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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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

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