# 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/

More information through EDIRC

Phone: (203) 432-3702

Fax: (203) 432-6167

Web page: http://cowles.econ.yale.edu/

More information through EDIRC

**Order information:**

Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA

**Pricing information:**There is no charge for up to three items from the lists. Additional items and subsequent requests bringing the total to over three items will be charged at the following rate which must be prepaid: $3.00 each sent to US address, $4.00 each sent to International address

**For corrections or technical questions regarding this series, please contact (Glena Ames)**

**Series handle:**repec:cwl:cwldpp

**Citations RSS feed:**at CitEc

### Impact factors

- Simple (last 10 years)
- Recursive (10)
- Discounted (10)
- Recursive discounted (10)
- H-Index (10)
- Aggregate (10)

**Access and download statistics**

**Top item:**

- By citations
- By downloads (last 12 months)

### 1996

**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**990 An Implementation of the Generalized Basis Reduction Algorithm for Integer Programming***by*William Cook & Thomas Rutherford & Herbert E. Scarf & David F. Shallcross**989 How Fast Do Old Men Slow Down?***by*Ray C. Fair**988 The Ecology of Markets***by*William D. Nordhaus**987 Transformations of the Commodity Space, Behavioral Heterogeneity and the Aggregation Problem***by*Jean-Michel Grandmont**986 Bayesian Routes and Unit Roots: de rebus prioribus semper est disputandum***by*Peter C.B. Phillips**985 Comment on 'To Criticize the Critics,' by Peter C. B. Phillips***by*Christopher A. Sims**984 Dynamic Structural Models: Problems and Prospects. Mixed Continuous Discrete Controls and Market Interactions***by*Ariel Pakes**983 Repeated Games: Cooperation and Rationality***by*David G. Pearce**982 Stabilizing the Soviet Economy***by*William D. Nordhaus**981 A Bound of the Proportion of Pure Strategy Equilibria in Generic Games***by*Faruk Gul & David G. Pearce & Ennio Stacchetti**980 Time Series Modelling with a Bayesian Frame of Reference: 1. Concepts and Illustrations***by*Peter C.B. Phillips & Werner Ploberger**979 Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?***by*Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt**978 The Spurious Effect of Unit Roots on Exogeneity Tests in Vector Autoregressions: An Analytical Study***by*Hiro Y. Toda & Peter C.B. Phillips**977 Vector Autoregression and Causality***by*Hiro Y. Toda & Peter C.B. Phillips**976 An 'Average' Lyapunov Convexity Theorem and Some Core Equivalence Results***by*Lin Zhou**975 Exactly Unbiased Estimation of First Order Autoregressive-Unit Root Models***by*Donald W.K. Andrews**974 A Refined Bargaining Set of an n-Person Game and Endogenous Coalition Formation***by*Lin Zhou**973 Dual Distribution in Franchising***by*Nancy T. Gallini & Nancy A. Lutz**972 Strictly Fair Allocations in Large Exchange Economies***by*Lin Zhou**971 Arithmetic Repeat Sales Price Estimators***by*Robert J. Shiller**970 Actual and Warranted Relations Between Asset Prices***by*Andrea E. Beltratti & Robert J. Shiller**969 Economic Equilibrium and Soviet Economic Reform***by*Herbert E. Scarf**968 Tests of Specification for Parametric and Semiparametric Models***by*Yoon-Jae Whang & Donald W.K. Andrews**966 The Invisible Hand in Modern Macroeconomics***by*James Tobin**965 Shortest Integer Vectors***by*Herbert E. Scarf & Shallcross, David F.**1007 Simulation Estimation Methods for Limited Dependent Variable Models***by*Vassilis A. Hajivassiliou**1006 Index-Based Futures and Options Markets in Real Estate***by*Karl E. Case & Robert J. Shiller & Allan N. Weiss**1003 Unidentified Components in Reduced Rank Regression Estimation of ECM's***by*Peter C.B. Phillips**1002 A Bayesian Analysis of Trend Determination in Economic Time Series***by*Eric Zivot & Peter C.B. Phillips**1001 Vector Autoregression and Causality: A Theoretical Overview and Simulation Study***by*Hiro Y. Toda & Peter C.B. Phillips**1000 The Long-Run Australian Consumption Function Reexamined: An Empirical Exercise in Bayesian Influence***by*Peter C.B. Phillips

### 1990

**967 The Method of Simulated Scores for the Estimation of LDV Models with an Application to External Debt Crisis***by*Vassilis A. Hajivassiliou & Daniel McFadden**964 A Strategic Market Game with a Mutual Bank with Fractional Reserves and Redemption in Gold (A Continuum of Traders)***by*Martin Shubik & D.P. Tsomocos**963 Default and Bankruptcy in a Multistage Exchange Economy***by*Martin Shubik**962 On the Convex Hull of the Integer Points***by*Antal Balog & Imre Barany**961 A Strategic Market Game of a Finite Economy with a Mutual Bank***by*Martin Shubik & Jingang Zhao**960 Smooth Unbiased Multivariate Probability Simulators for Maximum Likelihood Estimation of Limited Dependent Variable Models***by*Vassilis A. Hajivassiliou & Axel Borsch-Supan**959 The Price for the Widow's Cruse: Or the Value of an Infinitely Productive Asset***by*Martin Shubik**958 Least Concavity and the Distribution-Free Estimation of Non-Parametric Concave Functions***by*Rosa L. Matzkin**957 Estimation of Multinomial Models Using Weak Monotonicity Assumptions***by*Rosa L. Matzkin**956 The Hybrid Solutions of an n-Person Game***by*Jingang Zhao**955 International Diversification of Social and Private Risk: The US and Japan***by*Stephen S. Golub**954 Inefficiency of Strategy-Proof Allocation Mechanisms in Pure Exchange Economies***by*Lin Zhou**953 Stock Prices and Bond Yields: Can Their Co-Movements Be Explained in Terms of Present Value Models?***by*Robert J. Shiller & Andrea E. Beltratti**952 Popular Attitudes Towards Free Markets: The Soviet Union and the United States Compared***by*Robert J. Shiller & Maxim Boycko & Vladimir Korobov**951 A Functional Central Limit Theorem for Strong Mixing Stochastic Processes***by*Donald W.K. Andrews & David Pollard**950 To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends***by*Peter C.B. Phillips**949 A Shortcut to LAD Estimator Asymptotics***by*Peter C.B. Phillips**948 Operational Algebra and Regression t-Tests***by*Peter C.B. Phillips**947 Testing Covariance Stationarity Under Moment Condition Failure with an Application to Common Stock Returns***by*Peter C.B. Phillips & Mico Loretan**946 The Generalized Basis Reduction Algorithm***by*Herbert E. Scarf & Laszlo Lovasz**945 The Frobenius Problem and Maximal Lattice Free Bodies***by*Herbert E. Scarf & Shallcross, David F.**944 Further Evidence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis***by*Eric Zivot & Donald W.K. Andrews**943 Tests for Parameter Instability and Structural Change with Unknown Change Point***by*Donald W.K. Andrews**942 An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator***by*Donald W.K. Andrews & Christopher J. Monahan**941 Voting by Committees***by*Salvador Barbera & Hugo Sonnenschein & Lin Zhou**940 Generic Uniform Convergence***by*Donald W.K. Andrews**939 Financial Integration, Liquidity and Exchange Rates***by*Vittorio Grilli & Nouriel Roubini**938 Aggregation and Social Choice: A Mean Voter Theorem***by*Andrew Caplin & Barry Nalebuff**937 Aggregation and Imperfect Competition: On the Existence of Equilibrium***by*Andrew Caplin & Barry Nalebuff**936 A Colored Version of Tverberg's Theorem***by*Imre Barany & D.G. Larman**935 Testing Game Theoretic Models of Price-Fixing Behaviour***by*Vassilis A. Hajivassiliou**934 Growth and Distribution: A Neoclassical Kaldor-Robinson Exercise***by*James Tobin

### 1989

**CFP 899 Testing for a Unit Root by Generalized Least Squares Methods in the Time and Frequency Domains***by*Peter C.B. Phillips & In Choi**933 Testing for a Unit Root in the Presence of Deterministic Trends***by*Peter C.B. Phillips & Peter Schmidt**932 Asymptotics for Linear Processes***by*Peter C.B. Phillips & Victor Solo**931 On the Theory of Macroeconomic Policy***by*James Tobin**930 Mathematical Programming and Economic Theory***by*Herbert E. Scarf**929 Asymptotic and Finite Sample Distribution Theory for IV Estimators and Tests in Partially Identified Structural Equations***by*In Choi & Peter C.B. Phillips**928 Estimating Long Run Economic Equilibria***by*Peter C.B. Phillips & Mico Loretan**927 Alternative Approaches to the Political Business Cycle***by*William D. Nordhaus**925 Additive Interactive Regression Models: Circumvention of the Curse of Dimensionality***by*Donald W.K. Andrews & Yoon-Jae Whang**924 Risk Analysis in Economics: An Application to University Finances***by*William D. Nordhaus**923 Inflationary Expectations and Price Setting Behavior***by*Ray C. Fair**922 Warranties, Durability, and Maintenance: Two Sided Moral Hazard in a Continuous-Time Model***by*Nancy A. Lutz & Philip H. Dybvig**921 Full Information Estimation and Stochastic Simulation of Models with Rational Expectations***by*Ray C. Fair & John B. Taylor**920 Renegotiation and Symmetry in Repeated Games***by*David G. Pearce & Dilip Abreu & Ennio Stacchetti