# 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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### 2004

**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

**1395R2 Tests of Independence in Separable Econometric Models: Theory and Application***by*Donald J. Brown & Rahul Deb & Marten H. Wegkamp**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 FirmÃŒs 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**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

### 2002

**1388 Testing for a New Economy in the 1990s***by*Ray C. Fair**1387 The Economic Consequences of a War with Iraq***by*William D. Nordhaus**1386 One Simple Test of Samuelson's Dictum for the Stock Market***by*Jeeman Jung & Robert J. Shiller**1385 From Efficient Market Theory to Behavioral Finance***by*Robert J. Shiller**1384 Adaptive Local Polynomial Whittle Estimation of Long-range Dependence***by*Donald W.K. Andrews & Yixiao Sun**1383 Fairness, Reciprocity, and Wage Rigidity***by*Truman F. Bewley**1382 Risk Aversion and Stock Prices***by*Ray C. Fair**1381 College Football Rankings and Market Efficiency***by*Ray C. Fair & John F. Oster**1380R Demography and the Long-run Predictability of the Stock Market***by*John Geanakoplos & Michael Magill & Martine Quinzii**1380 Demography and the Long-run Predictability of the Stock Market***by*John Geanakoplos & Michael Magill & Martine Quinzii**1379 The Value of Benchmarking***by*Dirk Bergemann & Ulrich Hege**1378 Higher-order Improvements of the Parametric Bootstrap for Long-memory Gaussian Processes***by*Donald W.K. Andrews & Offer Lieberman**1377 Best Response Equivalence***by*Morris, Stephen Morris & Takashi Ui**1376 Econometric Methods for Endogenously Sampled Time Series: The Case of Commodity Price Speculation in the Steel Market***by*George Hall & John Rust**1375 More Efficient Kernel Estimation in Nonparametric Regression with Autocorrelated Errors***by*Zhijie Xiao & Oliver Linton & Raymond J. Carroll & E. Mammen**1374 Error Bounds and Asymptotic Expansions for Toeplitz Product Functionals of Unbounded Spectra***by*Offer Lieberman & Peter C.B. Phillips**1373 The KPSS Test with Seasonal Dummies***by*Sainan Jin & Peter C.B. Phillips**1372 Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems***by*Steven Berry & Oliver Linton & Ariel Pakes**1371 Unmediated Communication in Games with Complete and Incomplete Information***by*Dino Gerardi**1370 The Block-block Bootstrap: Improved Asymptotic Refinements***by*Donald W.K. Andrews**1369 End-of-Sample Instability Tests***by*Donald W.K. Andrews**1368 The Mildest Recession: Outputs, Profits, and Stock Prices as the U.S. Emerges from the 2001 Recession***by*William D. Nordhaus**1367 Exact Local Whittle Estimation of Fractional Integration***by*Katsumi Shimotsu & Peter C.B. Phillips**1366 Nonlinear Log-Periodogram Regression for Perturbed Fractional Processes***by*Yixiao Sun & Peter C.B. Phillips**1365 Dynamics of the Federal Funds Target Rate: A Nonstationary Discrete Choice Approach***by*Ling Hu & Peter C.B. Phillips**1364 Nonstationary Discrete Choice***by*Ling Hu & Peter C.B. Phillips**1363 Efficient Regression in Time Series Partial Linear Models***by*Peter C.B. Phillips & Binbin Guo & Zhijie Xiao**1362 Dynamic Panel Estimation and Homogeneity Testing Under Cross Section Dependence***by*Peter C.B.Phillips & Donggyu Sul**1361 Valid Edgeworth Expansions for the Whittle Maximum Likelihood Estimator for Stationary Long-memory Gaussian Time Series***by*Donald W.K. Andrews & Offer Lieberman**1360 From Nash to Walras via Shapley-Shubik***by*Pradeep Dubey & John Geanakoplos**1359 Partially Linear Models with Unit Roots***by*Ted Juhl & Zhijie Xiao**1358 Competition In or For the Field: Which Is Better?***by*Eduardo Engel & Ronald Fischer & Alexander Galetovic**1357 Macroeconomic Strategy in Wartime***by*James Tobin**1356 Consistent Testing for Stochastic Dominance: A Subsampling Approach***by*Oliver Linton & Esfandiar Maasoumi & Whang, Yoon-Jae**1355 The Health of Nations: The Contribution of Improved Health to Living Standards***by*William D. Nordhaus**1354 Highway Franchising and Real Estate Values***by*Eduardo Engel & Ronald Fischer & Alexander Galetovic**1353 How to Auction an Essential Facility When Underhand Integration Is Possible***by*Eduardo Engel & Ronald Fischer & Alexander Galetovic**1352 I'll See It When I Believe It - A Simple Model of Cognitive Consistency***by*Leeat Yariv**1351 Valid Asymptotic Expansions for the Maximum Likelihood Estimator of the Parameter of a Stationary, Gaussian, Strongly Dependent Process***by*Offer Lieberman & Judith Rousseau & David M. Zucker**1350 An Optimal Fair Job Assignment Problem***by*Zaifu Yang**1031R Is Gold an Efficient Store of Value?***by*Pradeep Dubey & John Geanakoplos & Martin Shubik

### 2001

**1346R2 Competitive Pooling: Rothschild-Stiglitz Reconsidered***by*Pradeep Dubey & John Geanakoplos**1316R2 Liquidity, Default and Crashes: Endogenous Contracts in General Equilibrium***by*John Geanakoplos**1304R5 Default and Punishment in General Equilibrium***by*Pradeep Dubey & John Geanakoplos & Martin Shubik**1349 Asymptotic Theory for Multivariate GARCH Processes***by*F. Comte & Offer Lieberman**1348 Penalised Maximum Likelihood Estimation for Fractional Guassian Processes***by*Offer Lieberman**1347 On Fair Allocations and Indivisibilities***by*Ning Sun & Zaifu Yang**1346 Competitive Pooling: Rothschild-Stiglitz Reconsidered***by*Pradeep Dubey & John Geanakoplos**1345 Bootstrapping Macroeconometric Models***by*Ray C. Fair**1344 Believe and Let Believe: Axiomatic Foundations for Belief Dependent Utility Functionals***by*Leeat Yariv**1343 Money and the Monetization of Credit***by*Martin Shubik**1342 A Derivation of Expected Utility Maximization in the Context of a Game***by*Itzhak Gilboa & David Schmeidler**1341 Subjective Distributions***by*Itzhak Gilboa & David Schmeidler**1340 Cognitive Foundations of Probability***by*Itzhak Gilboa & David Schmeidler**1339 Inductive Inference: An Axiomatic Approach***by*Itzhak Gilboa & David Schmeidler**1338 The Optimal Concentration of Creditors***by*Ivo Welch & Bris, Arturo**1337 Differentiated Products Demand Systems from a Combination of Micro and Macro Data: The New Car Market***by*Steven Berry & James Levinsohn & Ariel Pakes**1336 Equilibrium Selection in Global Games with Strategic Complementarities***by*David M. Frankel & Stephen Morris & Ady Pauzner**1335 Comparing Wealth Effects: The Stock Market versus the Housing Market***by*Karl E. Case & John M. Quigley & Robert J. Shiller**1334 Higher-order Improvements of the Parametric Bootstrap for Markov Processes***by*Donald W.K. Andrews**1333 Inflationary Bias in a Simple Stochastic Economy***by*Ioannis Karatzas & Martin Shubik & William D. Sudderth & Geanakoplos, John**1332 Fully Nonparametric Estimation of Scalar Diffusion Models***by*Federico M. Bandi & Peter C.B. Phillips**1331 Nonlinear Instrumental Variable Estimation of an Autoregression***by*Peter C.B. Phillips & Joon Y. Park & Yoosoon Chang**1330 Bootstrapping Spurious Regression***by*Peter C.B. Phillips**1329 A CUSUM Test for Cointegration Using Regression Residuals***by*Zhijie Xiao & Peter C.B. Phillips**1328 Egalitarianism against the Veil of Ignorance***by*John E. Roemer**1327 Value and Politics***by*John E. Roemer**1326 What We Owe Our Children, They Their Children,..***by*John E. Roemer & Roberto Veneziani**1325 The Equity Premium Consensus Forecast Revisited***by*Ivo Welch**1324 The Progress of Computing***by*William D. Nordhaus**1323 Information Structures in Optimal Auctions***by*Dirk Bergemann & Martin Pesendorfer**1322 Compromises Between Cardinality and Ordinality in Preference Theory and Social Choice***by*Michael Mandler**1321 Exchange Rates and Casualties During the First World War***by*George J. Hall**1320 Accessible Pareto-Improvements: Using Market Information to Reform Inefficiencies***by*Michael Mandler**1319 If You're So Smart, Why Aren't You Rich? Belief Selection in Complete and Incomplete Markets***by*Larry Blume & David Easley**1318 Perfectly Fair Allocations with Indivisibilities***by*Ning Sun & Zaifu Yang**1317 A Practical Competitive Market Model for Indivisible Commo***by*Zaifu Yang**1316 Liquidity, Default and Crashes: Endogenous Contracts in General Equilibrium***by*John Geanakoplos**1315 Insurance Contracts Designed by Competitive Pooling***by*Pradeep Dubey & John Geanakoplos**1314R Social Security Investment in Equities***by*Peter Diamond & John Geanakoplos**1313 International Finance in General Equilibrium***by*John Geanakoplos & Dimitri P. Tsomocos**1312 The CNBC Effect: Welfare Effects of Public Information***by*Stephen Morris & Hyun Song Shin**1311 Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach***by*Andrew Jeffrey & Linton, Oliver Linton & Thong Nguyen & Peter C.B. Phillips**1310 Regression with Slowly Varying Regressors***by*Peter C.B. Phillips**1309 Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate***by*Jun Yu & Peter C.B. Phillips**1308 Second Order Expansions for the Distribution of the Maximum Likelihood Estimator of the Fractional Difference Parameter***by*Offer Lieberman & Peter C.B. Phillips**1307 On the Evolution of Overconfidence and Entrepreneurs***by*Antonio E. Bernardo & Ivo Welch**1306 An Economic Approach to the Psychology of Change: Amnesia, Inertia, and Impulsiveness***by*David Hirshleifer & Ivo Welch**1305 Signalling and Default: Rothschild-Stiglitz Reconsidered***by*Pradeep Dubey & John Geanakoplos**1304 Default and Punishment in General Equilibrium***by*Pradeep Dubey & John Geanakoplos & Martin Shubik**1303 Bubbles, Human Judgment, and Expert Opinion***by*Robert J. Shiller**1302 Entry and Vertical Differentiation***by*Dirk Bergemann & Valimaki Juuso**1301 Fiscal Policy: Its Macroeconomics in Perspective***by*James Tobin**1300 On Modeling the Effects of Inflation Shocks***by*Ray C. Fair**1299 Middle Men Versus Market Makers: A Theory of Competitive Exchange***by*John Rust & George Hall**1298 Estimates of the Effectiveness of Monetary Policy***by*Ray C. Fair**1297 Monotone Preferences over Information***by*Juan Dubra & Echenique, Federico**1296 Measurability Is Not about Information***by*Juan Dubra & Federico Echenique**1295 Valuation Ratios and the Long-run Stock Market Outlook: An Update***by*John Y. Campbell & Robert J. Shiller**1294 Expected Utility Theory without the Completeness Axiom***by*Juan Dubra & Fabio Maacheroni & Efe A. Ok**1293 Local Polynomial Whittle Estimation of Long-range Dependence***by*Donald W.K. Andrews & Yixiao Sun**1292R The Financing of Innovation: Learning and Stopping***by*Dirk Bergemann & Ulrich Hege**1292 The Financing of Innovation: Learning and Stopping***by*Dirk Bergemann & Ulrich Hege**1291 Electoral Rules and the Emergence of New Issue Dimensions***by*Estelle Cantillon**1290 A Computational Analysis of the Core of a Trading Economy with Three Competitive Equilibria and a Finite Number of Traders***by*Martin Shubik & Alok Kumar**1289 The Uses of Teaching Games in Game Theory Classes and Some Experimental Games***by*Martin Shubik**1288 Weighted Minimum Mean-Square Distance from Independence Estimation***by*Donald J. Brown & Marten H. Wegkamp**1287 Multifractal Products of Cylindrical Rules***by*Julien Barral & Benoit B. Mandelbrot**1281R Does Democracy Engender Justice?***by*John E. Roemer

### 2000

**1286 New Data and Output Concepts for Understanding Productivity Trends***by*William D. Nordhaus**1285 A Graphical Analysis of Some Basic Results in Social Choice***by*Estelle Cantillon & Antonio Rangel**1284 Productivity Growth and the New Economy***by*William D. Nordhaus**1283 Structural Change in Tail Behavior and the Asian Financial Crisis***by*Carmela E. Quintos & Zhenhong Fan & Peter C.B. Phillips**1282 Alternative Methods for Measuring Productivity Growth***by*William D. Nordhaus**1280 Unilateral Deviation with Perfect Information***by*Pradeep Dubey & Ori Haimanko**1279 The Effect of Bidders' Asymmetries on Expected Revenue in Auctions***by*Estelle Cantillon**1278 Forecasting New Zealand's Real GDP***by*Aaron F. Schiff & Peter C.B. Phillips**1277 Entry and Vertical Differentiation***by*Dirk Bergemann & Juuso Valimaki**1276 Investment Incentives in Procurement Auctions***by*Leandro Arozamena & Estelle Cantillon