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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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

1070: Ponzi Finance, Government Solvency and the Redundancy or Usefulness of Public Debt

Willem Buiter and Kenneth Kletzer

1069: Applied Nonparametric Methods

Wolfgang Härdle and Oliver Linton

1068: The Allocation of Resources in the Presence of Indivisibilities

Herbert Scarf

1067: Marching to Different Drummers: Coordination and Independence in Monetary and Fiscal Policies

William Nordhaus

1066: A Limit Theorem for a Smooth Class of Semiparametric Estimators

Ariel Pakes and Steven Olley

1065: Second Order Approximation in the Partially Linear Regression Model

Oliver Linton

1064: Robust Nonstationary Regression

Peter Phillips

1063: Macroeconomic Shocks in an Aggregative Disequilibrium Model

Vassilis Hajivassiliou

1062: Common Knowledge

John Geanakoplos

1061: The Natural Rate as New Classical Macroeconomics -- For Rod Cross, The Natural Rate Hypothesis 25 Years On

James Tobin

1060: Hypothesis Testing with a Restricted Parameter Space

Donald Andrews

1059: Empirical Process Methods in Econometrics

Donald Andrews

1058: Admissibility of the Likelihood Ratio Test When a Nuisance Parameter Is Present OnlyUnder the Alternative

Donald Andrews and Werner Ploberger

1057: A Simulation Estimation Analysis of the External Debt Crises of Developing Countries

Vassilis Hajivassiliou

1056: The Theory of Money and Financial Institutions

Martin Shubik

1055: Forward Exchange Market Unbiasedness: The Case of the Australian Dollar Since 1984

Peter Phillips and James W. McFarland

1054: Adaptive Estimation in ARCH Models

Oliver Linton

1053: Nonlinear Econometric Models with Deterministically Trending Variables

Donald Andrews and Christopher McDermott

1052: On the Sources and Significance of Interindustry Differences in Technological Opportunities

Alvin K. Klevorick, Richard C. Levin, Richard Nelson and Sidney Winter

1051: Classical Estimation Methods for LDV Models Using Simulation

Vassilis Hajivassiliou and Paul Ruud

1050: The Money Rate of Interest and the Influence of Assets in a Multistage Economy with Gold or Paper Money: Part II

Martin Shubik and Shuntian Yao

1049: Simulating Normal Rectangle Probabilities and Their Derivatives: The Effects of Vectorization

Vassilis Hajivassiliou

1048: Aggregate Income Risks and Hedging Mechanisms

Robert Shiller

1047: Fully Modified Least Squares and Vector Autoregression

Peter Phillips

1046: The Money Rate of Interest and the Influence of Assets in a Multistage Economy with Gold or Paper Money: Part I

Martin Shubik and Shuntian Yao

1045: Measuring the Impact of Global Warming in Agriculture

Robert Mendelsohn, William Nordhaus and Daigee Shaw

1044: Behavioral Heterogeneity and Cournot Oligopoly Equilibrium

Jean-Michel Grandmont

1043: A Strategic Market Game with Seigniorage Costs of Fiat Money

Martin Shubik and Dimitrios Tsomocos

1042: An Old Keynesian Counterattacks

James Tobin

1041: An Alternative Theory of Firm and Industry Dynamics

Richard Ericson and Ariel Pakes

1040: Hyper-Consistent Estimation of a Unit Root in Time Series Regression

Peter Phillips

1039: Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models

Peter Phillips

1038: Time Series Modeling with a Bayesian Frame of Reference: Concepts, Illustrations and Asymptotics

Peter Phillips and Werner Ploberger

1037: Some Dynamics of a Strategic Market Game with a Large Number of Agents

John H. Miller and Martin Shubik

1036: Measuring Asset Values for Cash Settlement in Derivative Markets: Hedonic Repeated Measures Indices and Perpetual Futures

Robert Shiller

1035: The Large Sample Correspondence Between Classical Hypothesis Tests and Bayesian Posterior Odds Tests

Donald Andrews

1034: A Nine Variable Probabilistic Macroeconomic Forecasting Model

Christopher Sims

1033: Construction of Stationary Markov Equilibria in a Strategic Market Game

Ioannis Karatzas, Martin Shubik and William D. Sudderth

1032: The Complex of Maximal Lattice Free Simplices

Imre Barany, Roger Howe and Herbert Scarf

1031: Is Gold an Efficient Store of Value?

Pradeep Dubey, John Geanakoplos and Martin Shubik

1030: Poverty in Relation to Macroeconomic Trends, Cycles, and Policies

James Tobin

1029: Tjalling Charles Koopmans (August 28, 1910-February 26, 1985)

Herbert Scarf

1028: On the Periodic Structure of the Business Cycle

Eric Ghysels

1027: Christmas, Spring and the Dawning of Economic Recovery

Eric Ghysels

1026: Approximately Median-Unbiased Estimation of Autoregressive Models with Applications to U.S. Macroeconomic and Financial Time Series

Donald Andrews and Hong-Yuan Chen

1025: Bayes Methods for Trending Multiple Time Series with an Empirical Application to the US Economy

Peter Phillips

1024: Bayes Models and Forecasts of Australian Macroeconomic Time Series

Peter Phillips

1023: Bayesian Model Selection and Prediction with Empirical Applications

Peter Phillips

1022: Expectations Driven Nonlinear Business Cycles

Jean-Michel Grandmont

1021: Simulation of Multivariate Normal Rectangle Probabilities: Theoretical and Computational Results

Vassilis Hajivassiliou, Daniel McFadden and Paul Ruud

1020: An Introduction to Econometric Applications of Functional Limit Theory for Dependent Random Variables

Donald Andrews

1019: Rolling the 'Dice': An Optimal Transition Path for Controlling Greenhouse Gases

William Nordhaus

1018: A Note on the Dual Approach to the Existence and Characterization of Optimal Consumption Decisions Under Uncertainty and Liquidity Constraints

Vassilis Hajivassiliou and Yannis Ioannides

1017: Posterior Odds Testing for a Unit Root with Data-Based Model Selection

Peter Phillips and Werner Ploberger

1016: Optimal Changepoint Tests for Normal Linear Regression

Donald Andrews, Inpyo Lee and Werner Ploberger

1015: Optimal Tests When a Nuisance Parameter Is Present Only Under the Alternative

Donald Andrews and Werner Ploberger

1014: Transactions Loans, Intertemporal Loans, Variable Velocity, the Rates of Interest and Commodity Money: Part 1. Transactions Loans

Martin Shubik and Shuntian Yao

1013: Money (for New Palgrave Money and Finance)

James Tobin

1012: Expanding the Scope of Expectations Data Collection: The U.S. and Japanese Stock Markets

Robert Shiller, Fumiko Kon-Ya and Yoshiro Tsutsui

1011: Interpreting the Macroeconomic Time Series Facts: The Effects of Monetary Policy

Christopher Sims

1010: The Impact of Climate on Agriculture: A Ricardian Approach

Robert Mendelsohn, William Nordhaus and Daigee Shaw

1009: The 'DICE' Model: Background and Structure of a Dynamic Integrated Climate-Economy Model of the Economics of Global Warming

William Nordhaus

1008: Empirical Implications of Arbitrage-Free Asset Markets

S. Maheswaran and Christopher Sims

1007: Simulation Estimation Methods for Limited Dependent Variable Models

Vassilis Hajivassiliou

1006: Index-Based Futures and Options Markets in Real Estate

Karl Case, Robert Shiller and Allan N. Weiss

1005: Estimates of the Bias of Lagged Dependent Variable Coefficient Estimates in Macroeconomic Equations

Ray Fair

1004: The Cowles Commission Approach, Real Business Cycle Theories, and New Keynesian Economics

Ray Fair

1003: Unidentified Components in Reduced Rank Regression Estimation of ECM's

Peter Phillips

1002: A Bayesian Analysis of Trend Determination in Economic Time Series

Eric Zivot and Peter Phillips

1001: Vector Autoregression and Causality: A Theoretical Overview and Simulation Study

Hiro Y. Toda and Peter Phillips

1000: The Long-Run Australian Consumption Function Reexamined: An Empirical Exercise in Bayesian Influence

Peter Phillips

999: The Tail Behavior of Maximum Likelihood Estimates of Cointegrating Coefficients in Error Correction Models

Peter Phillips

998: Unit Roots

Peter Phillips

997: A Reexamination of the Consumption Function Using Frequency Domain Regressors

Dean Corbea, Sam Ouliaris and Peter Phillips

996: Classification of Two-Person Ordinal Bimatrix Games

Imre Barany, J. Lee and Martin Shubik

995: Preface to Eduard Marz, Schumpeter, English Translation, Yale University Press

James Tobin

994: Price Flexibility and Output Stability: An Old Keynesian View

James Tobin

993: International Currency Regimes, Capital Mobility, and Macroeconomic Policy

James Tobin

992: Commentary on Irving Fisher, The Nature of Capital and Income (1906)

James Tobin

991: On the Internationalization of Portfolios

William C. Brainard and James Tobin

990: An Implementation of the Generalized Basis Reduction Algorithm for Integer Programming

William Cook, Thomas Rutherford, Herbert Scarf and David F. Shallcross

989: How Fast Do Old Men Slow Down?

Ray Fair

988: The Ecology of Markets

William Nordhaus

987: Transformations of the Commodity Space, Behavioral Heterogeneity and the Aggregation Problem

Jean-Michel Grandmont

986: Bayesian Routes and Unit Roots: de rebus prioribus semper est disputandum

Peter Phillips

985: Comment on 'To Criticize the Critics,' by Peter C. B. Phillips

Christopher Sims

984: Dynamic Structural Models: Problems and Prospects. Mixed Continuous Discrete Controls and Market Interactions

Ariel Pakes

983: Repeated Games: Cooperation and Rationality

David G. Pearce

982: Stabilizing the Soviet Economy

William Nordhaus

981: A Bound of the Proportion of Pure Strategy Equilibria in Generic Games

Faruk Gul, David G. Pearce and Ennio Stacchetti

980: Time Series Modelling with a Bayesian Frame of Reference: 1. Concepts and Illustrations

Peter Phillips and Werner Ploberger

979: Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?

Denis Kwiatkowski, Peter Phillips and Peter Schmidt

978: The Spurious Effect of Unit Roots on Exogeneity Tests in Vector Autoregressions: An Analytical Study

Hiro Y. Toda and Peter Phillips

977: Vector Autoregression and Causality

Hiro Y. Toda and Peter Phillips

976: An 'Average' Lyapunov Convexity Theorem and Some Core Equivalence Results

Lin Zhou