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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1248: Information Acquisition and Efficient Mechanism Design

Dirk Bergemann and Juuso Vaimaki

1247: Default in a General Equilibrium Model with Incomplete Markets

Pradeep Dubey, John Geanakoplos and Martin Shubik

1246: Maximum Likelihood Estimation in Panels with Incidental Trends

Hyungsik Moon and Peter Phillips

1245: Nonlinear Econometric Models with Cointegrated and Deterministically Trending Regressors

Yoosoon Chang, Joon Park and Peter Phillips

1244: Unit Root Log Periodogram Regression

Peter Phillips

1243: Discrete Fourier Transforms of Fractional Processes

Peter Phillips

1242: Political Correctness

Stephen Morris

1241: Coordination Risk and the Price of Debt

Stephen Morris and Hyun Song Shin

1241: Coordination Risk and the Price of Debt

Stephen Morris and Hyun Song Shin

1240: Stationary Multi Choice Bandit Problems

Dirk Bergemann and Juuso Vaimaki

1239: World Income Components: Measuring and Exploiting Risk-Sharing Opportunities

Stefano G. Athanasoulis and Robert Shiller

1238: Survey of Multifractality in Finance

Benoît Mandelbrot

1237: Strategic Buyers and Privately Observed Prices

Dirk Bergemann and Juuso Välimäki

1236: Repeated Games with Almost-Public Monitoring

George Mailath and Stephen Morris

1235: Contractual Intermediaries

Garey Ramey and Joel Watson

1234: On Minsky's Agenda for Reform

James Tobin

1233: Consistent Model and Moment Selection Criteria for GMM Estimation with Applications to Dynamic Panel Data Models

Donald Andrews and Biao Lu

1232: Competition for Goods in Buyer-Seller Networks

Rachel Kranton and Deborah F. Minehart

1231: Vertical Integration: Networks, and Markets

Rachel Kranton and Deborah F. Minehart

1230: Higher-Order Improvements of a Computationally Attractive-Step Bootstrap for Extremum Estimators

Donald Andrews

1230: Higher-Order Improvements of a Computationally Attractive-Step Bootstrap for Extremum Estimators

Donald Andrews

1229: Testing When a Parameter Is on the Boundary of the Maintained Hypothesis

Donald Andrews

1228: An Empirical Model of Inventory Investment by Durable Commodity Intermediaries

George Hall and John Rust

1227: Toward a Theory of Reinsurance and Retrocession

Michael Powers and Martin Shubik

1226: Entry and Innovation in Vertically Differentiated Markets

Dirk Bergemann and Juuso Välimäki

1225: Conditioning Institutions and Renegotiation

Garey Ramey and Joel Watson

1224: Estimation of Autoregressive Roots Near Unity Using Panel Data

Hyungsik Moon and Peter Phillips

1223: Nonstationary Binary Choice

Peter Phillips and Joon Park

1222: Linear Regression Limit Theory for Nonstationary Panel Data

Peter Phillips and Hyungsik Moon

1221: Nonstationary Panel Data Analysis: An Overview of Some Recent Developments

Peter Phillips and Hyungsik Moon

1220: Empirical Limits for Time Series Econometric Models

Peter Phillips and Werner Ploberger

1219: Descriptive Econometrics for Nonstationary Time Series with Empirical Illustrations

Peter Phillips

1218: Starting Small in an Unfamiliar Environment

James Rauch and Joel Watson

1217: Starting Small and Commitment

Joel Watson

1216: Contract-Theoretic Approaches to Wages and Displacement

Wouter J. den Haan, Garey Ramey and Joel Watson

1215: Liquidity Flows and Fragility of Business Enterprises

Wouter J. den Haan, Garey Ramey and Joel Watson

1214: Experimentation in Markets

Dirk Bergemann and Juuso Välimäki

1213: The Hierarchical Approach to Modeling Knowledge and Common Knowledge

Ronald Fagin, John Geanakoplos, Joseph Halpern and Moshe Y. Vardi

1212: Measuring Bubble Expectations and Investor Confidence

Robert Shiller

1211: Rationalizable Trade

Stephen Morris and Skiades Costis

1210: Pareto Improving Price Regulation When the Asset Market Is Incomplete

P. Jean-Jacques Herings and Heracles M. Polemarchakis

1209: Work Motivation

Truman F. Bewley

1208: Preference for Information and Dynamic Consistency

Simon Grant, Atsushi Kajii and Ben Polak

1207: Decomposable Choice Under Uncertainty

Simon Grant, Atsushi Kajii and Ben Polak

1206: Dynamic Common Agency

Dirk Bergemann and Juuso Välimäki

1205: Estimating Yield Curves by Kernel Smoothing Methods

Oliver Linton, Enno Mammen, J. Nielsen and C. Tanggaard

1204: A Theory of the Onset of Currency Attacks

Stephen Morris and Hyun Song Shin

1203: Cheap Talk and Co-ordination with Payoff Uncertainty

Sandeep Baliga and Stephen Morris

1202: Fiat Money and the Efficient Financing of the Float, Production and Consumption. Part I: The Float

Martin Shubik

1201: Requiem for Kyoto: An Economic Analysis of the Kyoto Protocol

William Nordhaus and Joseph G. Boyer

1200: The Health of Nations: Irving Fisher and the Contribution of Improved Longevity to Living Standards

William Nordhaus

1199: Price Competition for an Informed Buyer

Giuseppe Moscarini and Marco Ottaviani

1198: Jeffreys Prior Analysis of the Simultaneous Equations Model in the Case with n+1 Endogenous Variables

John Chao and Peter Phillips

1197: Rissanen's Theorem and Econometric Time Series

Werner Ploberger and Peter Phillips

1196: New Unit Root Asymptotics in the Presence of Deterministic Trends

Peter Phillips

1195: Finance Applications of Game Theory

Franklin Allen and Stephen Morris

1194: Would a Privatized Social Security System Really Pay a Higher Rate of Return?

John Geanakoplos, Olivia Mitchell and Stephen Zeldes

1193: Social Security Money's Worth

John Geanakoplos, Olivia Mitchell and Stephen Zeldes

1192: Higher Order Approximations for Wald Statistics in Cointegrating Regressions

Zhijie Xiao and Peter Phillips

1191: How to Estimate Autoregressive Roots Near Unity

Peter Phillips, Hyungsik Moon and Zhijie Xiao

1190: Nonlinear Regressions with Integrated Time Series

Joon Park and Peter Phillips

1189: A Primer on Unit Root Testing

Peter Phillips and Zhijie Xiao

1188: Financial Globalization: Can National Currencies Survive?

James Tobin

1187: Monetary Policy: Recent Theory and Practice

James Tobin

1186: Nonparametric Censored Regression

Arthur Lewbel and Oliver Linton

1185: Social Security and Institutions for Intergenerational, Intragenerational and International Risk Sharing

Robert Shiller

1184: Game Theory, Complexity and Simplicity. Part III: Critique and Prospective

Martin Shubik

1183: A Strategic Market Game with Active Bankruptcy

John Geanakoplos, Ioannis Karatzas, Martin Shubik and William D. Sudderth

1182: Asymptotics for Nonlinear Transformations of Integrated Time Series

Peter Phillips and Joon Park

1181: Nonstationary Density Estimation and Kernel Autoregression

Peter Phillips and Joon Park

1180: Econometric Analysis of Fisher's Equation

Peter Phillips

1179: Designing Indexed Units of Account

Robert Shiller

1178: On the Skiadas 'Conditional Preference Approach' to Choice Under Uncertainty

Simon Grant, Atsushi Kajii and Ben Polak

1177: Moral Hazard in Home Equity Conversion

Robert Shiller and Allan N. Weiss

1176: Wald Revisited: The Optimal Level of Experimentation

Giuseppe Moscarini and Lones Smith

1175: Estimation of Nonparametric Functions in Simultaneous Equations Models, with an Application to Consumer Demand

Donald Brown and Rosa Matzkin

1174: Some Simple Games for Teaching and Research. Part 1: Cooperative Games

Martin Shubik

1173: The Equivalence of the Dekel-Fudenberg Iterative Procedure and Weakly Perfect Rationalizability

P. Jean-Jacques Herings and Vincent Vannetelbosch

1172: Human Behavior and the Efficiency of the Financial System

Robert Shiller

1171: Indexed Units of Account: Theory and Assessment of Historical Experience

Robert Shiller

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