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.

1. Identification of non-additive structural functions Andrew Chesher; 2. Non-additive models with endogenous regressors Guido W. Imbens; 3. Heterogeneity and microeconomics modeling Martin Browning and Jesus Carro; 4. Heterogeneous choice Rosa L. Matzkin; 5. Modeling heterogeneity Arthur Lewbel; 6. Inference with weak instruments Donald W. K. Andrews and James H. Stock; 7. Empirical likelihood methods in econometrics: theory and practice Yuichi Kitamura; 8. Weak instruments and empirical likelihood: a discussion of the papers by D. W. K. Andrews, J. H. Stock and Y. Kitamura Richard J. Smith; 9. Estimating continuous-time models with discretely sampled data Yacine Aït-Sahalia; 10. Variation, jumps and high frequency data in financial econometrics Ole E. Barndorff-Nielsen and Neil Shephard; 11. Discussion of Aït-Sahalia and Barndorff-Nielsen and Shephard Oliver Linton and Ilze Kalnina; 12. Understanding bias in nonlinear panel models: some recent developments Manuel Arellano and Jinyong Hahn; 13. Fixed and random effects in nonlinear panel data model, a discussion of a paper by Manuel Arellano and Jinyong Hahn Tiemen M. Woutersen.