# 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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### 1998

**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**1105 Adaptive Testing in ARCH Models***by*Oliver Linton & Douglas G. Steigerwald**1104 Unit Root Tests***by*Peter C.B. Phillips**1103 Automated Forecasts of Asia-Pacific Economic Activity***by*Peter C.B. Phillips**1102 Impulse Response and Forecast Error Variance Asymptotics in Nonstationary VAR's***by*Peter C.B. Phillips**1101 How Should We Measure Sustainable Income?***by*William D. Nordhaus**1100 Banks versus Bonds: A Simple Theory of Comparative Financial Institutions***by*Sandeep Baliga & Ben Polak**1099 A Strategic Market Game with Secured Lending***by*Ioannis Karatzas & Martin Shubik & William D. Sudderth**1098 Mortgage Default Risk and Real Estate Prices: The Use of Index-Based Futures and Options in Real Estate***by*Robert J. Shiller & Karl E. Case & Allan N. Weiss**1096 Quantile Regression Model with Unknown Censoring Point***by*Moshe Buchinsky & Jinyong Hahn**1095 A Bound on the Number of Nash Equilibria in a Coordination Game***by*Thomas Quint & Martin Shubik**1094 Dumb Bugs and Bright Noncooperative Players: Games, Context and Behavior***by*Thomas Quint & Martin Shubik & Dickey Yan**1093 An Overview of the General Theory***by*James Tobin**1092 Conversation, Information, and Herd Behavior***by*Robert J. Shiller**1091 Evaluating Alternative Monetary Policy Rules***by*Ray C. Fair & E. Philip Howrey**1090 Unemployment and Liquidity Constraints***by*Vassilis A. Hajivassiliou & Yannis M. Ioannides

### 1994

**1089 On the Number of Nash Equilibria in a Bimatrix Game***by*Thomas Quint & Martin Shubik**1088 A Model of Migration***by*Thomas Quint & Martin Shubik**1087 The Topological Structure of Maximal Lattice Free Convex Bodies: The General Case***by*Imre Barany & Herbert E. Scarf & David F. Shallcross**1086 Edgeworth Approximation for MINPIN Estimators in Semiparametric Regression Models***by*Oliver Linton**1085 Error Bands for Impulse Responses***by*Christopher A. Sims & Tao Zha**1084 The Effect of Economic Events on Votes for President: 1992 Update***by*Ray C. Fair**1083 Model Determination and Macroeconomic Activity***by*Peter C.B. Phillips**1082 Fully Modified IV, GIVE and GMM Estimation with Possibly Non-Stationary Regressions and Instruments***by*Yuichi Kitamura & Peter C.B. Phillips**1081 Nonstationary Time Series and Cointegration: Recent Books and Themes for the Future***by*Peter C.B. Phillips**1080 Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920's***by*Peter C.B. Phillips & James W. McFarland & Patrick C. McMahon**1079 Locational Competition and the Environment: Should Countries Harmonize Their Environmental Policies?***by*William D. Nordhaus**1078 Do Real Output and Real Wage Measures Capture Reality? The History of Lighting Suggests Not***by*William D. Nordhaus**1077 Testing for Serial Correlation Against an ARMA(1,1) Process***by*Donald W.K. Andrews & Werner Ploberger**1076 Insurance Market Games: Scale Effects and Public Policy***by*Michael R. Powers & Martin Shubik & Shuntian Yao**1075 Local Nonlinear Least Squares Estimation: Using Parametric Information Nonparametrically***by*Pedro Gozalo & Oliver Linton**1074 Home Equity Insurance***by*Robert J. Shiller & Allan N. Weiss**1073 Health Care Reform as Seen by a General Economist***by*James Tobin**1072 Financing Trade and the Price Level: Problems with the Description of Markets, Expectations, Money and Credit***by*Martin Shubik**1071 Is Monetary Policy Becoming Less Effective?***by*Ray C. Fair**1070 Ponzi Finance, Government Solvency and the Redundancy or Usefulness of Public Debt***by*Willem H. Buiter & K.M. Kletzer**1069 Applied Nonparametric Methods***by*Wolfgang Hardle & Oliver Linton**1068 The Allocation of Resources in the Presence of Indivisibilities***by*Herbert E. Scarf**1067 Marching to Different Drummers: Coordination and Independence in Monetary and Fiscal Policies***by*William D. Nordhaus**1066 A Limit Theorem for a Smooth Class of Semiparametric Estimators***by*Ariel Pakes & Steven Olley**1060R Hypothesis Testing with a Restricted Parameter Space***by*Donald W.K. Andrews**1021R Simulation of Multivariate Normal Rectangle Probabilities: Theoretical and Computational Results***by*Vassilis A. Hajivassiliou & Daniel McFadden & Paul A. Ruud

### 1993

**1065 Second Order Approximation in the Partially Linear Regression Model***by*Oliver Linton**1064 Robust Nonstationary Regression***by*Peter C.B. Phillips**1063 Macroeconomic Shocks in an Aggregative Disequilibrium Model***by*Hajivassiliou**1062 Common Knowledge***by*John Geanakoplos**1061 The Natural Rate as New Classical Macroeconomics -- For Rod Cross, The Natural Rate Hypothesis 25 Years On***by*James Tobin**1059 Empirical Process Methods in Econometrics***by*Donald W.K. Andrews**1058 Admissibility of the Likelihood Ratio Test When a Nuisance Parameter Is Present OnlyUnder the Alternative***by*Donald W.K. Andrews & Werner Ploberger**1057 A Simulation Estimation Analysis of the External Debt Crises of Developing Countries***by*Hajivassiliou**1056 The Theory of Money and Financial Institutions***by*Martin Shubik**1055 Forward Exchange Market Unbiasedness: The Case of the Australian Dollar Since 1984***by*Peter C.B. Phillips & James W. McFarland**1054 Adaptive Estimation in ARCH Models***by*Oliver Linton**1053 Nonlinear Econometric Models with Deterministically Trending Variables***by*Donald W.K. Andrews & C. John McDermott**1052 On the Sources and Significance of Interindustry Differences in Technological Opportunities***by*Alvin K. Klevorick & Richard C. Levin & Richard R. Nelson & Sidney G. Winter**1051 Classical Estimation Methods for LDV Models Using Simulation***by*Vassilis A. Hajivassiliou & Paul A. Ruud**1050 The Money Rate of Interest and the Influence of Assets in a Multistage Economy with Gold or Paper Money: Part II***by*Martin Shubik & Shuntian Yao**1049 Simulating Normal Rectangle Probabilities and Their Derivatives: The Effects of Vectorization***by*Vassilis A. Hajivassiliou**1048 Aggregate Income Risks and Hedging Mechanisms***by*Robert J. Shiller**1047 Fully Modified Least Squares and Vector Autoregression***by*Peter C.B. Phillips**1046 The Money Rate of Interest and the Influence of Assets in a Multistage Economy with Gold or Paper Money: Part I***by*Martin Shubik & Shuntian Yao**1045 Measuring the Impact of Global Warming in Agriculture***by*Robert Mendelsohn & William D. Nordhaus & Daigee Shaw**1044 Behavioral Heterogeneity and Cournot Oligopoly Equilibrium***by*Jean-Michel Grandmont**1043 A Strategic Market Game with Seigniorage Costs of Fiat Money***by*Martin Shubik & D.P. Tsomocos**1042 An Old Keynesian Counterattacks***by*James Tobin**1030R Poverty in Relation to Macroeconomic Trends, Cycles, and Policies***by*James Tobin

### 1992

**1041 An Alternative Theory of Firm and Industry Dynamics***by*Richard Ericson & Ariel Pakes**1040 Hyper-Consistent Estimation of a Unit Root in Time Series Regression***by*Peter C.B. Phillips**1039 Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models***by*Peter C.B. Phillips**1038 Time Series Modeling with a Bayesian Frame of Reference: Concepts, Illustrations and Asymptotics***by*Peter C.B. Phillips & Werner Ploberger**1037 Some Dynamics of a Strategic Market Game with a Large Number of Agents***by*John H. Miller & Martin Shubik**1036 Measuring Asset Values for Cash Settlement in Derivative Markets: Hedonic Repeated Measures Indices and Perpetual Futures***by*Robert J. Shiller**1035 The Large Sample Correspondence Between Classical Hypothesis Tests and Bayesian Posterior Odds Tests***by*Donald W.K. Andrews**1034 A Nine Variable Probabilistic Macroeconomic Forecasting Model***by*Christopher A. Sims**1033 Construction of Stationary Markov Equilibria in a Strategic Market Game***by*Ioannis Karatzas & Martin Shubik & William D. Sudderth**1032 The Complex of Maximal Lattice Free Simplices***by*Imre Barany & Roger Howe & Herbert E. Scarf**1029 Tjalling Charles Koopmans (August 28, 1910-February 26, 1985)***by*Herbert E. Scarf**1028 On the Periodic Structure of the Business Cycle***by*Eric Ghysels**1027 Christmas, Spring and the Dawning of Economic Recovery***by*Eric Ghysels**1026 Approximately Median-Unbiased Estimation of Autoregressive Models with Applications to U.S. Macroeconomic and Financial Time Series***by*Donald W.K. Andrews & Hong-Yuan Chen**1025 Bayes Methods for Trending Multiple Time Series with an Empirical Application to the US Economy***by*Peter C.B. Phillips**1024 Bayes Models and Forecasts of Australian Macroeconomic Time Series***by*Peter C.B. Phillips**1023 Bayesian Model Selection and Prediction with Empirical Applications***by*Peter C.B. Phillips**1022 Expectations Driven Nonlinear Business Cycles***by*Jean-Michel Grandmont**1020 An Introduction to Econometric Applications of Functional Limit Theory for Dependent Random Variables***by*Donald W.K. Andrews**1019 Rolling the 'Dice': An Optimal Transition Path for Controlling Greenhouse Gases***by*William D. Nordhaus**1018 A Note on the Dual Approach to the Existence and Characterization of Optimal Consumption Decisions Under Uncertainty and Liquidity Constraints***by*Vassilis A. Hajivassiliou & Yannis M. Ioannides**1017 Posterior Odds Testing for a Unit Root with Data-Based Model Selection***by*Peter C.B. Phillips & Werner Ploberger**1016 Optimal Changepoint Tests for Normal Linear Regression***by*Donald W.K. Andrews & Inpyo Lee & Werner Ploberger**1015 Optimal Tests When a Nuisance Parameter Is Present Only Under the Alternative***by*Donald W.K. Andrews & Werner Ploberger**1014 Transactions Loans, Intertemporal Loans, Variable Velocity, the Rates of Interest and Commodity Money: Part 1. Transactions Loans***by*Martin Shubik & Shuntian Yao**1013 Money (for New Palgrave Money and Finance)***by*James Tobin**1012 Expanding the Scope of Expectations Data Collection: The U.S. and Japanese Stock Markets***by*Robert J. Shiller & Fumiko Kon-Ya & Yoshiro Tsutsui**1011 Interpreting the Macroeconomic Time Series Facts: The Effects of Monetary Policy***by*Christopher A. Sims**1010 The Impact of Climate on Agriculture: A Ricardian Approach***by*Robert Mendelsohn & William D. Nordhaus & Shaw, Daigee**1009 The 'DICE' Model: Background and Structure of a Dynamic Integrated Climate-Economy Model of the Economics of Global Warming***by*William D. Nordhaus**1008 Empirical Implications of Arbitrage-Free Asset Markets***by*S. Maheswaran & Christopher A. Sims**1005 Estimates of the Bias of Lagged Dependent Variable Coefficient Estimates in Macroeconomic Equations***by*Ray C. Fair**1004 The Cowles Commission Approach, Real Business Cycle Theories, and New Keynesian Economics***by*Ray C. Fair

### 1991

**999 The Tail Behavior of Maximum Likelihood Estimates of Cointegrating Coefficients in Error Correction Models***by*Peter C.B. Phillips**998 Unit Roots***by*Peter C.B. Phillips**997 A Reexamination of the Consumption Function Using Frequency Domain Regressors***by*Dean Corbea & Sam Ouliaris & Peter C.B. Phillips**996 Classification of Two-Person Ordinal Bimatrix Games***by*Imre Barany & J. Lee & Martin Shubik**995 Preface to Eduard Marz, Schumpeter, English Translation, Yale University Press***by*James Tobin**994R Price Flexibility and Output Stability: An Old Keynesian View***by*James Tobin**993 International Currency Regimes, Capital Mobility, and Macroeconomic Policy***by*James Tobin**992 Commentary on Irving Fisher, The Nature of Capital and Income (1906)***by*James Tobin**991 On the Internationalization of Portfolios***by*William C. Brainard & James Tobin