# 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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### 2003

**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

**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**1346R2 Competitive Pooling: Rothschild-Stiglitz Reconsidered***by*Pradeep Dubey & John Geanakoplos**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**1316R2 Liquidity, Default and Crashes: Endogenous Contracts in General Equilibrium***by*John Geanakoplos**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**1304R5 Default and Punishment in General Equilibrium***by*Pradeep Dubey & John Geanakoplos & Martin Shubik**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**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