Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD) LSE RSS Contact Us YouTube Twitter

Joint Econometrics and Statistics Workshop


feed/rss  Webfeed

This seminar series is organised jointly by the Department of Statistics and the STICERD Econometrics Programme.

During Michaelmas term, seminars take place on Fridays at 12pm in 32L.LG.03. In Lent term, they are held in the Leverhulme Library (COL 6.15).

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

Seminar Organisers: Dr Marcia Schafgans and Dr Matteo Barigozzi.

Please note that you can subscribe or unsubscribe to our mailing list (stats).


calendar
Friday  13 January 2017  12:00 - 13:00

Bootstrap inference under random distributional limits

Giuseppe Cavaliere (University of Bologna) , joint with Iliyan Georgiev

Leverhulme Library, COL 6.15, 6th Floor, Columbia House, LSE, 69 Aldwych, London WC2B 4RR
calendar
Friday  27 January 2017  12:00 - 13:00

Some recent progress on nonlinear spatial modelling: A personal review

Zudi Lu (University of Southampton)

Leverhulme Library, COL 6.15, 6th Floor, Columbia House, LSE, 69 Aldwych, London WC2B 4RR
calendar
Friday  10 February 2017  12:00 - 13:00

Testing uniformity on high-dimensional spheres against monotone rotationally symmetric alternatives

Davy Paindaveine (UniversitÚ libre de Bruxelles) , joint with Christine Cutting and Thomas Verdebout

Leverhulme Library, COL 6.15, 6th Floor, Columbia House, LSE, 69 Aldwych, London WC2B 4RR
calendar
Friday  24 February 2017  12:00 - 13:00

Detection of periodicity in functional time series

Siegfried H÷rmann (UniversitÚ libre de Bruxelles)

Periodicity is one of the most important characteristics of time series, and tests for periodicity go back to the very origins of the eld. The importance of such tests has manifold reason. One of them is that most inferential pro-cedures require that the series be stationary, but classical stationarity tests (as e.g. KPSS procedures) have little power against a periodic component inthe mean. In this account we respond to the need to develop periodicity tests for functional time series (FTS). Examples of FTS's include annual temperature or smoothed precipitation curves, daily pollution level curves, various daily curves derived from high frequency asset price data, daily bond yield curves, daily vehicle trac curves and many others. One of the important contributions of this article is the development of a fully functional ANOVA test for stationary data. If the functional time series (Yt) satises a certain weak-dependence condition, then, using a fre- quency domain approach, we obtain the asymptotic null-distribution (for the constant mean hypothesis) of the functional ANOVA statistic. The limiting distribution has an interesting form and can be written as a sum of independent hypoexponential variables whose parameters are eigenvalues of the spectral density operator of (Yt).


Leverhulme Library, COL 6.15, 6th Floor, Columbia House, LSE, 69 Aldwych, London WC2B 4RR
calendar
Friday  10 March 2017  12:00 - 13:00

Sequential Testing for Structural Stability in Approximate Factor Models

Lorenzo Trapani (Cass Business School) , joint with Matteo Barigozzi

We develop a a family of monitoring procedures to detect a change in a large factor model. Our statistics are based on the following property of the (r+1)-th eigenvalue of the sample covariance matrix of the data: whilst under the null the (r+1)-th eigenvalue is bounded, under the alternative of a change (either in the loadings, or in the number of factors itself) it becomes spiked. Given that the sample eigenvalue does not have a known limiting distribution under the null, we regularise the problem by randomising the test statistic in conjunction with sample conditioning, obtaining a sequence of i.i.d., asymptotically chi-squared statistics which are then employed to build the monitoring scheme. Numerical evidence shows that our procedure works very well in finite samples, with a very small probability of false detections and tight detection times in presence of a genuine change point.


Leverhulme Library, COL 6.15, 6th Floor, Columbia House, LSE, 69 Aldwych, London WC2B 4RR
calendar
Friday  24 March 2017  12:00 - 13:00

TBC

Esther Ruiz (Universidad Carlos III)

Leverhulme Library, COL 6.15, 6th Floor, Columbia House, LSE, 69 Aldwych, London WC2B 4RR