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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:  Prof. Tai Otsu and Dr. Vassilis Hajivassiliou.

For more information please contact Jane Dickson.

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calendar
Thursday  07 November 2019  14:00 - 15:30

Identification of possibly nonfundamental Structural VARMA models using higher order moments

Carlos Velasco (UC3, Madrid)

32L 3.05, 3rd Floor Conference Room, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH
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Thursday  26 September 2019  12:30 - 14:00
Note change in Time


New approach to distribution-free testing for Markov chains

Estate Khmaladze (Victoria University of Wellington)

Consider an empirical process, in any one of statistical contexts, and then apply unitary operator to this processes. Can one say what good could come out of this, and why will it be useful? The answer is that probably one can, as it leads us to a new point of view on distribution-free testing of probabilistic models. The specific answer in the case of parametric families of discrete distributions was described in 2013. For parametric empirical processes in $\R^d$ the approach was described in 2016. In this talk we will show two further examples: how can we have a theory of distribution-free tests for transition matrices of Markov chains, and, if we have time enough, and if my colleagues will find it of interest, how can we test regression model in the way, which does not depend on covariates


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


Please note new venue
calendar
Thursday  07 November 2019  14:00 - 15:30

Identification of possibly nonfundamental Structural VARMA models using higher order moments

Carlos Velasco (UC3, Madrid)

We use information from higher order moments to achieve identification of non-Gaussian structural vector autoregressive moving average (SVARMA) models, possibly non-fundamental. We introduce a frequency domain criterion to identify the location of the roots of the lag matrix polynomials based on higher order cumulants dynamics. This information also provides identification on the rotation of the model errors leading to the structural innovations up to sign and permutation. We develop general representations of the higher order spectral density arrays of vector linear processes and describe sufficient conditions for global and local parameter identification that rely on simple rank conditions on the linear dynamics and on moment implications of the independence component assumption on the vector of structural innovations. We generalize previous univariate asymptotic analysis to develop asymptotically normal and efficient estimates exploiting second and higher order dynamics.


32L 3.05, 3rd Floor Conference Room, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH
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Thursday  14 November 2019  14:00 - 15:30

Inference for the mean

Ulrich Mueller (Princeton University)

Consider inference about the mean of a population with finite variance, based on an i.i.d. sample. The usual t-statistic yields correct inference in large samples, but heavy tails induce poor small sample behavior. This paper combines extreme value theory for the smallest and largest observations with a normal approximation for the t-statistic of a truncated sample to obtain more accurate inference. This alternative approximation is shown to provide a refinement over the standard normal approximation to the full sample t-statistic under more than two but less than three moments, while the bootstrap does not. Small sample simulations suggest substantial size improvements over the bootstrap, also in an application to linear regression inference with clustered standard errors


32L 3.05, 3rd Floor Conference Room, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH
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Thursday  21 November 2019  14:00 - 15:30

TBC

Stefan Wager (Stanford)

32L 3.05, 3rd Floor Conference Room, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH
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Thursday  05 December 2019  14:00 - 15:30

Bounds in continuous instrumental variable models

Florian Gunsilius (Michigan)

[pdf] Download Paper


Partial identification approaches have seen a sharp increase in interest in econometrics due to improved flexibility and robustness compared to point-identification approaches. However, formidable computational requirements of existing approaches often offset these undeniable advantages—particularly in general instrumental variable models with continuous variables. This article introduces a computationally tractable method for estimating bounds on functionals of counterfactual distributions in continuous instrumental variable models. Its potential applications include randomized trials with imperfect compliance, the evaluation of social programs and, more generally, simultaneous equations models. The method does not require functional form restrictions a priori, but can incorporate parametric or non-parametric assumptions into the estimation process. It proceeds by solving an infinite dimensional program on the paths of a system of counterfactual stochastic processes in order to obtain the counterfactual bounds. A novel “sampling of paths”- approach provides the practical solution concept and probabilistic approximation guarantees. As a demonstration of its capabilities, the method provides informative non-parametric bounds on household expenditures under the sole assumption that expenditure is continuous,showing that partial identification approaches can yield informative bounds under minimal assumptions. Moreover, it shows that additional monotonicity assumptions lead to considerably tighter bounds, which constitutes a novel assessment of the identificatory strength of such non-parametric assumptions in a unified framework.


32L 3.05, 3rd Floor Conference Room, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH
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Thursday  12 December 2019  14:00 - 15:30

TBC

Vira Semenova (Berkeley)

32L 3.05, 3rd Floor Conference Room, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH
There are also future events listed for this series. Please see STICERD Econometrics Seminars listed for Next Term