 September 2019
  • How to Divide When There Isn't Enough develops a rigorous yet accessible presentation of the state-of-the-art for the adjudication of conflicting claims and the theory of taxation. It covers all aspects one may wish to know about claims problems: the most important rules, the most important axioms, and how these two sets are related. More generally, it also serves as an introduction to the modern theory of economic design, which in the last twenty years has revolutionized many areas of economics, generating a wide range of applicable allocations rules that have improved people's lives in many ways. In developing the theory, the book employs a variety of techniques that will appeal to both experts and non-experts. Compiling decades of research into a single framework, William Thomson provides numerous applications that will open a large number of avenues for future research.

Ignorance and Uncertainty
  • Olivier Compte, Andrew Postlewaite
  • Published online:
    30 November 2018
    Print publication:
    13 December 2018
  • Born of a belief that economic insights should not require much mathematical sophistication, this book proposes novel and parsimonious methods to incorporate ignorance and uncertainty into economic modeling, without complex mathematics. Economics has made great strides over the past several decades in modeling agents' decisions when they are incompletely informed, but many economists believe that there are aspects of these models that are less than satisfactory. Among the concerns are that ignorance is not captured well in most models, that agents' presumed cognitive ability is implausible, and that derived optimal behavior is sometimes driven by the fine details of the model rather than the underlying economics. Compte and Postlewaite lay out a tractable way to address these concerns, and to incorporate plausible limitations on agents' sophistication. A central aspect of the proposed methodology is to restrict the strategies assumed available to agents.

Random Sets in Econometrics
  • Ilya Molchanov, Francesca Molinari
  • Published online:
    23 March 2018
    Print publication:
    05 April 2018
  • Random set theory is a fascinating branch of mathematics that amalgamates techniques from topology, convex geometry, and probability theory. Social scientists routinely conduct empirical work with data and modelling assumptions that reveal a set to which the parameter of interest belongs, but not its exact value. Random set theory provides a coherent mathematical framework to conduct identification analysis and statistical inference in this setting and has become a fundamental tool in econometrics and finance. This is the first book dedicated to the use of the theory in econometrics, written to be accessible for readers without a background in pure mathematics. Molchanov and Molinari define the basics of the theory and illustrate the mathematical concepts by their application in the analysis of econometric models. The book includes sets of exercises to accompany each chapter as well as examples to help readers apply the theory effectively.

Advances in Economics and Econometrics
  • Eleventh World Congress
  • Volume 2
  • Edited by Bo Honoré, Ariel Pakes, Monika Piazzesi, Larry Samuelson
  • Published online:
    27 October 2017
    Print publication:
    02 November 2017
  • This is the second of two volumes containing papers and commentaries presented at the Eleventh World Congress of the Econometric Society, held in Montreal, Canada in August 2015. These papers provide state-of-the-art guides to the most important recent research in economics. The book includes surveys and interpretations of key developments in economics and econometrics, and discussion of future directions for a wide variety of topics, covering both theory and application. These volumes provide a unique, accessible survey of progress on the discipline, written by leading specialists in their fields. The second volume addresses topics such as big data, macroeconomics, financial markets, and partially identified models.

Advances in Economics and Econometrics
  • Eleventh World Congress
  • Volume 1
  • Edited by Bo Honoré, Ariel Pakes, Monika Piazzesi, Larry Samuelson
  • Published online:
    27 October 2017
    Print publication:
    02 November 2017
  • This is the first of two volumes containing papers and commentaries presented at the Eleventh World Congress of the Econometric Society, held in Montreal, Canada in August 2015. These papers provide state-of-the-art guides to the most important recent research in economics. The book includes surveys and interpretations of key developments in economics and econometrics, and discussion of future directions for a wide variety of topics, covering both theory and application. These volumes provide a unique, accessible survey of progress on the discipline, written by leading specialists in their fields. The first volume includes theoretical and applied papers addressing topics such as dynamic mechanism design, agency problems, and networks.

On the Shoulders of Giants
  • Colleagues Remember Suzanne Scotchmer's Contributions to Economics
  • Edited by Stephen M. Maurer
  • Published online:
    12 October 2017
    Print publication:
    13 October 2017
  • This book presents eleven classic papers by the late Professor Suzanne Scotchmer with introductions by leading economists and legal scholars. This book introduces Scotchmer's life and work; analyses her pioneering contributions to the economics of patents and innovation incentives, with a special focus on the modern theory of cumulative innovation; and describes her pioneering work on law and economics, evolutionary game theory, and general equilibrium/club theory. This book also provides a self-contained introduction to students who want to learn more about the various fields that Professor Scotchmer worked in, with a particular focus on patent incentives and cumulative innovation.

Revealed Preference Theory
  • Christopher P. Chambers, Federico Echenique
  • Published online:
    05 January 2016
    Print publication:
    05 January 2016
  • Pioneered by American economist Paul Samuelson, revealed preference theory is based on the idea that the preferences of consumers are revealed in their purchasing behavior. Researchers in this field have developed complex and sophisticated mathematical models to capture the preferences that are 'revealed' through consumer choice behavior. This study of consumer demand and behavior is closely tied up with econometrics (especially nonparametric econometrics), where testing the validity of different theoretical models is an important aspect of research. The theory of revealed preference has a very long and distinguished tradition in economics, but there was no systematic presentation of the theory until now. This book deals with basic questions in economic theory, such as the relation between theory and data, and studies the situations in which empirical observations are consistent or inconsistent with some of the best known theories in economics.

Repeated Games
  • Jean-François Mertens, Sylvain Sorin, Shmuel Zamir
  • Published online:
    05 February 2015
    Print publication:
    02 February 2015
  • Three leading experts have produced a landmark work based on a set of working papers published by the Center for Operations Research and Econometrics (CORE) at the Université Catholique de Louvain in 1994 under the title 'Repeated Games', which holds almost mythic status among game theorists. Jean-François Mertens, Sylvain Sorin and Shmuel Zamir have significantly elevated the clarity and depth of presentation with many results presented at a level of generality that goes far beyond the original papers - many written by the authors themselves. Numerous results are new, and many classic results and examples are not to be found elsewhere. Most remain state of the art in the literature. This book is full of challenging and important problems that are set up as exercises, with detailed hints provided for their solutions. A new bibliography traces the development of the core concepts up to the present day.

Analysis of Panel Data
  • 3rd edition
  • Cheng Hsiao
  • Published online:
    05 December 2014
    Print publication:
    24 November 2014
  • This book provides a comprehensive, coherent, and intuitive review of panel data methodologies that are useful for empirical analysis. Substantially revised from the second edition, it includes two new chapters on modeling cross-sectionally dependent data and dynamic systems of equations. Some of the more complicated concepts have been further streamlined. Other new material includes correlated random coefficient models, pseudo-panels, duration and count data models, quantile analysis, and alternative approaches for controlling the impact of unobserved heterogeneity in nonlinear panel data models.

Regression Analysis of Count Data
  • 2nd edition
  • A. Colin Cameron, Pravin K. Trivedi
  • Published online:
    05 July 2014
    Print publication:
    27 May 2013
  • Students in both social and natural sciences often seek regression methods to explain the frequency of events, such as visits to a doctor, auto accidents, or new patents awarded. This book, now in its second edition, provides the most comprehensive and up-to-date account of models and methods to interpret such data. The authors combine theory and practice to make sophisticated methods of analysis accessible to researchers and practitioners working with widely different types of data and software in areas such as applied statistics, econometrics, marketing, operations research, actuarial studies, demography, biostatistics and quantitative social sciences. The new material includes new theoretical topics, an updated and expanded treatment of cross-section models, coverage of bootstrap-based and simulation-based inference, expanded treatment of time series, multivariate and panel data, expanded treatment of endogenous regressors, coverage of quantile count regression, and a new chapter on Bayesian methods.

Advances in Economics and Econometrics
  • Tenth World Congress
  • Volume 1, Economic Theory
  • Edited by Daron Acemoglu, Manuel Arellano, Eddie Dekel
  • Published online:
    05 May 2013
    Print publication:
    13 May 2013
  • This is the first of three volumes containing edited versions of papers and commentaries presented at invited symposium sessions of the Tenth World Congress of the Econometric Society, held in Shanghai in August 2010. The papers summarize and interpret key developments in economics and econometrics and they discuss future directions for a wide variety of topics, covering both theory and application. Written by the leading specialists in their fields, these volumes provide a unique, accessible survey of progress on the discipline. The first volume primarily addresses economic theory, with specific focuses on nonstandard markets, contracts, decision theory, communication and organizations, epistemics and calibration, and patents.

Dynamic Models for Volatility and Heavy Tails
  • With Applications to Financial and Economic Time Series
  • Andrew C. Harvey
  • Published online:
    05 May 2013
    Print publication:
    22 April 2013
  • The volatility of financial returns changes over time and, for the last thirty years, Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models have provided the principal means of analyzing, modeling and monitoring such changes. Taking into account that financial returns typically exhibit heavy tails - that is, extreme values can occur from time to time - Andrew Harvey's new book shows how a small but radical change in the way GARCH models are formulated leads to a resolution of many of the theoretical problems inherent in the statistical theory. The approach can also be applied to other aspects of volatility. The more general class of Dynamic Conditional Score models extends to robust modeling of outliers in the levels of time series and to the treatment of time-varying relationships. The statistical theory draws on basic principles of maximum likelihood estimation and, by doing so, leads to an elegant and unified treatment of nonlinear time-series modeling.

Advances in Economics and Econometrics
  • Tenth World Congress
  • Volume 3, Econometrics
  • Edited by Daron Acemoglu, Manuel Arellano, Eddie Dekel
  • Published online:
    05 May 2013
    Print publication:
    13 May 2013
  • This is the third of three volumes containing edited versions of papers and commentaries presented at invited symposium sessions of the Tenth World Congress of the Econometric Society, held in Shanghai in August 2010. The papers summarize and interpret key developments in economics and econometrics, and they discuss future directions for a wide variety of topics, covering both theory and application. Written by the leading specialists in their fields, these volumes provide a unique, accessible survey of progress on the discipline. The first volume primarily addresses economic theory, with specific focuses on nonstandard markets, contracts, decision theory, communication and organizations, epistemics and calibration, and patents.

Advances in Economics and Econometrics
  • Tenth World Congress
  • Volume 2, Applied Economics
  • Edited by Daron Acemoglu, Manuel Arellano, Eddie Dekel
  • Published online:
    05 May 2013
    Print publication:
    13 May 2013
  • This is the second of three volumes containing edited versions of papers and commentaries presented at invited symposium sessions of the Tenth World Congress of the Econometric Society, held in Shanghai in August 2010. The papers summarize and interpret key developments in economics and econometrics, and they discuss future directions for a wide variety of topics, covering both theory and application. Written by the leading specialists in their fields, these volumes provide a unique, accessible survey of progress on the discipline. The first volume primarily addresses economic theory, with specific focuses on nonstandard markets, contracts, decision theory, communication and organizations, epistemics and calibration, and patents.

Estimation, Inference and Specification Analysis
  • Halbert White
  • Published online:
    05 January 2013
    Print publication:
    30 September 1994
  • This book examines the consequences of misspecifications ranging from the fundamental to the nonexistent for the interpretation of likelihood-based methods of statistical estimation and interference. Professor White first explores the underlying motivation for maximum-likelihood estimation, treats the interpretation of the maximum-likelihood estimator (MLE) for misspecified probability models, and gives the conditions under which parameters of interest can be consistently estimated despite misspecification, and the consequences of misspecification, for hypothesis testing in estimating the asymptotic covariance matrix of the parameters. Although the theory presented in the book is motivated by econometric problems, its applicability is by no means restricted to economics. Subject to defined limitations, the theory applies to any scientific context in which statistical analysis is conducted using approximate models.

Applied Nonparametric Regression
  • Wolfgang Härdle
  • Published online:
    05 January 2013
    Print publication:
    26 October 1990
  • Applied Nonparametric Regression is the first book to bring together in one place the techniques for regression curve smoothing involving more than one variable. The computer and the development of interactive graphics programs have made curve estimation possible. This volume focuses on the applications and practical problems of two central aspects of curve smoothing: the choice of smoothing parameters and the construction of confidence bounds. Härdle argues that all smoothing methods are based on a local averaging mechanism and can be seen as essentially equivalent to kernel smoothing. To simplify the exposition, kernel smoothers are introduced and discussed in great detail. Building on this exposition, various other smoothing methods (among them splines and orthogonal polynomials) are presented and their merits discussed. All the methods presented can be understood on an intuitive level; however, exercises and supplemental materials are provided for those readers desiring a deeper understanding of the techniques. The methods covered in this text have numerous applications in many areas using statistical analysis. Examples are drawn from economics as well as from other disciplines including medicine and engineering.

Misspecification Tests in Econometrics
  • The Lagrange Multiplier Principle and Other Approaches
  • L. G. Godfrey
  • Published online:
    05 January 2013
    Print publication:
    24 February 1989
  • Misspecification tests play an important role in detecting unreliable and inadequate economic models. This book brings together many results from the growing literature in econometrics on misspecification testing. It provides theoretical analyses and convenient methods for application. The main emphasis is on the Lagrange multiplier principle, which provides considerable unification, although several other approaches are also considered. The author also examines general checks for model adequacy that do not involve formulation of an alternative hypothesis. General and specific tests are discussed in the context of multiple regression models, systems of simultaneous equations, and models with qualitative or limited dependent variables.

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