Cowles Foundation Discussion Papers

From Cowles Foundation for Research in Economics, Yale University
Yale University, Box 208281, New Haven, CT 06520-8281 USA.
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1170: Uniqueness, Stability, and Comparative Statics in Rationalizable Walrasian Markets

Donald Brown and Chris Shannon

1169: Non-Convex Costs and Capital Utilization: A Study of Production Scheduling at Automobile Assembly Plants

George Hall

1168: Evaluating the Information Content and Money Making Ability of Forecasts from Exchange Rate Equations

Ray Fair

1167: Why Not Cut Pay?

Truman F. Bewley

1166: Multifractality of Deutschemark/US Dollar Exchange Rates

Adlai Fisher, Laurent Calvet and Benoît Mandelbrot

1165: Large Deviations and the Distribution of Price Changes

Laurent Calvet, Adlai Fisher and Benoît Mandelbrot

1164: A Multifractal Model of Asset Returns

Benoît Mandelbrot, Adlai Fisher and Laurent Calvet

1163: Band Spectral Regression with Trending Data

P. Dean Corbae, Sam Ouliaris and Peter Phillips

1162: Regressions for Partially Identified, Cointegrated Simultaneous Equations

In Choi and Peter Phillips

1161: An ADF Coefficient Test for a Unit Root in ARMA Models of Unknown Order with Empirical Applications to the U.S. Economy

Zhijie Xiao and Peter Phillips

1160: The Existence and Asymptotic Properties of a Backfitting Projection Algorithm Under Weak Conditions

Oliver Linton, Enno Mammen and J. Nielsen

1159: The Experiment in Applied Econometrics

James Tobin

1158: A Model of a Predatory State

Boaz Moselle and Ben Polak

1157: A Simple Counterexample to the Bootstrap

Donald Andrews

1156: A Stochastic Infinite-Horizon Economy with Secured Lending, or Unsecured Lending and Bankruptcy

Ioannis Karatzas, Martin Shubik and William D. Sudderth

1155: Model Selection in Partially Nonstationary Vector Autoregressive Processes with Reduced Rank Structure

John Chao and Peter Phillips

1154: The Significance of the Market Portfolio

Stefano G. Athanasoulis and Robert Shiller

1153: Estimation When a Parameter Is on a Boundary: Theory and Applications

Donald Andrews

1152: Beyond the CPI: An Augmented Cost of Living Index (ACOLI)

William Nordhaus

1151: Second Order Approximation in a Linear Regression with Heteroskedasticity for Unknown Form

Oliver Linton

1150: Supply Constraints on Employment and Output: NAIRU Versus Natural Rate

James Tobin

1149: Can We Grow Faster?

James Tobin

1148: Some Higher Order Theory for a Consistent Nonparametric Model Specification Test

Yanqin Fan and Oliver Linton

1147: Asset Markets and Investment Decisions

Anja De Waegenaere, Heracles M. Polemarchakis and Luigi Ventura

1146: Consistent Moment Selection Procedures for Generalized Method of Moments Estimation

Donald Andrews

1145: Expanding the Scope of Individual Risk Management: Moral Hazard and Other Behavioral Considerations

Robert Shiller

1144: Stochastic Algorithms for Dynamic Models: Markov Perfect Equilibrium, and the 'Curse' of Dimensionality

Ariel Pakes and Paul McGuire

1143: Promises Promises

John Geanakoplos

1142: The Generalized War of Attrition

Jeremy I. Bulow and Paul Klemperer

1141: On the Number of Bootstrap Repetitions for Bootstrap Standard Errors, Confidence Intervals, and Tests

Donald Andrews and Moshe Buchinsky

1140: Conditional Independence Restrictions: Testing and Estimation

Oliver Linton and Pedro Gozalo

1139: Hyperfinite Asset Pricing Theory

M. Khan and Yeneng Sun

1138: Market Diffusion with Two-Sided Learning

Dirk Bergemann and Juuso Välimäki

1137: Bayesian Posterior Distributions in Limited Information Analysis of the Simultaneous Equations Model Using the Jeffreys Prior

John Chao and Peter Phillips

1136: Prices, Asset Markets and Indeterminacy

Heracles M. Polemarchakis and P. Siconolfi

1135: Spurious Regression Unmasked

Peter Phillips

1134: Efficiency Gains from Quasi-Differencing Under Nonstationarity

Peter Phillips and Chin Chin Lee

1133: Exchange and Optimality

S. Ghosal and Heracles M. Polemarchakis

1132: Price Variations in a Stock Market with Many Agents

P. Bak, M. Paczuski and Martin Shubik

1131: Nash and Walras Equilibrium

John Geanakoplos

1130: The Asymptotic Distribution of Nonparametric Estimates of the Lyapunov Exponent for Stochastic Time Series

Yoon-Jae Whang and Oliver Linton

1129: Estimated Inflation Costs Had European Unemployment Been Reduced in the 1980s by Macro Prices

Ray Fair

1128: The Hangman's Paradox and Newcomb's Paradox as Psychological Games

John Geanakoplos

1127: Matrices with Identical Sets of Neighbors

Imre Barany and Herbert Scarf

1126: Incomplete Derivative Markets and Portfolio Insurance

Charalambos Aliprantis, Donald Brown and Jan Werner

1125: A Scorecard for Indexed Government Debt

John Campbell and Robert Shiller

1124: Tests of Seasonal and Non-Seasonal Serial Correlation

Donald Andrews, Xuemei Liu and Werner Ploberger

1123: Three Brief Proofs of Arrow's Impossibility Theorem

John Geanakoplos

1122: Market Experimentation and Pricing

Dirk Bergemann and Juuso Välimäki

1121: Testing the Standard View of the Long-Run Unemployment-Inflation Relationship

Ray Fair

1120: A Stopping Rule for the Computation of Generalized Method of Moments Estimators

Donald Andrews

1119: Semiparametric Estimation of a Sample Selection Model

Donald Andrews and Marcia A. Schafgans

1118: An Asymptotic Expansion in the Garch(1,1) Model

Oliver Linton

1117: What is the Value of Scientific Knowledge? An Application to Global Warming Using the PRICE Model

William Nordhaus and David Popp

1116: Explaining the Labor Force Participation of Women 20-24

Ray Fair and Diane Macunovich

1115: Why Do People Dislike Inflation?

Robert Shiller

1114: Preference for Information

Simon Grant, Atsushi Kajii and Ben Polak

1113: Learning and Strategic Pricing

Dirk Bergemann and Juuso Välimäki

1112: Time and Money

Martin Shubik

1111: A Conditional Kolmogorov Test

Donald Andrews

1110: Labor Income Indices Designed for Use in Contracts Promoting Income Risk Management

Robert Shiller and Ryan Schneider

1109: Testable Restrictions on the Equilibrium Manifold

Donald Brown and Rosa Matzkin

1108: Evaluating the Probability of Failure of a Banking Firm

Moshe Buchinsky and Oved Yosha

1107: Information Externalities, Share-Price Based Incentives and Managerial Behaviour

Simon Grant, Stephen King and Ben Polak

1106: Testing Additivity in Generalized Nonparametric Regression Models

Oliver Linton and Pedro Gozalo

1105: Adaptive Testing in ARCH Models

Oliver Linton and Douglas Steigerwald

1104: Unit Root Tests

Peter Phillips

1103: Automated Forecasts of Asia-Pacific Economic Activity

Peter Phillips

1102: Impulse Response and Forecast Error Variance Asymptotics in Nonstationary VAR's

Peter Phillips

1101: How Should We Measure Sustainable Income?

William Nordhaus

1100: Banks versus Bonds: A Simple Theory of Comparative Financial Institutions

Sandeep Baliga and Ben Polak

1099: A Strategic Market Game with Secured Lending

Ioannis Karatzas, Martin Shubik and William D. Sudderth

1098: Mortgage Default Risk and Real Estate Prices: The Use of Index-Based Futures and Options in Real Estate

Robert Shiller, Karl Case and Allan N. Weiss

1097: World Income Components: Measuring and Exploiting International Risk Sharing Opportunities

Robert Shiller and Stefano G. Athanasoulis

1096: Quantile Regression Model with Unknown Censoring Point

Moshe Buchinsky and Jinyong Hahn

1095: A Bound on the Number of Nash Equilibria in a Coordination Game

Thomas Quint and Martin Shubik

1094: Dumb Bugs and Bright Noncooperative Players: Games, Context and Behavior

Thomas Quint, Martin Shubik and Dickey Yan

1093: An Overview of the General Theory

James Tobin

1092: Conversation, Information, and Herd Behavior

Robert Shiller

1091: Evaluating Alternative Monetary Policy Rules

Ray Fair and E. Howrey

1090: Unemployment and Liquidity Constraints

Vassilis Hajivassiliou and Yannis Ioannides

1089: On the Number of Nash Equilibria in a Bimatrix Game

Thomas Quint and Martin Shubik

1088: A Model of Migration

Thomas Quint and Martin Shubik

1087: The Topological Structure of Maximal Lattice Free Convex Bodies: The General Case

Imre Barany, Herbert Scarf and David F. Shallcross

1086: Edgeworth Approximation for MINPIN Estimators in Semiparametric Regression Models

Oliver Linton

1085: Error Bands for Impulse Responses

Christopher Sims and Tao Zha

1084: The Effect of Economic Events on Votes for President: 1992 Update

Ray Fair

1083: Model Determination and Macroeconomic Activity

Peter Phillips

1082: Fully Modified IV, GIVE and GMM Estimation with Possibly Non-Stationary Regressions and Instruments

Yuichi Kitamura and Peter Phillips

1081: Nonstationary Time Series and Cointegration: Recent Books and Themes for the Future

Peter Phillips

1080: Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920's

Peter Phillips, James W. McFarland and Patrick C. McMahon

1079: Locational Competition and the Environment: Should Countries Harmonize Their Environmental Policies?

William Nordhaus

1078: Do Real Output and Real Wage Measures Capture Reality? The History of Lighting Suggests Not

William Nordhaus

1077: Testing for Serial Correlation Against an ARMA(1,1) Process

Donald Andrews and Werner Ploberger

1076: Insurance Market Games: Scale Effects and Public Policy

Michael Powers, Martin Shubik and Shuntian Yao

1075: Local Nonlinear Least Squares Estimation: Using Parametric Information Nonparametrically

Pedro Gozalo and Oliver Linton

1074: Home Equity Insurance

Robert Shiller and Allan N. Weiss

1073: Health Care Reform as Seen by a General Economist

James Tobin

1072: Financing Trade and the Price Level: Problems with the Description of Markets, Expectations, Money and Credit

Martin Shubik

1071: Is Monetary Policy Becoming Less Effective?

Ray Fair