Ken Kasa - Department of Economics, Simon Fraser University
Office: WMX 2666
Phone: 778-782-5406

Short CV


Working Papers

       Learning and Model Validation  (with In-Koo Cho)                                      (slides)

      ABSTRACT:  This paper studies adaptive learning with multiple models. An agent operating in a self-referential
      environment is award of potential model misspecification, and tries to detect it, in real-time, using an econometric
      specification test. If the current model passes the test, it is used to construct an optimal policy. If it fails the test, a new
      model is selected from a fixed set of models. As the rate of coefficient updating decreases, one model becomes
      dominant, and is used almost always. Dominant models can be characterized using the tools of large deviations theory.
      The analysis is applied to Sargent's (1999) Phillips Curve model.

      Heterogeneous Beliefs and Tests of Present Value Models    (with T. Walker and C. Whiteman)  forthcoming in Review of Economic Studies

      ABSTRACT:  This paper develops a dynamic asset pricing model with persistent heterogeneous beliefs. The model
      features competitive traders who receive idiosyncratic signals of an underlying fundamentals process. We adapt
      Futia's (1981) frequency domain methods to derive conditions on the fundamentals that guarantee noninvertibility of the
      mapping between market data and the underlying shocks to agents' information sets. When these conditions are satisfied,
      agents must 'forecast the forecasts of others'. The paper provides an explicit analytical characterization of the resulting
      higher-order belief dynamics. These additional dynamics can account for observed violations of variance bounds, predictability
      of excess returns, and rejections of cross-equation restrictions.   (slides)