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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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

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