# Cowles Foundation for Research in Economics, Yale University

# Cowles Foundation Discussion Papers

Postal: Yale University, Box 208281, New Haven, CT 06520-8281 USA

Phone: (203) 432-3702

Fax: (203) 432-6167

Web page: http://cowles.yale.edu/

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Phone: (203) 432-3702

Fax: (203) 432-6167

Web page: http://cowles.yale.edu/

More information through EDIRC

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Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA

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### 2009

**1722 On the Asymptotic Optimality of Empirical Likelihood for Testing Moment Restrictions***by*Yuichi Kitamura & Andres Santos & Azeem M. Shaikh**1721 Nonparametric Estimation in Random Coefficients Binary Choice Models***by*Eric Gautier & Yuichi Kitamura**1720 Robustness, Infinitesimal Neighborhoods, and Moment Restrictions***by*Yuichi Kitamura & Taisuke Otsu & Kirill Evdokimov**1719 Hyperbolic Discounting Is Rational: Valuing the Far Future with Uncertain Discount Rates***by*J. Doyne Farmer & John Geanakoplos**1718 Nonparametric Identification of Multinomial Choice Demand Models with Heterogeneous Consumers***by*Steven T. Berry & Philip A. Haile**1717 The Case for Trills: Giving the People and Their Pension Funds a Stake in the Wealth of the Nation***by*Mark J. Kamstra & Robert J. Shiller**1716 Alternative Policies and Sea-Level Rise in the RICE-2009 Model***by*William D. Nordhaus**1715R The Leverage Cycle***by*John Geanakoplos**1715 The Leverage Cycle***by*John Geanakoplos**1714 Nonparametric Estimation of a Polarization Measure***by*Gordon Anderson & Oliver Linton & Yoon-Jae Whang**1713 An Improved Bootstrap Test of Stochastic Dominance***by*Oliver Linton & Kyungchul Song & Yoon-Jae Whang**1712 Selecting a Unique Competitive Equilibrium with Default Penalties***by*Cheng-Zhong Qin & Martin Shubik**1711 Market Valuation of Accrued Social Security Benefits***by*John Geanakoplos & Stephen P. Zeldes**1710 Grading Exams: 100, 99, 98,...or A, B, C?***by*Pradeep Dubey & John Geanakoplos**1709 Credit Cards and Inflation***by*John Geanakoplos & Pradeep Dubey**1708 Inflationary Equilibrium in a Stochastic Economy with Independent Agents***by*John Geanakoplos & Ioannis Karatzas & Martin Shubik & William D. Sudderth**1707 The Effects of the Security Environment on Military Expenditures: Pooled Analyses of 165 Countries, 1950-2000***by*William D. Nordhaus & John R. Oneal & Bruce Russett**1706 Analyzing Macroeconomic Forecastability***by*Ray C. Fair**1705 Measurement of Income with Time Use with Applications to Hedonic Indicators of Happiness and Misery***by*William D. Nordhaus**1704 A Paradox of Inconsistent Parametric and Consistent Nonparametric Regression***by*Peter C.B. Phillips & Liangjun Su**1703 LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities***by*Jin Seo Cho & Chirok Han & Peter C.B. Phillips**1702 Nonparametric Structural Estimation via Continuous Location Shifts in an Endogenous Regressor***by*Peter C.B. Phillips & Liangjun Su**1701 Infinite Density at the Median and the Typical Shape of Stock Return Distributions***by*Chirok Han & Jin Seo Cho & Peter C.B. Phillips**1700 Dynamic Misspecification in Nonparametric Cointegrating Regression***by*Ioannis Kasparis & Peter C.B. Phillips**1699 Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?***by*Peter C.B. Phillips & Yangru Wu & Jun Yu**1697 Rationalizable Implementation***by*Dirk Bergemann & Stephen Morris**1696 Understanding Inflation-Indexed Bond Markets***by*John Y. Campbell & Robert J. Shiller & Luis M. Viceira**1695 Collaborating***by*Alessandro Bonatti & Johannes Horner**1694 Principal Components and Long Run Implications of Multivariate Diffusions***by*Xiaohong Chen & Lars Peter Hansen & Jose Scheinkman**1693 The Ethics of Distribution in a Warming Planet***by*John E. Roemer**1692 Intergenerational Justice when Future Worlds Are Uncertain***by*Humberto Llavador & John E. Roemer & Joaquim Silvestre**1691 Efficient Estimation of Copula-based Semiparametric Markov Models***by*Xiaohong Chen & Wei Biao Wu & Yanping Yi**1690 Mean and Autocovariance Function Estimation Near the Boundary of Stationarity***by*Liudas Giraitis & Peter C. B. Phillips**1689 Bootstrapping I(1) Data***by*Peter C. B. Phillips**1688 Cointegrating Rank Selection in Models with Time-Varying Variance***by*Xu Cheng & Peter C. B. Phillips**1687 Asymptotic Theory for Zero Energy Density Estimation with Nonparametric Regression Applications***by*Qiying Wang & Peter C. B. Phillips**1686 An Analysis of the Dismal Theorem***by*William D. Nordhaus**1685 The Perils of the Learning Model For Modeling Endogenous Technological Change***by*William D. Nordhaus**1673R A Dynamic Analysis of Human Welfare in a Warming Planet***by*Humberto Llavador & John E. Roemer & Joaquim Silvestre**1652R Nonlinearity and Temporal Dependence***by*Xiaohong Chen & Lars P. Hansen & Marine Carrasco

### 2008

**1684R Managing Strategic Buyers***by*Johannes Horner & Larry Samuelson**1683 Estimation and Model Selection of Semiparametric Multivariate Survival Functions under General Censorship***by*Xiaohong Chen & Yanqin Fan & Demian Pouzo & Zhiliang Ying**1682R2 Venture Capital and Sequential Investments***by*Dirk Bergemann & Ulrich Hege & Liang Peng**1682R Venture Capital and Sequential Investments***by*Dirk Bergemann & Ulrich Hege & Liang Peng**1682 Venture Capital and Sequential Investments***by*Dirk Bergemann & Ulrich Hege & Liang Peng**1681 Financial Control of a Competitive Economy without Randomness***by*Ioannis Karatzas & Martin Shubik & William D. Sudderth**1680 A Principal-Agent Model of Sequential Testing***by*Dino Gerardi & Lucas Maestri**1679 Copula-Based Nonlinear Quantile Autoregression***by*Xiaohong Chen & Roger Koenker & Zhijie Xiao**1678 The Evolution of Decision and Experienced Utilities***by*Arthur Robson & Larry Samuelson**1677 Asymptotic Equivalence of Probabilistic Serial and Random Priority Mechanisms***by*Yeon-Koo Che & Fuhito Kojima**1676R Inference for Parameters Defined by Moment Inequalities: A Recommended Moment Selection Procedure***by*Donald W.K. Andrews & Panle Jia**1676 Inference for Parameters Defined by Moment Inequalities: A Recommended Moment Selection Procedure***by*Donald W.K. Andrews & Panle Jia**1675R Sufficiency of an Outside Bank and a Default Penalty to Support the Value of Fiat Money: Experimental Evidence***by*Juergen Huber & Martin Shubik & Shyam Sunder**1675 The Value of Fiat Money with an Outside Bank: An Experimental Game***by*Juergen Huber & Martin Shubik & Shyam Sunder**1674 Innovation and Equilibrium?***by*Martin Shubik**1673 A Dynamic Analysis of Human Welfare in a Warming Planet***by*Humberto Llavador & John E. Roemer & Joaquim Silvestre**1672R The Dynamic Pivot Mechanism***by*Dirk Bergemann & Juuso Valimaki**1672 The Dynamic Pivot Mechanism***by*Dirk Bergemann & Juuso Valimaki**1671 Invalidity of the Bootstrap and the m Out of n Bootstrap for Interval Endpoints Defined by Moment Inequalities***by*Donald W.K. Andrews & Sukjin Han**1670 Rationalizing Choice with Multi-Self Models***by*Attila Ambrus & Kareen Rozen**1669 Rationalization and Cognitive Dissonance: Do Choices Affect or Reflect Preferences?***by*M. Keith Chen**1668R Estimating Derivatives in Nonseparable Models with Limited Dependent Variables***by*Joseph G. Altonji & Hidehiko Ichimura & Taisuke Otsu**1668 Estimating Derivatives in Nonseparable Models with Limited Dependent Variables***by*Joseph G. Altonji & Hidehiko Ichimura & Taisuke Otsu**1667R Affective Decision Making and the Ellsberg Paradox***by*Anat Bracha & Donald J. Brown**1667 Affective Decision Making and the Ellsberg Paradox***by*Anat Bracha & Donald J. Brown**1666R Robust Implementation in General Mechanisms***by*Dirk Bergemann & Stephen Morris**1666 Robust Implementation in General Mechanisms***by*Dirk Bergemann & Stephen Morris**1665R2 Asymptotics for LS, GLS, and Feasible GLS Statistics in an AR(1) Model with Conditional Heteroskedaticity***by*Donald W.K. Andrews & Patrik Guggenberger**1665R Asymptotics for LS, GLS, and Feasible GLS Statistics in an AR(1) Model with Conditional Heteroskedaticity***by*Donald W.K. Andrews & Patrik Guggenberger**1665 Asymptotics for LS, GLS, and Feasible GLS Statistics in an AR(1) Model with Conditional Heteroskedaticity***by*Donald W.K. Andrews & Patrik Guggenberger**1664 Reforming Social Security with Progressive Personal Accounts***by*John Geanakoplos & Stephen P. Zeldes**1663 Overlapping Generations Models of General Equilibrium***by*John Geanakoplos**1662 Pareto Improving Taxes***by*John Geanakoplos & H. M. Polemarchakis**1661 Optimal Bandwidth Choice for Interval Estimation in GMM Regression***by*Yixiao Sun & Peter C.B. Phillips**1660 Testing for Non-Nested Conditional Moment Restrictions Using Unconditional Empirical Likelihood***by*Taisuke Otsu & Myung Hwan Seo & Yoon-Jae Whang**1659 Smoothing Local-to-Moderate Unit Root Theory***by*Peter C.B. Phillips & Tassos Magdalinos & Liudas Giraitis**1658 Semiparametric Cointegrating Rank Selection***by*Xu Cheng & Peter C.B. Phillips**1657 Structural Nonparametric Cointegrating Regression***by*Qiying Wang & Peter C.B. Phillips**1656 Long Memory and Long Run Variation***by*Peter C.B. Phillips**1655 Unit Root and Cointegrating Limit Theory When Initialization Is in the Infinite Past***by*Peter C.B. Phillips & Tassos Magdalinos**1654 Local Limit Theory and Spurious Nonparametric Regression***by*Peter C.B. Phillips**1653 Unit Root Model Selection***by*Peter C.B. Phillips**1652 Nonlinearity and Temporal Dependence***by*Xiaohong Chen & Lars P. Hansen & Marine Carrasco**1651 The Impact of a Hausman Pretest on the Size of Hypothesis Tests***by*Patrik Guggenberger**1650RR Estimation of Nonparametric Conditional Moment Models With Possibly Nonsmooth Generalized Residuals***by*Xiaohong Chen & Demian Pouzo**1650R Estimation of Nonparametric Conditional Moment Models With Possibly Nonsmooth Generalized Residuals***by*Xiaohong Chen & Demian Pouzo**1650 Estimation of Nonparametric Conditional Moment Models with Possibly Nonsmooth Moments***by*Xiaohong Chen & Demian Pouzo**1649 Limit Theorems for Functionals of Sums that Converge to Fractional Brownian and Stable Motions***by*P. Jeganathan**1648 Derivatives Markets for Home Prices***by*Robert J. Shiller**1647 The Virtues and Vices of Equilibrium and the Future of Financial Economics***by*J. Doyne Farmer & John Geanakoplos**1646 Emerging Markets in an Anxious Global Economy***by*Ana Fostel & John Geanakoplos**1645 Understanding Sectoral Labor Market Dynamics: An Equilibrium Analysis of the Oil and Gas Field Services Industry***by*Patrick Kline**1644 Semiparametric Efficiency in GMM Models of Nonclassical Measurement Errors, Missing Data and Treatment Effects***by*Xiaohong Chen & Han Hong & Alessandro Tarozzi**1643 A ‘Dual’-Improved Shortcut to the Long Run***by*Kareen Rozen**1642R Foundations of Intrinsic Habit Formation***by*Kareen Rozen**1642 Foundations of Intrinsic Habit Formation***by*Kareen Rozen**1641 Conflict Leads to Cooperation in Nash Bargaining***by*Kareen Rozen**1640R Efficient Estimation of Semiparametric Conditional Moment Models with Possibly Nonsmooth Residuals***by*Xiaohong Chen & Demian Pouzo**1639 Do Local Economic Development Programs Work? Evidence from the Federal Empowerment Zone Program***by*Matias Busso & Patrick Kline**1637 A Positive Theory of Income Taxation Where Politicians Focus upon Swing and Core Voters***by*John E. Roemer**1636 Optimal Resource Extraction Contracts under Threat of Expropriation***by*Eduardo Engel & Ronald Fischer**1635 Estimating Exchange Rate Equations Using Estimated Expectations***by*Ray C. Fair**1634 Estimating Term Structure Equations Using Macroeconomic Variables***by*Ray C. Fair**1566R Aggregate Implications of Lumpy Investment: New Evidence and a DSGE Model***by*Ruediger Bachmann & Ricardo J. Caballero & Eduardo Engel

### 2007

**1633R Affective Decision Making: A Behavioral Theory of Choice***by*Anat Bracha & Donald J. Brown**1633 Affective Decision Making: A Behavioral Theory of Choice***by*Anat Bracha & Donald J. Brown**1632 Low Interest Rates and High Asset Prices: An Interpretation in Terms of Changing Popular Models***by*Robert J. Shiller**1631 Inference for Parameters Defined by Moment Inequalities Using Generalized Moment Selection***by*Donald W.K. Andrews & Gustavo Soares**1630 Understanding Recent Trends in House Prices and Home Ownership***by*Robert J. Shiller**1629 Belief Free Incomplete Information Games***by*Dirk Bergemann & Stephen Morris**1628 The Role of the Common Prior in Robust Implementation***by*Dirk Bergemann & Stephen Morris**1627 Collective Reputation, Professional Regulation and Franchising***by*Robert Evans & Timothy W. Guinnane**1626 On Rate Optimality for Ill-posed Inverse Problems in Econometrics***by*Xiaohong Chen & Markus Reiss**1625 Pricing without Priors***by*Dirk Bergemann & Karl H. Schlag**1624 Reputation Effects and Equilibrium Degeneracy in Continuous-Time Games***by*Eduardo Faingold & Yuliy Sannikov**1623R Three Minimal Market Institutions with Human and Algorithmic Agents: Theory and Experimental Evidence***by*Juergen Huber & Martin Shubik & Shyam Sunder**1623 Three Minimal Market Institutions with Human and Algorithmic Agents: Theory and Experimental Evidence***by*Juergen Huber & Martin Shubik & Shyam Sunder**1622 An Economy with Personal Currency: Theory and Experimental Evidence***by*Martin Angerer & Juergen Huber & Martin Shubik & Shyam Sunder**1621 Probabilistic Sophistication and Stochastic Monotonicity in the Savage Framework***by*Simon Grant & Hatice Ozsoy & Ben Polak**1620 Validity of Subsampling and "Plug-in Asymptotic" Inference for Parameters Defined by Moment Inequalities***by*Donald W.K. Andrews & Patrik Guggenberger**1619 Information Acquisition in Interdependent Value Auctions***by*Dirk Bergemann & Xianwen Shi & Juuso Valimaki**1618 The Basic Public Finance of Public-Private Partnerships***by*Eduardo Engel & Ronald Fischer & Alexander Galetovic**1617 United States Courts and the Optimal Deterrence of International Cartels: A Welfarist Perspective on Empagran***by*Alvin K. Klevorick & Alan O. Sykes**1616 Dynamic Marginal Contribution Mechanism***by*Dirk Bergemann & Juuso Valimaki**1615R Alfred Marshall's Cardinal Theory of Value: The Strong Law of Demand***by*Donald J. Brown & Caterina Calsamiglia**1615 Marshall's Theory of Value and the Strong Law of Demand***by*Donald J. Brown & Caterina Calsamiglia**1614 Limit Theory for Explosively Cointegrated Systems***by*Peter C.B. Phillips & Tassos Magdalinos**1613 Exact Distribution Theory in Structural Estimation with an Identity***by*Peter C.B. Phillips**1612 Tilted Nonparametric Estimation of Volatility Functions***by*Peter C.B. Phillips & Ke-Li Xu**1611 Long Run Covariance Matrices for Fractionally Integrated Processes***by*Peter C.B. Phillips & Chang Sik Kim**1610 Historic Turning Points in Real Estate***by*Robert J. Shiller**1609R2 Robust Virtual Implementation***by*Dirk Bergemann & Stephen Morris**1609R Strategic Distinguishability and Robust Virtual Implementation***by*Dirk Bergemann & Stephen Morris**1609 Strategic Distinguishability with an Application to Robust Virtual Implementation***by*Dirk Bergemann & Stephen Morris**1608 Applications of Subsampling, Hybrid, and Size-Correction Methods***by*Donald W.K. Andrews & Patrik Guggenberger**1607 Asymptotics for Stationary Very Nearly Unit Root Processes***by*Donald W.K. Andrews & Patrik Guggenberger**1606 Hybrid and Size-Corrected Subsample Methods***by*Donald W.K. Andrews & Patrik Guggenberger**1605R The Limit of Finite-Sample Size and a Problem with Subsampling***by*Donald W.K. Andrews & Patrik Guggenberger**1605 The Limit of Finite-Sample Size and a Problem with Subsampling***by*Donald W.K. Andrews & Patrik Guggenberger**1604 Price Dynamics on a Stock Market with Asymmetric Information***by*Bernard De Meyer**1603 Price Stickiness in Ss Models: New Interpretations of Old Results***by*Ricardo J. Caballero & Eduardo M.R.A. Engel**1602 Presidential and Congressional Vote-share Equations***by*Ray C. Fair**1601 Social Memory and Evidence from the Past***by*Luca Anderlini & Dino Gerardi & Roger Lagunoff**1600 An Ascending Auction for Independent Values: Uniqueness and Robustness to Strategic Uncertainty***by*Dirk Bergemann & Stephen Morris**1599 GMM Estimation for Dynamic Panels with Fixed Effects and Strong Instruments at Unity***by*Chirok Han & Peter C.B. Phillips**1598 Information Loss in Volatility Measurement with Flat Price Trading***by*Peter C.B. Phillips & Jun Yu**1597 Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance***by*Peter C.B. Phillips & Jun Yu**1596 Simulation-based Estimation of Contingent-claims Prices***by*Peter C.B. Phillips & Jun Yu**1595 Transition Modeling and Econometric Convergence Tests***by*Peter C.B. Phillips & Donggyu Sul**1411R Information Acquisition in Committees***by*Dino Gerardi & Leeat Yariv

### 2006

**1594 Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegrating Regression***by*Qiying Wang & Peter C.B. Phillips**1593 A Note on Fairness, Power, Property, and Behind the Veil***by*Martin Shubik**1592 Games of Connectivity***by*Pradeep Dubey & Rahul Garg**1591 Competing for Customers in a Social Network***by*Pradeep Dubey & Rahul Garg & Bernard De Meyer**1590 Identification and Inference of Nonlinear Models Using Two Samples with Arbitrary Measurement Errors***by*Xiaohong Chen & Yingyao Hu**1589 Outsourcing Induced by Strategic Competition***by*Yutian Chen & Pradeep Dubey & Debapriya Sen**1588 One-Way Essential Complements***by*M. Keith Chen & Barry J. Nalebuff**1587 Log Periodogram Regression: The Nonstationary Case***by*Chang Sik Kim & Peter C.B. Phillips**1586 A Complete Asymptotic Series for the Autocovariance Function of a Long Memory Process***by*Offer Lieberman & Peter C.B. Phillips**1585R Adaptive Estimation of Autoregressive Models with Time-Varying Variances***by*Ke-Li Xu & Peter C.B. Phillips**1585 Adaptive Estimation of Autoregressive Models with Time-Varying Variances***by*Ke-Li Xu & Peter C.B. Phillips**1584 Efficient Dynamic Auctions***by*Dirk Bergemann & Juuso Valimaki**1583 Economic Development as Opportunity Equalization***by*John E. Roemer**1582 Kantian Allocations***by*John E. Roemer**1581 Mixed Oligopoly Equilibria When Firms' Objectives Are Endogenous***by*Philippe De Donder & John E. Roemer**1580 Competitive Screening and Market Segmentation***by*Gerald D. Jaynes**1579 Interpreting the Predictive Uncertainty of Elections***by*Ray C. Fair**1578 Generalized Utilitarianism and Harsanyi’s Partial Observer Theorem***by*Simon Grant & Atsushi Kajii & Ben Polak & Zvi Safra**1577 A Comparison of Five Federal Reserve Chairmen: Was Greenspan the Best?***by*Ray C. Fair**1576 Pareto Improving Taxes***by*J. D. Geanakoplos & H. M. Polemarchakis**1575R Common Learning***by*Martin W. Cripps & Jeffrey C. Ely & George J. Mailath & Larry Samuelson**1575 Common Learning***by*Martin W. Cripps & Jeffrey C. Ely & George J. Mailath & Larry Samuelson**1574 Money and Production, and Liquidity Trap***by*Pradeep Dubey & John Geanakoplos**1573 Extreme Adverse Selection, Competitive Pricing, and Market Breakdown***by*George J. Mailath & Georg Noldeke**1572 The Theory of Money and Financial Institutions: A Summary of a Game Theoretic Approach***by*Martin Shubik**1571 Purification in the Infinitely-Repeated Prisoners' Dilemma***by*V. Bhaskar & George J. Mailath & Stephen Morris**1570 Evaluating Inflation Targeting Using a Macroeconometric Model***by*Ray C. Fair**1569 Empirical Likelihood Methods in Econometrics: Theory and Practice***by*Yuichi Kitamura**1568 Efficient Recommender Systems***by*Dirk Bergemann & Deran Ozmen**1567 Renegotiation without Holdup: Anticipating Spending and Infrastructure Concessions***by*Eduardo Engel & Ronald Fischer & Alexander Galetovic**1566 Lumpy Investment in Dynamic General Equilibrium***by*Ruediger Bachmann & Ricardo J. Caballero & Eduardo Engel**1565 Optimal Electoral Timing: Exercise Wisely and You May Live Longer***by*Jussi Keppo & Lones Smith & Dmitry Davydov**1564 Rank Tests for Instrumental Variables Regression with Weak Instruments***by*Donald W.K. Andrews & Gustavo Soares**1563 Optimal Pricing with Recommender Systems***by*Dirk Bergemann & Deran Ozmen**1562 Empirical Models of Auctions***by*Susan Athey & Philip A. Haile**1561R2 Robust Implementation in Direct Mechanisms***by*Bergemann, Dirk & Stephen Morris**1561R Robust Implementation: The Case of Direct Mechanisms"***by*Dirk Bergemann & Stephen Morris**1561 Robust Implementation: The Case of Direct Mechanisms***by*Dirk Bergemann & Stephen Morris**1560 Nuclear Weapons and National Prestige***by*Barry O'Neill**1559 Lexicographic Composition of Simple Games***by*Barry O'Neill & Bezalel Peleg**1558 Limit Theorems for Functionals of Sums That Converge to Fractional Stable Motions***by*P. Jeganathan**1557 Understanding Overbidding in Second Price Auctions: An Experimental Study***by*David J. Cooper & Hanming Fang**1556 Simultaneous Search***by*Hector Chade & Lones Smith**1555 Repeated Games with Present-Biased Preferences***by*Hector Chade & Pavlo Prokopovych & Lones Smith**1554 Caller Number Five: Timing Games that Morph from One Form to Another***by*Andreas Park & Lones Smith**1553 Assortative Matching and Reputation***by*Axel Anderson & Lones Smith**1552 Informational Herding and Optimal Experimentation***by*Lones Smith & Peter Norman Sorensen**1551 Bandit Problems***by*Dirk Bergemann & Juuso Valimaki**1550 Indirect Inference for Dynamic Panel Models***by*Christian Gourieroux & Peter C. B. Phillips & Jun Yu**1549 Refined Inference on Long Memory in Realized Volatility***by*Offer Lieberman & Peter C. B. Phillips