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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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

833: Econometric Modeling as Information Aggregation

Ray Fair and Robert Shiller

832: Inference in Econometric Models with Structural Change

Donald Andrews and Ray Fair

831: The Effect of Economic Events on Votes for President: 1984 Update

Ray Fair

830: Semiparametric Estimation of Monotonic and Concave Utility Functions: The Discrete Choice Case

Rosa Matzkin

829: Game Theory. Models of Strategic Behavior and Nuclear Deterrence

Martin Shubik

828: Measuring Market Power in U.S. Industry

Matthew Shapiro

827: Distributional Analysis of Portfolio Choice

Philip Dybvig

826: Inefficient Dynamic Portfolio Strategies or How to Throw Away a Million Dollars in the Stock Market

Philip Dybvig

825: Sequential Games of Resource Extraction: Existence of Nash Equilibria

Rabah Amir

824: Conditional and Unconditional Statistical Independence

Peter Phillips

823: Spherical Matrix Distributions and Cauchy Quotients

Peter Phillips

822: Are Cyclical Fluctuations in Productivity Due More to Supply Shocks or Demand Shocks?

Matthew Shapiro

821: Supply Shocks in Macroeconomics

Matthew Shapiro

820: The Future of Social Security: One Economist's Assessment

James Tobin

819: Statistical Inference in Regressions with Integrated Processes: Part 2

Peter Phillips and Joon Park

818: Optimal Choice of Monetary Policy Instruments in a Macroeconometric Model

Ray Fair

817: Financial Intermediaries

James Tobin

816: Ultimate Sources of Aggregate Variability

Robert Shiller

815: Sources of Output and Price Variability in a Macroeconometric Model

Ray Fair

814: A Strategic Market Game with Complete Markets

Rabah Amir, Siddhartha Sahi and Martin Shubik

813: International Evidence on the Demand for Money

Ray Fair

812: The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors

Robert Shiller and John Campbell

811: Statistical Inference in Regressions with Integrated Processes: Part 1

Peter Phillips and Joon Park

810: Interest Rate and Exchange Rate Determination

Ray Fair

809: Testing for Cointegration Using Principal Component Measures

Peter Phillips and Sam Ouliaris

808: Forecasting the Depression: Harvard Versus Yale

Ray Fair, Matthew Shapiro and Kathryn Dominguez

807: Knightian Decision Theory: Part 1

Truman F. Bewley

806: The Unique Minimal Cash Flow Competitive Equilibrium

Martin Shubik

805: A Game Theoretic Approach to the Theory of Money and Financial Institutions

Martin Shubik

804: Enough Commodity Money and the Selection of a Unique Competitive Equilibrium

Martin Shubik

803: Temporal Dependence in Limited Dependent Variable Models: Theoretical and Monte-Carlo Results

Vassilis Hajivassiliou

802: Asymptotic Equivalence of OLS and GLS in Regressions with Integrated Regressors

Peter Phillips and Joon Park

801: On the Formulation of Wald Tests of Nonlinear Restrictions

Peter Phillips and Joon Park

800: Power in Econometric Applications

Donald Andrews

799: Limiting Distributions of the Number of Pure Strategy Nash Equilibria in n-Person Games

Imelda Young Powers

798: On the Performance of Least Squares in Linear Regression with Undefined Error Means

Donald Andrews

797: Quasirents, Influence and Organization Form

Paul Milgrom

796: Weak Convergence to the Matrix Stochastic Integral BdB

Peter Phillips

795: Testing for a Unit Root in Time Series Regression

Peter Phillips and Pierre Perron

794: Survey Evidence on Diffusion of Interest Among Institutional Investors

Robert Shiller and John Pound

793: Resources, Technology, and Development: Will the Table Be Bare When Poor Countries Get There?

William Nordhaus

792: Two Misspecification Tests for the Simple Switching Regressions Disequilibrium Model

Vassilis Hajivassiliou

791: Toward a Theory of Discounted Repeated Games with Imperfect Monitoring

Dilip Abreu, David G. Pearce and Ennio Stacchetti

790: Consistency in Nonlinear Econometric Models: A Generic Uniform Law of Large Numbers

Donald Andrews

789: Defense Economics and Economic Warfare Revisited

J. Hoult Verkerke and Martin Shubik

788: Trends Versus Random Walks in Time Series Analysis

Steven Durlauf and Peter Phillips

787: Issues Arising in Management and Control of Naval Forces

P. Bracken and Martin Shubik

786: Best Median Unbiased Estimation in Linear Regression with Bounded Asymmetric Loss Functions

Donald Andrews and Peter Phillips

785: Cointegration and Tests of Present Value Models

John Campbell and Robert Shiller

784: Edgeworth Equilibria in Production Economies

Charalambos Aliprantis, Donald Brown and Owen Burkinshaw

783: The Share Economy: A Symposium

Andrew John and William Nordhaus

782: Towards a Unified Asymptotic Theory for Autoregression

Peter Phillips

781: Regression Theory for Near-Integrated Time Series

Peter Phillips

780: The Monetary-Fiscal Mix: Long-Run Implications

James Tobin

779: Auction Theory

Paul Milgrom

778: Walrasian Indeterminacy and Keynesian Macroeconomics

John Geanakoplos and Heracles M. Polemarchakis

777: On Finitely Repeated Games and Pseudo-Nash Equilibria

Chien fu Chou and John Geanakoplos

776: Neoclassical Theory in America: J.B. Clark and Fisher

James Tobin

775: A Theory of Hierarchies Based on Limited Managerial Attention

John Geanakoplos and Paul Milgrom

774: Forecasting Efficiency: Concepts and Applications

William Nordhaus

773: Comparative Statics and Local Indeterminacy in OLG Economies: An Application of the Multiplicative Ergodic Theorem

John Geanakoplos and Donald Brown

772: The Term Structure of Euromarket Interest Rates: An Empirical Investigation

John Campbell and Richard Clarida

771: International Lending and Borrowing in a Stochastic Sequence Equilibrium

Richard Clarida

770: Real Indeterminacy with Financial Assets

John Geanakoplos and Andreu Mas-Colell

769: The Balance of Payments Adjustment Mechanism in a Rational Expectations Equilibrium

Richard Clarida

768: Multiple Time Series Regression with Integrated Processes

Peter Phillips and Steven Durlauf

767: Fractional Matrix Calculus and the Distribution of Multivariate Tests

Peter Phillips