Microeconomic Theory in Canada

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Recent Papers

• Supplement to "Quantile-Based Nonparametric Inference for First-Price Auctions"
  
  Marmer, Vadim, University of British Columbia - Economics, vmarmer@interchange.ubc.ca
  Shneyerov, Artyom, CIRANO, CIREQ, Concordia University, achneero@alcor.concordia.ca
  This paper contains supplemental materials for Marmer and Shneyerov (2009) "Quantile-Based Nonparametric Inference for First-Price Auctions."
  Creation Date: 2009-11-24   Revision Date: 2009-11-24
• Nonlinearity, Nonstationarity, and Spurious Forecasts
  
  Marmer, Vadim, University of British Columbia - Economics, vmarmer@interchange.ubc.ca
  Implications of nonlinearity, nonstationarity and misspecification are considered from a forecasting perspective. Our model allows for small departures from the martingale difference sequence hypothesis by including a nonlinear component, formulated as a general, integrable transformation of the I(1) predictor. We assume that the true generating mechanism is unknown to the econometrician and he is therefore forced to use some approximating functions. It is shown that in this framework the linear regression techniques lead to spurious forecasts. Improvements of the forecast accuracy are possible with properly chosen nonlinear transformations of the predictor. The paper derives the limiting distribution of the forecasts' MSE. In the case of square integrable approximants, it depends on the L₂-distance between the nonlinear component and approximating function. Optimal forecasts are available for a given class of approximants.
  Creation Date: 2009-11-03   Revision Date: 2009-11-03
  This paper has been published at Journal of Econometrics - Bibtex Entry
• Testing the null hypothesis of no regime switching with an application to GDP growth rates
  
  Marmer, Vadim, University of British Columbia - Economics, vmarmer@interchange.ubc.ca
  This paper presents tests for the null hypothesis of no regime switching in Hamilton's (1989) regime switching model. The test procedures exploit similarities between regime switching models, autoregressions with measurement errors, and finite mixture models. The proposed tests are computationally simple and, contrary to likelihood based tests, have a standard distribution under the null. When the methodology is applied to US GDP growth rates, no strong evidence of regime switching is found.
  Creation Date: 2009-11-02   Revision Date: 2009-11-03
  This paper has been published at Empirical Economics - Bibtex Entry
• Supplement to "Comparison of Misspecified Calibrated Models"
  
  Hnatkovska, Viktoria, UBC, hnatkovs@interchange.ubc.ca
  Marmer, Vadim, University of British Columbia - Economics, vmarmer@interchange.ubc.ca
  Tang, Yao, Bowdoin College, ytang@bowdoin.edu
  This paper contains supplemental material to Hnatkovska, Marmer, and Tang (2009) "Comparison of Misspecified Calibrated Models: The Minimum Distance Approach".
  Creation Date: 2009-10-31   Revision Date: 2009-11-02
• Definable and Contractible Contracts
  
  Peters, Michael, University of British Columbia - Economics, peters@econ.ubc.ca
  Szentes, Balazs, UCL, ba.szentes@googlemail.com
  This paper analyzes Bayesian normal form games in which players write contracts that condition their actions on the contracts of the other players. These contracts are required to be representable in a formal language. This is accomplished by constructing contracts which are definable functions of the Godel code of every other player's contract. We provide a complete characterization of the set of allocations supportable as pure strategy Bayesian equilibrium of this contracting game. When information is complete, this characterization provides a folk theorem. In general, the set of supportable allocations is smaller than the set supportable by a centralized mechanism designer.
  Creation Date: 2009-01-22   Revision Date: 2009-01-22