# Cowles Foundation for Research in Economics, Yale University

# Cowles Foundation Discussion Papers

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### 1995

**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

**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**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.

### 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

**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**919 An Introduction to General Equilibrium with Incomplete Asset Markets***by*John Geanakoplos**918 A Nonparametric Maximum Rank Correlation Estimator***by*Rosa L. Matzkin**917 On Integer Points in Polyhedra: A Lower Bound***by*Imre Barany & Roger Howe & Laszlo Lovasz**916 Neighbors of the Origin for Four by Three Matrices***by*David F. Shallcross**915 The Reconciliation of Micro and Macro Economics***by*Martin Shubik**914 Game Theory Without Partitions, and Applications to Speculation and Consensus***by*John Geanakoplos**913 The Capital Asset Pricing Model as a General Equilibrium with Incomplete Markets***by*John Geanakoplos & Martin Shubik**912 Existence of Walras Equilibrium Without a Price Player of Generalized Game***by*John Geanakoplos & Pradeep Dubey**911 Do the Secondary Markets Believe in Life After Debt?***by*Vassilis A. Hajivassiliou**910 Asymptotics for Semiparametric Econometric Models: III. Testing and Examples***by*Donald W.K. Andrews**909R Asymptotics for Semiparametric Econometric Models: II. Stochastic Equicontinuity and Nonparametric Kernel Estimation***by*Donald W.K. Andrews**908R Asymptotics for Semiparametric Econometric Models: I. Estimation***by*Donald W.K. Andrews**907 An Empirical Process Central Limit Theorem for Dependent Non-Identically Distributed Random Variables***by*Donald W.K. Andrews**906 Asymptotic Optimality of Generalized C_{L}, Cross-Validation, and Generalized Cross-Validation in Regression with Heteroskedastic Errors***by*Donald W.K. Andrews**905 Market Innovation and Entrepreneurship: A Knightian View***by*Truman F. Bewley**904 Gold, Liquidity and Secured Loans in a Multi-Stage Economy. Part II. Many Durables, Land and Gold***by*Martin Shubik & Shuntian Yao**903 The Transactions Cost of Money (A Strategic Game Analysis)***by*Martin Shubik & Shuntian Yao**902 Solving Systems of Simultaneous Equations in Economics***by*John Geanakoplos & Shafer, Wayne**901 Observability and Optimality***by*John Geanakoplos & Heracles M. Polemarchakis