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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933: Testing for a Unit Root in the Presence of Deterministic Trends

Peter Phillips and Peter Schmidt

932: Asymptotics for Linear Processes

Peter Phillips and Victor Solo

931: On the Theory of Macroeconomic Policy

James Tobin

930: Mathematical Programming and Economic Theory

Herbert Scarf

929: Asymptotic and Finite Sample Distribution Theory for IV Estimators and Tests in Partially Identified Structural Equations

In Choi and Peter Phillips

928: Estimating Long Run Economic Equilibria

Peter Phillips and Mico Loretan

927: Alternative Approaches to the Political Business Cycle

William Nordhaus

925: Additive Interactive Regression Models: Circumvention of the Curse of Dimensionality

Donald Andrews and Yoon-Jae Whang

924: Risk Analysis in Economics: An Application to University Finances

William Nordhaus

923: Inflationary Expectations and Price Setting Behavior

Ray Fair

922: Warranties, Durability, and Maintenance: Two Sided Moral Hazard in a Continuous-Time Model

Nancy A. Lutz and Philip Dybvig

921: Full Information Estimation and Stochastic Simulation of Models with Rational Expectations

Ray Fair and John Taylor

920: Renegotiation and Symmetry in Repeated Games

David G. Pearce, Dilip Abreu and Ennio Stacchetti

919: An Introduction to General Equilibrium with Incomplete Asset Markets

John Geanakoplos

918: A Nonparametric Maximum Rank Correlation Estimator

Rosa Matzkin

917: On Integer Points in Polyhedra: A Lower Bound

Imre Barany, Roger Howe and Laszlo Lovasz

916: Neighbors of the Origin for Four by Three Matrices

David F. Shallcross

915: The Reconciliation of Micro and Macro Economics

Martin Shubik

914: Game Theory Without Partitions, and Applications to Speculation and Consensus

John Geanakoplos

913: The Capital Asset Pricing Model as a General Equilibrium with Incomplete Markets

John Geanakoplos and Martin Shubik

912: Existence of Walras Equilibrium Without a Price Player of Generalized Game

John Geanakoplos and Pradeep Dubey

911: Do the Secondary Markets Believe in Life After Debt?

Vassilis Hajivassiliou

910: Asymptotics for Semiparametric Econometric Models: III. Testing and Examples

Donald Andrews

909: Asymptotics for Semiparametric Econometric Models: II. Stochastic Equicontinuity and Nonparametric Kernel Estimation

Donald Andrews

908: Asymptotics for Semiparametric Econometric Models: I. Estimation

Donald Andrews

907: An Empirical Process Central Limit Theorem for Dependent Non-Identically Distributed Random Variables

Donald Andrews

906: Asymptotic Optimality of Generalized C_{L}, Cross-Validation, and Generalized Cross-Validation in Regression with Heteroskedastic Errors

Donald Andrews

905: Market Innovation and Entrepreneurship: A Knightian View

Truman F. Bewley

904: Gold, Liquidity and Secured Loans in a Multi-Stage Economy. Part II. Many Durables, Land and Gold

Martin Shubik and Shuntian Yao

903: The Transactions Cost of Money (A Strategic Game Analysis)

Martin Shubik and Shuntian Yao

902: Solving Systems of Simultaneous Equations in Economics

John Geanakoplos and Wayne Shafer

901: Observability and Optimality

John Geanakoplos and Heracles M. Polemarchakis

900: Liquidity and Bankruptcy with Incomplete Markets: Pure Exchange

John Geanakoplos and Pradeep Dubey

899: Testing for a Unit Root by Generalized Least Squares Methods in the Time and Frequency Domains

Peter Phillips and In Choi

898: The Durbin-Watson Ratio Under Infinite Variance Errors

Peter Phillips and Mico Loretan

897: Time Series Regression with a Unit Root and Infinite Variance Errors

Peter Phillips

896: The Production Smoothing Model Is Alive and Well

Ray Fair

895: Repeated Trade and the Velocity of Money

Martin Shubik, Pradeep Dubey and Siddhartha Sahi

894: Nonparametric Tests of Maximizing Behavior Subject to Nonlinear Sets

Rosa Matzkin

893: Reflections on Econometric Methodology

Peter Phillips

892: The Interaction of Implicit and Explicit Contracts in Repeated Agency

David G. Pearce and Ennio Stacchetti

891: The Interaction of Implicit and Explicit Contracts in Repeated Agency

Martin Shubik

890: The Behavior of Home Buyers in Boom and Post-Boom Markets

Robert Shiller and Karl Case

889: Nonparametric and Distribution-Free Estimation of the Binary Choice and the Threshold-Crossing Models

Rosa Matzkin

888: The Macroeconomics of Government Finance

James Tobin and Michael Haliassos

887: A New Proof of Knight's Theorem on the Cauchy Distribution

Peter Phillips

886: A Little Magic with the Cauchy Distribution

Peter Phillips

885: The Power of Commitment

John Geanakoplos and Chien-fu Chou

884: Correlated Equilibrium with Generalized Information Structures

John Geanakoplos, Adam Brandenburger and Eddie Dekel

883: The Shapes of Polyhedra

Herbert Scarf, R. Kannan and Laszlo Lovasz

882: Error Correction and Long Run Equilibrium in Continuous Time

Peter Phillips

881: Estimation and Inference in Models of Cointegration: A Simulation Study

Peter Phillips and Bruce Hansen

880: Testing for a Unit Root in the Presence of a Maintained Trend

Peter Phillips, Sam Ouliaris and Joon Park

879: Default and Efficiency in a General Equilibrium Model with Incomplete Markets

Pradeep Dubey, John Geanakoplos and Martin Shubik

878: Capital Structure and dividend Irrelevance with Asymmetric Information

Philip Dybvig and Jaime F. Zender

877: Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

Donald Andrews

877: Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

Donald Andrews

876: The Stabilization of the U.S. Economy: Evidence from the Stock Market

Matthew Shapiro

875: Information and Timing in Repeated Partnerships

David G. Pearce, Dilip Abreu and Paul Milgrom

874: Asymptotic Normality of Series Estimators for Nonparametric and Semiparametric Regression Models

Donald Andrews

873: Spanning, Valuation and Options

Donald Brown and Stephen Ross

872: Spectral Regression for Cointegrated Time Series

Peter Phillips

871: Gold, Liquidity and Secured Loans in a Multistage Economy. Part I: Gold as Money

Martin Shubik and Shuntian Yao

870: Sources of Business Cycle Fluctuations

Matthew Shapiro and Mark Watson

869: Statistical Inference in Instrumental Variables

Peter Phillips and Bruce Hansen

868: Knightian Decision Theory and Econometric Inference

Truman F. Bewley

867: Warranties as Signals Under Consumer Moral Hazard

Nancy A. Lutz

866: Optimal Inference in Cointegrated Systems

Peter Phillips

865: The Characteristic Function of the Dirichlet and Multivariate F Distributions

Peter Phillips

864: Common Knowledge of Summary Statistics

Adam Brandenburger and John Geanakoplos

863: Generic Inefficiency of Stock Market Equilibrium When Markets Are Incomplete

John Geanakoplos, Michael Magill, Martine Quinzii and Jacques Dreze

862: Appropriating the Returns from Industrial R&D

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

861: A Centered Projective Algorithm for Linear Programming

Michael Todd and Yinyu Ye

860: Nonnegative Wealth, Absence of Arbitrage, and Feasible Consumption Plans

Philip Dybvig and Chi-fu Huang

859: Increases in Risk Aversion and Portfolio Choice in a Complete Market

Philip Dybvig

858: Stock Prices, Earnings and Expected Dividends

John Campbell and Robert Shiller

857: The Informational Content of Ex Ante Forecasts

Ray Fair and Robert Shiller

856: VAR Models as Structural Approximations

Ray Fair

855: Renegotiation-Proof Equilibria: Collective Rationality and Intertemporal Cooperation

David G. Pearce

854: A Note on an Optimal Garnishing Rule

Martin Shubik and Pradeep Dubey

853: Investor Behavior in the 1987-10 Stock Market Crash: Survey Evidence

Robert Shiller

852: Multiple Regression with Integrated Time Series

Peter Phillips

851: Prices of Single Family Homes Since 1970: New Indexes for Four Cities

Karl Case and Robert Shiller

850: The Noncooperative Equilibria of a Trading Economy with Complete Markets and Consistent Prices

Siddhartha Sahi and Shuntian Yao

849: Inventories, Investment, Inflation and Taxes

James Tobin

848: An Aggregative Disequilibrium Model of the U.S. Labour Market

Vassilis Hajivassiliou

847: Asymptotic Properties of Residual Based Tests for Cointegration

Peter Phillips and Sam Ouliaris

846: Weak Convergence of Sample Covariance Matrices to Stochastic Integrals via Martingale Approximations

Peter Phillips

845: Partially Identified Econometric Models

Peter Phillips

844: Testing Strictly Concave Rationality

Rosa Matzkin and Marcel Richter

843: The Term Structure of Interest Rates. U.S. Government Term Structure Data

Robert Shiller and J. Huston McCulloch

842: Bimodal t-Ratios

Peter Phillips and Vassilis Hajivassiliou

841: Silver and Gold and Liquidity

Martin Shubik

840: Joint Distribution Theory for Some Statistics Based on LIML and TSLS

Grant Hillier

839: Effects of the Changing U.S. Age Distribution on Macroeconomic Equations

Ray Fair and Kathryn Dominguez

838: Valuation and Optimality in Exchange Economies with a Countable Number of Agents

Donald Brown, Charalambos Aliprantis and Owen Burkinshaw

837: Implementational Issues and Computational Performance Solving Applied General Equilibrium Models with SLCP

Thomas Rutherford

836: A Modeling System for Applied General Equilibrium Analysis

Thomas Rutherford

835: Knightian Decision Theory, Part II. Intertemporal Problems

Truman F. Bewley

834: Equilibria in Exchange Economies with a Countable Number of Agents

Donald Brown, Charalambos Aliprantis and Owen Burkinshaw