# 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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### 2006

**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**1548 Sinusoidal Modeling Applied to Spatially Variant Tropospheric Ozone Air Pollution***by*Nicholas Z. Muller & Peter C. B. Phillips**1547 Optimal Estimation of Cointegrated Systems with Irrelevant Instruments***by*Peter C. B. Phillips**1546 Gaussian Inference in AR(1) Time Series with or without a Unit Root***by*Peter C. B. Phillips & Chirok Han**1545 Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing***by*Yixiao Sun & Peter C. B. Phillips & Sainan Jin

### 2005

**1544 Grading in Games of Status: Marking Exams and Setting Wages***by*Pradeep Dubey & John Geanakoplos**1543 The Response of Prices, Sales, and Output to Temporary Changes in Demand***by*Adam Copeland & George Hall**1542 Sequential Equilibria in Bayesian Games with Communication***by*Dino Gerardi & Roger B. Myerson**1541 Testing Linearity in Cointegrating Relations with an Application to Purchasing Power Parity***by*Seung Hyun Hong & Peter C. B. Phillips**1540 A Remark on Bimodality and Weak Instrumentation in Structural Equation Estimation***by*Peter C. B. Phillips**1539R A Credit Mechanism for Selecting a Unique Competitive Equilibrium***by*Cheng-Zhong Qin & Martin Shubik**1539 A Credit Mechanism for Selecting a Unique Competitive Equilibrium***by*Cheng-Zhong Qin & Martin Shubik**1538 A New Approach to Robust Inference in Cointegration***by*Sainan Jin & Peter C.B. Phillips & Yixiao Sun**1537 Prizes versus Wages with Envy and Pride***by*Pradeep K. Dubey & John Geanakoplos & Ori Haimanko**1536 Estimated Age Effects in Baseball***by*Ray C. Fair**1535 Continuous versus Discrete Market Games***by*Alexandre Marino & Bernard De Meyer**1534 Perfect Competition in a Bilateral Monopoly (In honor of Martin Shubik)***by*Pradeep Dubey & Dieter Sondermann**1533 Testing for Non-nested Conditional Moment Retrictions via Conditional Empirical Likelihood***by*Taisuke Otsu & Yoon-Jae Whang**1532R Information in Mechanism Design***by*Dirk Bergemann & Juuso Valimaki**1532 Information in Mechanism Design***by*Dirk Bergemann & Juuso Valimaki**1531 Making Statements and Approval Voting***by*Enriqueta Aragones & Itzhak Gilboa & Andrew Weiss**1530 Inference with Weak Instruments***by*Donald W.K. Andrews & James H. Stock**1529 Branch Rickey’s Equation Fifty Years Later***by*Ray C. Fair & Danielle Catambay**1528 Competition, Consumer Welfare, and the Social Cost of Monopoly***by*Yoon-Ho Alex Lee & Donald J. Brown**1527R2 Robust Monopoly Pricing***by*Dirk Bergemann & Karl Schlag**1527R Robust Monopoly Pricing***by*Dirk Bergemann & Karl Schlag**1526 Randomized Sign Test for Dependent Observations on Discrete Choice under Risk***by*Anat Bracha & Jeremy Gray & Rustam Ibragimov & Boaz Nadler & Dmitry Shapiro & Glena Ames & Donald J. Brown**1525 Natural Concepts in Macroeconomics***by*Ray C. Fair**1524 The Evolution of Our Preferences: Evidence from Capuchin-Monkey Trading Behavior***by*M. Keith Chen & Venkat Lakshminarayanan & Laurie Santos**1523 A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations***by*Peter C.B. Phillips & Jun Yu**1522 A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions***by*Federico M. Bandi & Peter C.B. Phillips**1521 A Note on a "Square-Root Rule" for Reinsurance***by*Michael R. Powers & Martin Shubik**1520 Economics: the next physical science?***by*J. Doyne Farmer & Martin Shubik & Eric Smith**1519 Robust Implementation: The Role of Large Type Spaces***by*Dirk Bergemann & Stephen Morris**1518 Sign Tests for Dependent Observations and Bounds for Path-Dependent Options***by*Donald J. Brown & Rustam Ibragimov**1517 Limit Theory for Moderate Deviations from a Unit Root under Weak Dependence***by*Peter C.B. Phillips & Tassos Magadalinos**1516 Nonstationary Discrete Choice: A Corrigendum and Addendum***by*Peter C.B. Phillips & Sainan Jin & Ling Hu**1515 GMM with Many Moment Conditions***by*Chirok Han & Peter C.B. Phillips**1514 Economic Transition and Growth***by*Peter C.B. Phillips & Donggyu Sul**1513 Improved HAR Inference***by*Peter C.B. Phillips & Yixiao Sun & Sainan Jin**1512 Intergenerational Justice and Sustainability under the Leximin Ethic***by*John E. Roemer**1511R Overcoming Participation Constraints***by*Hanming Fang & Peter Norman**1511 Overcoming Participation Constraints***by*Hanming Fang & Peter Norman**1510 Commodity Money and the Valuation of Trade***by*Eric Smith & Martin Shubik**1509 Fiat Money and the Natural Scale of Government***by*Martin Shubik & Eric Smith**1508R Two Algorithms for Solving the Walrasian Equilibrium Inequalities***by*Donald J. Brown & Ravi Kannan**1508 Decision Methods for Solving Systems of Walrasian Inequalities***by*Donald J. Brown & Ravi Kannan**1507 The Nonparametric Approach to Applied Welfare Analysis***by*Donald J. Brown & Caterina Calsamiglia**1506 Courage to Capital? A Model of the Effects of Rating Agencies on Sovereign Debt Role-over***by*Mark A. Carlson & Galina B. Hale**1505 Flexibility as an Instrument in Digital Rights Management***by*Dirk Bergemann & Thomas Eisenbach & Joan Feigenbaum & Scott Shenker**1504 The Life-Cycle Personal Accounts Proposal for Social Security: An Evaluation***by*Robert J. Shiller**1503 Aggregation of Expert Opinions***by*Dino Gerardi & Richard McLean & Andrew Postlewaite**1502 Ex Post Implementation***by*Dirk Bergemann & Stephen Morris**1501 Exactly Distribution-free Inference in Instrumental Variables Regression with Possibly Weak Instruments***by*Donald W.K. Andrews & Vadim Marmer**1500 Sparse Estimators and the Oracle Property, or the Return of Hodges' Estimator***by*Hannes Leeb & Benedikt M. Poetscher**1499 Behavioral Economics and Institutional Innovation***by*Robert J. Shiller**1498 The Demand for Information: More Heat than Light***by*Jussi Keppo & Giuseppe Moscarini & Lones Smith**1497 Policy Effects in the Post Boom U.S. Economy***by*Ray C. Fair

### 2004

**1496 Predicting Electoral College Victory Probabilities from State Probability Data***by*Ray C. Fair**1495 Estimated Age Effects in Athletic Events and Chess***by*Ray C. Fair**1494 Retrospective on the Postwar Productivity Slowdown***by*William D. Nordhaus**1493 Rule-Based and Case-Based Reasoning in Housing Prices***by*Gabrielle Gayer & Itzhak Gilboa & Offer Lieberman**1492 Probabilities as Similarity-Weighted Frequencies***by*Antoine Billot & Itzhak Gilboa & David Schmeidler & Dov Samet**1491 Fact-Free Learning***by*Enriqueta Aragones & Itzhak Gilboa & Andrew Postlewaite & David Schmeidler**1490 The Folk Theorem in Dynastic Repeated Games***by*Luca Anderlini & Dino Gerardi & Roger Lagunoff**1489 Competitive Experimentation with Private Information***by*Guiseppe Moscarini & Francesco Squintani**1488 Modeling Party Competition in General Elections***by*John E. Roemer**1487 Distribution and Politics: A Brief History and Prospect***by*John E. Roemer**1486 Empirical Similarity***by*Itzhak Gilboa & Offer Lieberman & David Schmeidler**1485 Axiomatization of an Exponential Similarity Function***by*Antoine Billot & Itzhak Gilboa & David Schmeidler**1484 Rationality of Belief. Or: Why Bayesianism is Neither Necessary nor Sufficient for Rationality***by*Itzhak Gilboa & Andrew Postlewaite & David Schmeidler**1483 Toward An Economic Theory of Dysfunctional Identity***by*Hanming Fang & Glenn C. Loury**1481 Network Markets and Consumers Coordination***by*Attila Ambrus & Rossella Argenziano**1480 Effective Labor Regulation and Microeconomic Flexibility***by*Ricardo J. Caballero & Kevin N. Cowan & Eduardo M.R.A. Engel & Alejandro Micco**1479R Coordination Failure in Repeated Games with Almost-Public Monitoring***by*George J. Mailath & Stephen Morris**1479 Coordination Failure in Repeated Games with Almost-Public Monitoring***by*George J. Mailath & Stephen Morris**1478 Xenophobia and Distribution in France: A Politico-economic Analysis***by*John E. Roemer & Karen Van der Straeten**1477B Impartiality and Priority. Part 2: A Characterization with Solidarity***by*Juan Moreno-Ternero & John E. Roemer**1477A Impartiality and Priority. Part 1: The Veil of Ignorance***by*Juan Moreno-Ternero & John E. Roemer**1476 Optimal Invariant Similar Tests for Instrumental Variables Regression***by*Donald W.K. Andrews & Marcelo J. Moreira & James H. Stock**1475 Uniform Limit Theory for Stationary Autoregression***by*Liudas Giraitis & Peter C.B. Phillips**1474 Expansions for Approximate Maximum Likelihood Estimators of the Fractional Difference Parameter***by*Offer Lieberman & Peter C.B. Phillips**1473 Regression Asymptotics Using Martingale Convergence Methods***by*Rustam Ibragimov & Peter C.B. Phillips**1472 Challenges of Trending Time Series Econometrics***by*Peter C.B. Phillips**1471 Limit Theory for Moderate Deviations from a Unit Root***by*Peter C.B. Phillips & Tassos Magdalinos**1470 HAC Estimation by Automated Regression***by*Peter C.B. Phillips**1469 Automated Discovery in Econometrics***by*Peter C.B. Phillips**1468R Collateral Restrictions and Liquidity Under-Supply: A Simple Model***by*Ana Fostel & John Geanakoplos**1468 Non-Monotone Liquidity Under-Supply***by*Ana Fostel & John Geanakoplos**1467 Grading Exams: 100, 99, ..., 1 or A, B, C? Incentives in Games of Status***by*Pradeep Dubey & John Geanakoplos**1466R Competition, Consumer Welfare and Monopoly Power***by*Donald J. Brown & G.A. Wood**1466 The Social Cost of Monopoly Power***by*Donald J. Brown & G.A. Wood**1465 Time-inconsistency and Welfare Program Participation: Evidence from the NLSY***by*Hanming Fang & Dan Silverman**1464 An Alternative Test of Racial Prejudice in Motor Vehicle Searches: Theory and Evidence***by*Shamena Anwar & Hanming Fang**1463R Monopoly Pricing of Experience Goods***by*Dirk Bergemann & Juuso Valimaki**1462 Racism and Redistribution in the United States: A Solution to the Problem of American Exceptionalism***by*Woojin Lee & John E. Roemer**1461 Radical Financial Innovation***by*Robert J. Shiller**1460 Gold, Fiat and Credit. An Elementary Discussion of Commodity Money, Fiat Money and Credit, Part II***by*Thomas Quint & Martin Shubik**1459 Household Reaction to Changes in Housing Wealth***by*Robert J. Shiller**1458 Neighborhood Complexes and Generating Functions for Affine Semigroups***by*Herbert E. Scarf & Kevin M. Woods**1457 Schumpeterian Profits in the American Economy: Theory and Measurement***by*William D. Nordhaus**1456 Three Strikes and You're Out: Reply to Cooper and Willis***by*Ricardo J. Caballero & Eduardo M.R.A. Engel**1455 A Consumable Money. An Elementary Discussion of Commodity Money, Fiat Money and Credit: Part I***by*Thomas Quint & Martin Shubik**1454 A Quantilogram Approach to Evaluating Directional Predictability***by*Oliver Linton & Yoon-Jae Whang**1453 Smoothed Empirical Likelihood Methods for Quantile Regression Models***by*Yoon-Jae Whang**1452 Using Subspace Methods for Estimating ARMA Models for Multivariate Time Series with Conditionally Heteroskedastic Innovations***by*Dietmar Bauer**1451 Purification in the Infinitely-Repeated Prisoners' Dilemma***by*V. Bhaskar & George J. Mailath & Stephen Morris

### 2003

**1450 Does Prison Harden Inmates? A Discontinuity-based Approach***by*M. Keith Chen & Jesse M. Shapiro**1449 Dollar Denominated Debt and Optimal Security Design***by*John Geanakoplos & Felix Kubler**1448 Absenteeism, Substitutes, and Complements and the Banzhaf Index***by*Thomas Quint**1447 Absenteeism, Substitutes, and Complements in Simple Games***by*Thomas Quint & Martin Shubik**1446 A Behavioral Model of Bargaining with Endogenous Types***by*Dilip Abreu & David Pearce**1445 Nonparametric Tests for Common Values in First-Price Sealed-Bid Auctions***by*Philip A. Haile & Han Hong & Matthew Shum**1444 Can One Estimate the Conditional Distribution of Post-Model-Selection Estimators?***by*Hannes Leeb & Benedikt M. Potscher**1443 A Double Auction Market: Teaching, Experiment and Theory***by*Martin Shubik**1442 The Invention of Inflation-Indexed Bonds in Early America***by*Robert J. Shiller**1441R Optimal Provision of Multiple Excludable Public Goods***by*Hanming Fang & Peter Norman**1441 An Efficiency Rationale for Bundling of Public Goods***by*Hanming Fang & Peter Norman**1440 To Bundle or Not to Bundle***by*Hanming Fang & Peter Norman**1439 The Edgeworth, Cournot and Walrasian Cores of an Economy***by*Martin Shubik**1438 Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence***by*Peter C.B. Phillips & Donggyu Sul**1437 Long Run Variance Estimation Using Steep Origin Kernels without Truncation***by*Peter C.B. Phillips & Yixiao Sun & Sainan Jin**1436 Prewhitening Bias in HAC Estimation***by*Donggyu Sul & Peter C.B. Phillips & Choi, Chi-Young**1435 Incidental Trends and the Power of Panel Unit Root Tests***by*Hyungsik Roger Moon & Benoit Perron & Peter C.B. Phillips**1434 Liquidity Black Holes***by*Stephen Morris & Hyun Song Shin**1433R Risk and Wealth in a Model of Self-fulfilling Currency Crises***by*Bernardo Guimaraes & Stephen Morris**1433 Risk and Wealth in a Model of Self-fulfilling Currency Crises***by*Bernardo Guimaraes & Stephen Morris**1432 On the Empirical Content of Quantal Response Equilibrium***by*Philip A. Haile & Ali Hortacsu & Grigory Kosenok**1431 Uniqueness of Equilibrium in the Multi-Country Ricardo Model***by*Herbert E. Scarf & Wilson, Charles A. Wilson**1430 Missing Aggregate Dynamics: On the Slow Convergence of Lumpy Adjustment Models***by*Ricardo J. Caballero & Eduardo M.R.A. Engel**1429 The Ideal Inflation Indexed Bond and Irving Fisher's Impatience Theory of Interest in an Overlapping Generations World***by*John Geanakoplos**1428 Cross-section Regression with Common Shocks***by*Donald W.K. Andrews**1427R Real Determinacy with Nominal Assets***by*Pradeep Dubey & John Geanakoplos**1427 Real Determinacy with Nominal Assets***by*Pradeep Dubey & John Geanakoplos**1426R The Computation of Counterfactual Equilibria in Homothetic Walrasian Economies***by*Donald J. Brown & Ravi Kannan**1426 Indeterminacy, Nonparametric Calibration and Counterfactual Equilibria***by*Donald J. Brown & Ravi Kannan**1425 Fundamental R&D Spillovers and the Internationalization of a FirmÌs Research Activities***by*Bernard Franck & Robert Owen**1424 The Harmonic Fisher Equation and the Inflationary Bias of Real Uncertainty***by*Ioannis Karatzas & Martin Shubik & William D. Sudderth & John Geanakoplos**1423 Multidimensional Private Value Auctions***by*Hanming Fang & Stephen Morris**1422 Morale Hazard***by*Hanming Fang & Giuseppe Moscarini**1421R Robust Mechanism Design***by*Dirk Bergemann & Stephen Morris**1421 Robust Mechanism Design***by*Dirk Bergemann & Stephen Morris**1420 Strategic Freedom, Constraint, and Symmetry in One-period Markets with Cash and Credit Payment***by*Martin Shubik & Eric Smith**1419 Structure, Clearinghouses and Symmetry***by*Martin Shubik & Eric Smith**1418 Alternative Approximations of the Bias and MSE of the IV Estimator under Weak Identification with an Application to Bias Correction***by*John Chao & Norman R. Swanson**1417 Consistent Estimation with a Large Number of Weak Instruments***by*Chao, John Chao & Norman R. Swanson**1416 On Houseswapping, the Strict Core, Segmentation, and Linear Programming***by*Thomas Quint & Jun Wake**1415 Two New Proofs of Afriat's Theorem***by*Anna Fostel & Herbert E. Scarf & Michael J. Todd**1414 On Local and Network Games***by*Thomas Quint & Martin Shubik**1413 Market Bubbles and Wasteful Avoidance: Tax and Regulatory Constraints on Short Sales***by*Michael R. Powers & David M. Schizer & Martin Shubik**1412 Dynamic Price Competition***by*Dirk Bergemann & Juuso Valimaki**1411 Committee Design in the Presence of Communication***by*Dino Gerardi & Leeat Yariv**1410 Indeterminacy of Citizen-Candidate Equilibrium***by*John E. Roemer**1409 Political Equilibrium With Private or/and Public Campaign Finance: A Comparison Of Institutions***by*John E. Roemer**1408 Eclectic Distributional Ethics***by*John E. Roemer**1407 Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation***by*Peter C.B. Phillips & Yixiao Sun & Sainan Jin**1406 Beauty Contests, Bubbles and Iterated Expectations in Asset Markets***by*Franklin Allen & Stephen Morris & Hyun Song Shin**1405 Communication and Monetary Policy***by*Jeffrey D. Amado & Stephen Morris & Hyun Song Shin**1404 End-of-Sample Cointegration Breakdown Tests***by*Donald W.K. Andrews & Jae-Young Kim**1403 Bonds or Loans? The Effect of Macroeconomic Fundamentals***by*Galina Hale**1402 Heterogeneity and Uniqueness in Interaction Games***by*Stephen Morris & Hyun Song Shin**1401 Coordination, Communication and Common Knowledge: A Retrospective on Electronic Mail Game***by*Stephen Morris**1400 Catalytic Finance: When Does It Work?***by*Stephen Morris & Hyun Song Shin**1399R Rationalizing and Curve-Fitting Demand Data with Quasilinear Utilities***by*Donald J. Brown & Caterina Calsamiglia**1399 The Strong Law of Demand***by*Donald J. Brown & Caterina Calsamiglia**1398 The Elusive Empirical Shadow of Growth Convergence***by*Peter C.B. Phillips & Donggyu Sul**1397 Laws and Limits of Econometrics***by*Peter C.B. Phillips**1396 Who Refers to Whom: A Study of Research References and the Relationship between Research Reports and Final Publication***by*Samuel McCarthy & Martin Shubik & Jianfeng Yu**1395R2 Tests of Independence in Separable Econometric Models: Theory and Application***by*Donald J. Brown & Rahul Deb & Marten H. Wegkamp**1395R Tests of Independence in Separable Econometric Models: Theory and Application***by*Donald J. Brown & Rahul Deb & Marten H. Wegkamp**1395 Tests of Independence in Separable Econometric Models***by*Donald J. Brown & Marten H. Wegkamp**1394 Generalized Potentials and Robust Sets of Equilibria***by*Stephen Morris & Takashi Ui**1393 Vision and Influence in Econometrics: John Denis Sargan***by*Peter C.B. Phillips**1392 Jackknifing Bond Option Prices***by*Peter C.B. Phillips & Jun Yu**1391 Fractional Brownian Motion as a Differentiable Generalized Gaussian Process***by*Victoria Zinde-Walsh & Peter C.B. Phillips**1390 GMM Estimation of Autoregressive Roots Near Unity with Panel Data***by*Hyungsik Roger Moon & Peter C.B. Phillips**1389 Monetary Equilibrium with Missing Markets***by*Pradeep Dubey & John Geanakoplos