# 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.econ.yale.edu/

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Phone: (203) 432-3702

Fax: (203) 432-6167

Web page: http://cowles.econ.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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### 2001

**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**1275R Global Games: Theory and Applications***by*Stephen Morris & Hyun Song Shin**1275 Global Games: Theory and Applications***by*Stephen Morris & Hyun Song Shin**1274 GMM Estimation of Autoregressive Roots Near Unity with Panel Data***by*Hyungsik Roger Moon & Peter C.B. Phillips**1273 Does One Soros Make a Difference? A Theory of Currency Crises with Large and Small Traders***by*Giancarlo Corsetti & Amil Dasgupta & Stephen Morris & Shin, Hyun**1272 How to Compute Equilibrium Prices in 1891***by*William C. Brainard & Herbert E. Scarf**1271R Faulty Communication***by*Stephen Morris**1271 Faulty Communication***by*Morris, Stephen**1270 Optimal Inventory Policies When Sales Are Discretionary***by*Herbert E. Scarf**1269 Equivalence of the Higher-order Asymptotic Efficiency of k-step and Extremum Statistics***by*Donald W.K. Andrews**1267 Pooled Log Periodogram Regression***by*Katsumi Shimotsu & Peter C.B. Phillips**1266 Local Whittle Estimation in Nonstationary and Unit Root Cases***by*Katsumi Shimotsu & Peter C.B. Phillips**1265 Modified Local Whittle Estimation of the Memory Parameter in the Nonstationary Case***by*Katsumi Shimotsu & Peter C.B. Phillips**1264 Trending Time Series and Macroeconomic Activity: Some Present and Future Challenges***by*Peter C.B. Phillips**1263 A Bias-Reduced Log-Periodogram Regression Estimator for the Long-Memory Parameter***by*Donald W.K. Andrews & Patrik Guggenberger**1262 A Stochastic Overlapping Generations Economy with Inheritance***by*Ioannis Karatzas & Martin Shubik & William D. Sudderth**1261 Information and the Existence of Stationary Markovian Equilibrium***by*Ioannis Karatzas & Martin Shubik & William D. Sudderth**1260 Rethinking Multiple Equilibria in Macroeconomic Modelling***by*Stephen Morris & Hyun Song Shin**1259 Social Security Investment in Equities in an Economy with Short-Term Production and Land***by*Peter Diamond & John Geanakoplos**1258 Estimated, Calibrated, and Optimal Interest Rate Rules***by*Ray C. Fair**1257R Inside and Outside Money, Gains to Trade, and IS-LM***by*Pradeep Dubey & John Geanakoplos**1257 Inside and Outside Money, Gains to Trade, and IS-LM***by*Pradeep Dubey & John Geanakoplos**1256 Cartoons of the Variation of Financial Prices and of Brownian Motions in Multifractal Time***by*Benoit B. Mandelbrot**1255 Competitive Prizes: When Less Scrutiny Induces More Effort***by*Pradeep Dubey & Chien-wei Wu**1254 Optimal Scrutiny in Multi-Period Promotion Tournaments***by*Pradeep Dubey & Ori Haimanko**1253 The Theory of Money***by*Martin Shubik**1252 Asymptotics in Minimum Distance from Independence Estimation***by*Donald J. Brown & Marten H. Wegkamp**1251 Bootstrap Unit Root Tests in Panels with Cross-Sectional Dependency***by*Yoosoon Chang**1250 On the Number of Bootstrap Repetitions for BC_a Confidence Intervals***by*Donald W.K. Andrews & Moshe Y. Buchinsky**1249 Bargaining and Markets: Complexity and the Walrasian Outcome***by*Hamid Sabourian**1248 Information Acquisition and Efficient Mechanism Design***by*Dirk Bergemann & Juuso Vaimaki**1247 Default in a General Equilibrium Model with Incomplete Markets***by*Pradeep Dubey & John Geanakoplos & Martin Shubik

### 1999

**1246 Maximum Likelihood Estimation in Panels with Incidental Trends***by*Hyungsik R. Moon & Peter C.B. Phillips**1245 Nonlinear Econometric Models with Cointegrated and Deterministically Trending Regressors***by*Yoosoon Chang & Joon Y. Park & Peter C.B. Phillips**1244 Unit Root Log Periodogram Regression***by*Peter C.B. Phillips**1243 Discrete Fourier Transforms of Fractional Processes***by*Peter C.B. Phillips**1242 Political Correctness***by*Stephen Morris**1241R Coordination Risk and the Price of Debt***by*Stephen Morris & Hyun Song Shin**1241 Coordination Risk and the Price of Debt***by*Stephen Morris & Hyun Song Shin**1240 Stationary Multi Choice Bandit Problems***by*Dirk Bergemann & Juuso Vaimaki**1239 World Income Components: Measuring and Exploiting Risk-Sharing Opportunities***by*Stefano G. Athanasoulis & Robert J. Shiller**1238 Survey of Multifractality in Finance***by*Benoit Mandelbrot**1237 Strategic Buyers and Privately Observed Prices***by*Dirk Bergemann & Juuso Valimaki**1236 Repeated Games with Almost-Public Monitoring***by*George J. Mailath & Stephen Morris**1235 Contractual Intermediaries***by*Garey Ramey & Joel Watson**1234 On Minsky's Agenda for Reform***by*James Tobin**1233 Consistent Model and Moment Selection Criteria for GMM Estimation with Applications to Dynamic Panel Data Models***by*Donald W.K. Andrews & Biao Lu**1232 Competition for Goods in Buyer-Seller Networks***by*Rachel E. Kranton & Deborah F. Minehart**1231 Vertical Integration: Networks, and Markets***by*Rachel E. Kranton & Deborah F. Minehart**1230R Higher-Order Improvements of a Computationally Attractive-Step Bootstrap for Extremum Estimators***by*Donald W.K. Andrews**1230 Higher-Order Improvements of a Computationally Attractive-Step Bootstrap for Extremum Estimators***by*Donald W.K. Andrews**1229 Testing When a Parameter Is on the Boundary of the Maintained Hypothesis***by*Donald W.K. Andrews**1228 An Empirical Model of Inventory Investment by Durable Commodity Intermediaries***by*George J. Hall & John Rust**1227 Toward a Theory of Reinsurance and Retrocession***by*Michael R. Powers & Martin Shubik**1226 Entry and Innovation in Vertically Differentiated Markets***by*Dirk Bergemann & Juuso Valimaki**1225 Conditioning Institutions and Renegotiation***by*Garey Ramey & Joel Watson**1224 Estimation of Autoregressive Roots Near Unity Using Panel Data***by*Hyungsik R. Moon & Peter C.B. Phillips**1223 Nonstationary Binary Choice***by*Peter C.B. Phillips & Joon Y. Park**1222 Linear Regression Limit Theory for Nonstationary Panel Data***by*Peter C.B. Phillips & Hyungsik R. Moon**1221 Nonstationary Panel Data Analysis: An Overview of Some Recent Developments***by*Peter C.B. Phillips & Hyungsik R. Moon**1220 Empirical Limits for Time Series Econometric Models***by*Peter C.B. Phillips & Werner Ploberger**1219 Descriptive Econometrics for Nonstationary Time Series with Empirical Illustrations***by*Peter C.B. Phillips**1218 Starting Small in an Unfamiliar Environment***by*James E. Rauch & Joel Watson**1217 Starting Small and Commitment***by*Joel Watson**1216 Contract-Theoretic Approaches to Wages and Displacement***by*Wouter J. den Haan & Garey Ramey & Joel Watson**1215 Liquidity Flows and Fragility of Business Enterprises***by*Wouter J. den Haan & Garey Ramey & Joel Watson**1214 Experimentation in Markets***by*Dirk Bergemann & Juuso Valimaki**1213 The Hierarchical Approach to Modeling Knowledge and Common Knowledge***by*Ronald Fagin & John Geanakoplos & Joseph Y. Halpern & Moshe Y. Vardi**1212 Measuring Bubble Expectations and Investor Confidence***by*Robert J. Shiller**1211 Rationalizable Trade***by*Stephen Morris & Skiadas Costis**1210 Pareto Improving Price Regulation When the Asset Market Is Incomplete***by*P. Jean-Jacques Herings & Heracles M. Polemarchakis**1209 Work Motivation***by*Truman F. Bewley**1208 Preference for Information and Dynamic Consistency***by*Simon Grant & Atsushi Kajii & Ben Polak**1207 Decomposable Choice Under Uncertainty***by*Simon Grant & Atsushi Kajii & Ben Polak

### 1998

**1206 Dynamic Common Agency***by*Dirk & Juuso Valimaki**1205 Estimating Yield Curves by Kernel Smoothing Methods***by*Oliver Linton & E. Mammen & J. Nielsen & C. Tanggaard**1204 A Theory of the Onset of Currency Attacks***by*Stephen Morris & Hyun Song Shin**1203 Cheap Talk and Co-ordination with Payoff Uncertainty***by*Sandeep Baliga & Stephen Morris**1202 Fiat Money and the Efficient Financing of the Float, Production and Consumption. Part I: The Float***by*Martin Shubik**1201 Requiem for Kyoto: An Economic Analysis of the Kyoto Protocol***by*William D. Nordhaus & Joseph G. Boyer**1200 The Health of Nations: Irving Fisher and the Contribution of Improved Longevity to Living Standards***by*William D. Nordhaus**1199 Price Competition for an Informed Buyer***by*Giuseppe Moscarini & Marco Ottaviani**1198 Jeffreys Prior Analysis of the Simultaneous Equations Model in the Case with n+1 Endogenous Variables***by*John C. Chao & Peter C.B. Phillips**1197 Rissanen's Theorem and Econometric Time Series***by*Werner Ploberger & Peter C.B. Phillips**1196 New Unit Root Asymptotics in the Presence of Deterministic Trends***by*Peter C.B. Phillips**1195 Finance Applications of Game Theory***by*Franklin Allen & Stephen Morris**1194 Would a Privatized Social Security System Really Pay a Higher Rate of Return?***by*John Geanakoplos & Olivia S. Mitchell & Stephen P. Zeldes**1193 Social Security Money's Worth***by*John Geanakoplos & Olivia S. Mitchell & Stephen P. Zeldes**1192 Higher Order Approximations for Wald Statistics in Cointegrating Regressions***by*Zhijie Xiao & Peter C.B. Phillips**1191 How to Estimate Autoregressive Roots Near Unity***by*Peter C.B. Phillips & Hyungsik R. Moon & Zhijie Xiao**1190 Nonlinear Regressions with Integrated Time Series***by*Joon Y. Park & Peter C.B. Phillips**1189 A Primer on Unit Root Testing***by*Peter C.B. Phillips & Zhijie Xiao**1188 Financial Globalization: Can National Currencies Survive?***by*James Tobin**1187 Monetary Policy: Recent Theory and Practice***by*James Tobin**1186 Nonparametric Censored Regression***by*Arthur Lewbel & Linton, Oliver Linton**1185 Social Security and Institutions for Intergenerational, Intragenerational and International Risk Sharing***by*Robert J. Shiller**1184 Game Theory, Complexity and Simplicity. Part III: Critique and Prospective***by*Martin Shubik**1183 A Strategic Market Game with Active Bankruptcy***by*John Geanakoplos & Ioannis Karatzas & Martin Shubik & William D. Sudderth**1182 Asymptotics for Nonlinear Transformations of Integrated Time Series***by*Peter C.B. Phillips & Joon Y. Park**1181 Nonstationary Density Estimation and Kernel Autoregression***by*Peter C.B. Phillips & Joon Y. Park**1180 Econometric Analysis of Fisher's Equation***by*Peter C.B. Phillips**1179 Designing Indexed Units of Account***by*Robert J. Shiller**1178 On the Skiadas 'Conditional Preference Approach' to Choice Under Uncertainty***by*Simon Grant & Atsushi Kajii & Ben Polak**1177 Moral Hazard in Home Equity Conversion***by*Robert J. Shiller & Allan N. Weiss**1176 Wald Revisited: The Optimal Level of Experimentation***by*Giuseppe Moscarini & Lones Smith**1175 Estimation of Nonparametric Functions in Simultaneous Equations Models, with an Application to Consumer Demand***by*Donald J. Brown & Rosa L. Matzkin**1174 Some Simple Games for Teaching and Research. Part 1: Cooperative Games***by*Martin Shubik**1173 The Equivalence of the Dekel-Fudenberg Iterative Procedure and Weakly Perfect Rationalizability***by*P. Jean-Jacques Herings & Vincent J. Vannetelbosch**1172 Human Behavior and the Efficiency of the Financial System***by*Robert J. Shiller**1171 Indexed Units of Account: Theory and Assessment of Historical Experience***by*Robert J. Shiller**1170 Uniqueness, Stability, and Comparative Statics in Rationalizable Walrasian Markets***by*Donald J. Brown & Chris Shannon

### 1997

**1169 Non-Convex Costs and Capital Utilization: A Study of Production Scheduling at Automobile Assembly Plants***by*George J. Hall**1168 Evaluating the Information Content and Money Making Ability of Forecasts from Exchange Rate Equations***by*Ray C. Fair**1167 Why Not Cut Pay?***by*Truman F. Bewley**1166 Multifractality of Deutschemark/US Dollar Exchange Rates***by*Adlai Fisher & Laurent Calvet & Benoit Mandelbrot**1165 Large Deviations and the Distribution of Price Changes***by*Laurent Calvet & Adlai Fisher & Benoit Mandelbrot**1164 A Multifractal Model of Asset Returns***by*Benoit Mandelbrot & Adlai Fisher & Laurent Calvet**1163 Band Spectral Regression with Trending Data***by*Dean Corbae & Sam Ouliaris & Peter C.B. Phillips**1162 Regressions for Partially Identified, Cointegrated Simultaneous Equations***by*In Choi & Peter C.B. Phillips**1161 An ADF Coefficient Test for a Unit Root in ARMA Models of Unknown Order with Empirical Applications to the U.S. Economy***by*Zhijie Xiao & Peter C.B. Phillips**1160 The Existence and Asymptotic Properties of a Backfitting Projection Algorithm Under Weak Conditions***by*Oliver Linton & E. Mammen & J. Nielsen**1159 The Experiment in Applied Econometrics***by*James Tobin**1158 A Model of a Predatory State***by*Boaz Moselle & Ben Polak**1157 A Simple Counterexample to the Bootstrap***by*Donald W.K. Andrews**1156 A Stochastic Infinite-Horizon Economy with Secured Lending, or Unsecured Lending and Bankruptcy***by*Ioannis Karatzas & Martin Shubik & William D. Sudderth**1155 Model Selection in Partially Nonstationary Vector Autoregressive Processes with Reduced Rank Structure***by*John C. Chao & Peter C.B. Phillips**1154 The Significance of the Market Portfolio***by*Stefano G. Athanasoulis & Robert J. Shiller**1153 Estimation When a Parameter Is on a Boundary: Theory and Applications***by*Donald W.K. Andrews**1152 Beyond the CPI: An Augmented Cost of Living Index (ACOLI)***by*William D. Nordhaus**1151 Second Order Approximation in a Linear Regression with Heteroskedasticity for Unknown Form***by*Oliver Linton**1150 Supply Constraints on Employment and Output: NAIRU Versus Natural Rate***by*James Tobin**1149 Can We Grow Faster?***by*James Tobin**1148 Some Higher Order Theory for a Consistent Nonparametric Model Specification Test***by*Yanqin Fan & Oliver Linton**1147 Asset Markets and Investment Decisions***by*A. De Waegenaere & Heracles M. Polemarchakis & L. Ventura**1146R Consistent Moment Selection Procedures for Generalized Method of Moments Estimation***by*Donald W.K. Andrews**1145 Expanding the Scope of Individual Risk Management: Moral Hazard and Other Behavioral Considerations***by*Robert J. Shiller**1144 Stochastic Algorithms for Dynamic Models: Markov Perfect Equilibrium, and the 'Curse' of Dimensionality***by*Ariel Pakes & Paul McGuire**1141R On the Number of Bootstrap Repetitions for Bootstrap Standard Errors, Confidence Intervals, and Tests***by*Donald W.K. Andrews & Moshe Buchinsky**1130R The Asymptotic Distribution of Nonparametric Estimates of the Lyapunov Exponent for Stochastic Time Series***by*Yoon-Jae Whang & Oliver Linton**1126R Incomplete Derivative Markets and Portfolio Insurance***by*Charalambos Aliprantis & Donald J. Brown & Werner, J.**1097 World Income Components: Measuring and Exploiting International Risk Sharing Opportunities***by*Robert J. Shiller & Stefano G. Athanasoulis

### 1996

**1143 Promises Promises***by*John Geanakoplos**1142 The Generalized War of Attrition***by*Jeremy I. Bulow & Paul Klemperer**1140 Conditional Independence Restrictions: Testing and Estimation***by*Oliver Linton & Pedro Gozalo**1139 Hyperfinite Asset Pricing Theory***by*M. Ali Khan & Yeneng Sun**1138 Market Diffusion with Two-Sided Learning***by*Dirk Bergemann & Juuso Valimaki**1137 Bayesian Posterior Distributions in Limited Information Analysis of the Simultaneous Equations Model Using the Jeffreys Prior***by*John C. Chao & Peter C.B. Phillips**1136 Prices, Asset Markets and Indeterminacy***by*Heracles M. Polemarchakis & P. Siconolfi**1135 Spurious Regression Unmasked***by*Peter C.B. Phillips**1134 Efficiency Gains from Quasi-Differencing Under Nonstationarity***by*Peter C.B. Phillips & Chin Chin Lee**1133 Exchange and Optimality***by*S. Ghosal & Heracles M. Polemarchakis**1132 Price Variations in a Stock Market with Many Agents***by*P. Bak & M. Paczuski & Martin Shubik**1131R3 Nash and Walras Equilibrium***by*John Geanakoplos**1129 Estimated Inflation Costs Had European Unemployment Been Reduced in the 1980s by Macro Prices***by*Ray C. Fair**1128 The Hangman's Paradox and Newcomb's Paradox as Psychological Games***by*John Geanakoplos**1127 Matrices with Identical Sets of Neighbors***by*Imre Barany & Herbert E. Scarf**1125 A Scorecard for Indexed Government Debt***by*John Y. Campbell & Robert J. Shiller**1124 Tests of Seasonal and Non-Seasonal Serial Correlation***by*Donald W.K. Andrews & Liu, Xuemei Liu & Werner Ploberger**1123R3 Three Brief Proofs of Arrow's Impossibility Theorem***by*John Geanakoplos**1122 Market Experimentation and Pricing***by*Dirk Bergemann & Juuso Valimaki**1121 Testing the Standard View of the Long-Run Unemployment-Inflation Relationship***by*Ray C. Fair**1120 A Stopping Rule for the Computation of Generalized Method of Moments Estimators***by*Donald W.K. Andrews**1119 Semiparametric Estimation of a Sample Selection Model***by*Donald W.K. Andrews & Marcia A. Schafgans**1118 An Asymptotic Expansion in the Garch(1,1) Model***by*Oliver Linton**1117 What is the Value of Scientific Knowledge? An Application to Global Warming Using the PRICE Model***by*William D. Nordhaus & David Popp**1116 Explaining the Labor Force Participation of Women 20-24***by*Ray C. Fair & Diane J. Macunovich**1115 Why Do People Dislike Inflation?***by*Robert J. Shiller**1114 Preference for Information***by*Simon Grant & Atsushi Kajii & Ben Polak**1113 Learning and Strategic Pricing***by*Dirk Bergemann & Juuso Valimaki**1112 Time and Money***by*Martin Shubik**1111R A Conditional Kolmogorov Test***by*Donald W.K. Andrews

### 1995

**1110 Labor Income Indices Designed for Use in Contracts Promoting Income Risk Management***by*Robert J. Shiller & Ryan Schneider**1109 Testable Restrictions on the Equilibrium Manifold***by*Donald J. Brown & Rosa L. Matzkin**1108 Evaluating the Probability of Failure of a Banking Firm***by*Moshe Buchinsky & Oved Yosha**1107 Information Externalities, Share-Price Based Incentives and Managerial Behaviour***by*Simon Grant & Stephen King & Ben Polak**1106 Testing Additivity in Generalized Nonparametric Regression Models***by*Oliver Linton & Pedro Gozalo