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STICERD Econometrics Seminar Series


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These seminars are held on Thursdays in term time at 14.00-15.30, in 32L 3.05 (3rd floor, 32 Lincolns Inn Fields, London), unless specified otherwise.

Entry is on a first-come first-served basis. No registration is required but places are limited. 

Seminar organisers: Dr Tai Otsu

For more information please contact Jane Dickson.

You can subscribe or unsubscribe to our mailing list (emetrics). 



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Thursday  08 December 2016  14:00 - 15:30
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TBC

Jack Porter (University of Wisconsin-Madison)

32L 3.05, 3rd Floor Conference Room, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH
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Thursday  22 September 2016  14:00 - 15:30
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Estimation and Inference with a (Nearly) Singular Jacobian

Adam McCloskey (Brown University) , joint with Sukjin Han

[pdf] Download Paper


This paper develops extremum estimation and inference results for nonlinear models with very general forms of potential identification failure when the source of this identification failure is known. We examine models that may have a general deficient rank Jacobian in certain parts of the parameter space. When identification fails in one of these models, it becomes under-identified and the identification status of individual parameters is not generally straightforward to characterize. We provide a systematic reparameterization procedure that leads to a reparameterized model with straightforward identification status. Using this reparameterization, we determine the asymptotic behavior of standard extremum estimators and Wald statistics under a comprehensive class of parameter sequences characterizing the strength of identification of the model parameters, ranging from non-identification to strong identification. Using the asymptotic results, we propose hypothesis testing methods that make use of a standard Wald statistic and data-dependent critical values, leading to tests with correct asymptotic size regardless of identification strength and good power properties. Importantly, this allows one to directly conduct uniform inference on low-dimensional functions of the model parameters, including one-dimensional subvectors. The paper illustrates these results in three examples: a sample selection model, a triangular threshold crossing model and a collective model for household expenditures.


Graham Wallace Room, 5th Floor, Old Building, Houghton Street, London, WC2A 2AE


Please note new venue
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Thursday  06 October 2016  12:30 - 14:00
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Interference on social effects when the network is sparse and unknown

Eric Gautier (University Toulouse 1 Capitole)

32L 3.05, 3rd Floor Conference Room, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH
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Thursday  13 October 2016  14:00 - 15:30
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Identifying the Discount Factor in Dynamic Discrete Choice Models

Jaap Abbring (Vrije Universiteit Amsterdam and Tinbergen Institute) , joint with Řystein Daljord

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32L 3.05, 3rd Floor Conference Room, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH
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Tuesday  25 October 2016  14:00 - 15:30
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Counterfactual prediction in complete information games: point prediction under partial identification

Joris Pinske (Pennsylvania State University)

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We study the problem of counterfactual prediction in discrete decision games with complete information, pure strategies, and Nash equilibria. We show that the presence of multiple equilibria poses unique challenges for the problem of counterfactual prediction even if the payoff structure is known in its entirety. We show that multiple types of counterfactuals can be defined and that the prediction probabilities are not generally point–identified. We establish the sharp identified bounds of the prediction probabilities. We further propose, compare, and contrast various decision methods for the purpose of producing a point prediction, namely midpoint prediction, a decision–theoretic possibility using a Dirichlet–based prior, and a maximum–entropy approach. On balance, we conclude that the maximum–entropy approach is the least of several evils. Our results have implications for counterfactual prediction in other models with partial identification.


32L 3.05, 3rd Floor Conference Room, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH
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Thursday  03 November 2016  14:00 - 15:30
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Inference under shape restrictions

Joachim Freyberger (University of Wisconsin-Madison)

32L 3.05, 3rd Floor Conference Room, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH
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Thursday  10 November 2016  14:00 - 15:30
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Function Time Series Analysis of Correlation Dynamics

Patrick Wongsa-Art (Newcastle University)

32L 3.05, 3rd Floor Conference Room, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH
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Thursday  17 November 2016  14:00 - 15:30
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Jackknife, Many Instruments and Small Bandwidth Asymptotics

Yukitoshi Matsushita (Tokyo Institute of Technology) , joint with Taisuke Otsu, LSE

32L 3.05, 3rd Floor Conference Room, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH
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Thursday  24 November 2016  14:00 - 15:30
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Wald tests when restrictions are locally singular

Victoria Zinde-Walsh (McGill University and CIREQ) , joint with Jean-Marie Dufour and Eric Renault

[pdf] Download Paper


32L 3.05, 3rd Floor Conference Room, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH
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Thursday  01 December 2016  14:00 - 15:30
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Discretizing Unobserved Heterogeneity

Elena Manresa (MIT) , joint with Thibaut Lamadon and Stephane Bonhomme (University of Chicago)

32L 3.05, 3rd Floor Conference Room, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH
calendar
Thursday  08 December 2016  14:00 - 15:30
Note change in Time


TBC

Jack Porter (University of Wisconsin-Madison)

32L 3.05, 3rd Floor Conference Room, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH
calendar
Tuesday  13 December 2016  12:30 - 14:00
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Uniform confidence bands in deconvolution with unknown error distribution

Kengo Kato (University of Tokyo) , joint with Yuya Sasaki

[pdf] Download Paper


32L 2.04, 2nd Floor Conference Room, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH


Please note new venue