Vadim Marmer

Professor | Graduate Program Director
phone 604 822 8217
location_on Iona Building 117
file_download Download CV

Research Area

About

I came to UBC in 2005 after completing my Ph.D. at Yale University. My main area of research is Econometrics, where I have been working on topics such as estimation and inference for auctions, weak identification, misspecification, non-stationary time series, and inference with network-dependent data.


Research

Please click on paper titles for abstracts and full text downloads.

PUBLISHED PAPERS

Monotonicity-Constrained Nonparametric Estimation and Inference for First-Price Auctions. (with J. Ma, A. Shneyerov, and P. Xu), Econometric Reviews, forthcoming.

Limit Theorems for Network Dependent Random Variables. (with D. Kojevnikov and K. Song), Journal of Econometrics, forthcoming.  [working paper]

Inference for first-price auctions with Guerre, Perrigne, and Vuong’s estimator. Journal of Econometrics, 211(2), 507-538, 2019.  [working paper]

On Optimal Inference in the Linear IV Model. (with D.W.K. Andrews and Z. Yu), Quantitative Economics, 10(2), 457-485, 2019.

Investment and Uncertainty With Time to Build: Evidence from U.S. Copper Mining. (with M. Slade), Journal of Economic Dynamics and Control, 95 (October), 233-254, 2018. [working paper]

Weak Identification in Fuzzy Regression Discontinuity Designs. (with D. Feir and T. Lemieux), Journal of Business & Economic Statistics, 34(2), 185–196, 2016. [working paper]

Limited Participation in International Business Cycle Models: A Formal Evaluation. (with X. Gao and V. Hnatkovska), Journal of Economic Dynamics and Control, 39 (February), 255–272, 2014. [working paper]

What Model for Entry in First-Price Auctions? A Nonparametric Approach. (with A. Shneyerov and P. Xu)
Journal of Econometrics, 176(1), 46–58, 2013. [working paper]

Optimal Comparison of Misspecified Moment Restriction Models under a Chosen Measure of Fit. (with T. Otsu), Journal of Econometrics, 170(2), 538-550, 2012. [working paper]

Comparison of Misspecified Calibrated Models: The Minimum Distance Approach. (with V. Hnatkovska and Y. Tang) Journal of Econometrics, 169(1), 131-138, 2012. [working paper] [supplement]

Quantile-Based Nonparametric Inference for First-Price Auctions. (with A. Shneyerov) Journal of Econometrics, 167(2), 345-357, 2012.  [go to MATLAB codes] [go to supplement] [Working paper version with corrected typos][/accordion]

Exactly Distribution-Free Inference in Instrumental Variables Regression with Possibly Weak Instruments. (with D.W.K. Andrews) Journal of Econometrics, 142(1), 183-200, 2008 [working paper]

Nonlinearity, Nonstationarity, and Spurious Forecasts. Journal of Econometrics, 142(1), 1-27, 2008.  [working paper]

Testing the Null of No Regime Switching with Application to GDP Growth Rates. Empirical Economics, 35(1), 101-122, 2008. [working paper]

Bottlenecks in Regional Markets for Natural Gas Transmission Services. (with D. Shapiro and P.W. MacAvoy), Energy Economics, 29(1), 37-45, 2007. [working paper]

Higher-order Improvements of the Parametric Bootstrap for Long-memory Gaussian Processes. (with D.W.K. Andrews and O. Lieberman), Journal of Econometrics, 133(2), 673-702, 2006.


WORKING PAPERS

Modeling Long Cycles. (with Natasha Kang)

Identifying Collusion in English Auctions .(with A. Shneyerov and U. Kaplan)

Instrumental Variables Estimation and Weak-Identification-Robust Inference Based on a Conditional Quantile Restriction(with S. Sakata)

 


Additional Description


Vadim Marmer

Professor | Graduate Program Director
phone 604 822 8217
location_on Iona Building 117
file_download Download CV

I came to UBC in 2005 after completing my Ph.D. at Yale University. My main area of research is Econometrics, where I have been working on topics such as estimation and inference for auctions, weak identification, misspecification, non-stationary time series, and inference with network-dependent data.

Please click on paper titles for abstracts and full text downloads.

PUBLISHED PAPERS

Monotonicity-Constrained Nonparametric Estimation and Inference for First-Price Auctions. (with J. Ma, A. Shneyerov, and P. Xu), Econometric Reviews, forthcoming.

Limit Theorems for Network Dependent Random Variables. (with D. Kojevnikov and K. Song), Journal of Econometrics, forthcoming.  [working paper]

Inference for first-price auctions with Guerre, Perrigne, and Vuong’s estimator. Journal of Econometrics, 211(2), 507-538, 2019.  [working paper]

On Optimal Inference in the Linear IV Model. (with D.W.K. Andrews and Z. Yu), Quantitative Economics, 10(2), 457-485, 2019.

Investment and Uncertainty With Time to Build: Evidence from U.S. Copper Mining. (with M. Slade), Journal of Economic Dynamics and Control, 95 (October), 233-254, 2018. [working paper]

Weak Identification in Fuzzy Regression Discontinuity Designs. (with D. Feir and T. Lemieux), Journal of Business & Economic Statistics, 34(2), 185–196, 2016. [working paper]

Limited Participation in International Business Cycle Models: A Formal Evaluation. (with X. Gao and V. Hnatkovska), Journal of Economic Dynamics and Control, 39 (February), 255–272, 2014. [working paper]

What Model for Entry in First-Price Auctions? A Nonparametric Approach. (with A. Shneyerov and P. Xu)
Journal of Econometrics, 176(1), 46–58, 2013. [working paper]

Optimal Comparison of Misspecified Moment Restriction Models under a Chosen Measure of Fit. (with T. Otsu), Journal of Econometrics, 170(2), 538-550, 2012. [working paper]

Comparison of Misspecified Calibrated Models: The Minimum Distance Approach. (with V. Hnatkovska and Y. Tang) Journal of Econometrics, 169(1), 131-138, 2012. [working paper] [supplement]

Quantile-Based Nonparametric Inference for First-Price Auctions. (with A. Shneyerov) Journal of Econometrics, 167(2), 345-357, 2012.  [go to MATLAB codes] [go to supplement] [Working paper version with corrected typos]

Exactly Distribution-Free Inference in Instrumental Variables Regression with Possibly Weak Instruments. (with D.W.K. Andrews) Journal of Econometrics, 142(1), 183-200, 2008 [working paper]Nonlinearity, Nonstationarity, and Spurious Forecasts. Journal of Econometrics, 142(1), 1-27, 2008.  [working paper]Testing the Null of No Regime Switching with Application to GDP Growth Rates. Empirical Economics, 35(1), 101-122, 2008. [working paper]Bottlenecks in Regional Markets for Natural Gas Transmission Services. (with D. Shapiro and P.W. MacAvoy), Energy Economics, 29(1), 37-45, 2007. [working paper]Higher-order Improvements of the Parametric Bootstrap for Long-memory Gaussian Processes. (with D.W.K. Andrews and O. Lieberman), Journal of Econometrics, 133(2), 673-702, 2006.WORKING PAPERSModeling Long Cycles. (with Natasha Kang)Identifying Collusion in English Auctions .(with A. Shneyerov and U. Kaplan)Instrumental Variables Estimation and Weak-Identification-Robust Inference Based on a Conditional Quantile Restriction(with S. Sakata) [/accordion]

Vadim Marmer

Professor | Graduate Program Director
phone 604 822 8217
location_on Iona Building 117
file_download Download CV

I came to UBC in 2005 after completing my Ph.D. at Yale University. My main area of research is Econometrics, where I have been working on topics such as estimation and inference for auctions, weak identification, misspecification, non-stationary time series, and inference with network-dependent data.

Please click on paper titles for abstracts and full text downloads.

PUBLISHED PAPERS

Monotonicity-Constrained Nonparametric Estimation and Inference for First-Price Auctions. (with J. Ma, A. Shneyerov, and P. Xu), Econometric Reviews, forthcoming.

Limit Theorems for Network Dependent Random Variables. (with D. Kojevnikov and K. Song), Journal of Econometrics, forthcoming.  [working paper]

Inference for first-price auctions with Guerre, Perrigne, and Vuong’s estimator. Journal of Econometrics, 211(2), 507-538, 2019.  [working paper]

On Optimal Inference in the Linear IV Model. (with D.W.K. Andrews and Z. Yu), Quantitative Economics, 10(2), 457-485, 2019.

Investment and Uncertainty With Time to Build: Evidence from U.S. Copper Mining. (with M. Slade), Journal of Economic Dynamics and Control, 95 (October), 233-254, 2018. [working paper]

Weak Identification in Fuzzy Regression Discontinuity Designs. (with D. Feir and T. Lemieux), Journal of Business & Economic Statistics, 34(2), 185–196, 2016. [working paper]

Limited Participation in International Business Cycle Models: A Formal Evaluation. (with X. Gao and V. Hnatkovska), Journal of Economic Dynamics and Control, 39 (February), 255–272, 2014. [working paper]

What Model for Entry in First-Price Auctions? A Nonparametric Approach. (with A. Shneyerov and P. Xu)
Journal of Econometrics, 176(1), 46–58, 2013. [working paper]

Optimal Comparison of Misspecified Moment Restriction Models under a Chosen Measure of Fit. (with T. Otsu), Journal of Econometrics, 170(2), 538-550, 2012. [working paper]

Comparison of Misspecified Calibrated Models: The Minimum Distance Approach. (with V. Hnatkovska and Y. Tang) Journal of Econometrics, 169(1), 131-138, 2012. [working paper] [supplement]

Quantile-Based Nonparametric Inference for First-Price Auctions. (with A. Shneyerov) Journal of Econometrics, 167(2), 345-357, 2012.  [go to MATLAB codes] [go to supplement] [Working paper version with corrected typos]

Exactly Distribution-Free Inference in Instrumental Variables Regression with Possibly Weak Instruments. (with D.W.K. Andrews) Journal of Econometrics, 142(1), 183-200, 2008 [working paper]Nonlinearity, Nonstationarity, and Spurious Forecasts. Journal of Econometrics, 142(1), 1-27, 2008.  [working paper]Testing the Null of No Regime Switching with Application to GDP Growth Rates. Empirical Economics, 35(1), 101-122, 2008. [working paper]Bottlenecks in Regional Markets for Natural Gas Transmission Services. (with D. Shapiro and P.W. MacAvoy), Energy Economics, 29(1), 37-45, 2007. [working paper]Higher-order Improvements of the Parametric Bootstrap for Long-memory Gaussian Processes. (with D.W.K. Andrews and O. Lieberman), Journal of Econometrics, 133(2), 673-702, 2006.WORKING PAPERSModeling Long Cycles. (with Natasha Kang)Identifying Collusion in English Auctions .(with A. Shneyerov and U. Kaplan)Instrumental Variables Estimation and Weak-Identification-Robust Inference Based on a Conditional Quantile Restriction(with S. Sakata) [/accordion]