rlab  case  cep  fmg  sticerd   contact us  directions  IT support  rlab data    about   research programmes   publications   events and calendar    current events :     - seminars     - special events     - public lectures     - conferences    past events :     - seminars     - special events     - public lectures     - conferences   staff directory   support and services   news and visitors 01 - Mar - 2012 Rescaled Additively Non-Ignorable (RAN) Model of Attrition Isnan Tunali joint with Emre Ekinci and Berk Yavuzoglu (Koc University, Istanbul) [downlaod pdf] 24 - Nov - 2011 Correlation and heterogeneity robust inference using conservativeness of test statistics Rustam Ibragimov joint with Ulrich Muller (Harvard) [downlaod pdf] 27 - Oct - 2011 Uniform Convergence of Weighted Sums of Non- and Semi-parametric Residuals for Estimation and Testing Juan Carlos Escanciano joint with David Jacho-Chavez and Arthur Lewbel (Indiana University) [downlaod pdf] 06 - Oct - 2011 Instrumental variables estimation and inference in the presence of many exogenous regressors Stanislav Anatolyev (New Economic School, Moscow) [downlaod pdf] 27 - Jun - 2011 Inference Based on Conditional Moment Inequalities Donald W K Andrews joint with Xiaoxia Shi (Yale) [downlaod pdf] 17 - Jun - 2011 A Penalized Empirical Likelihood Method in High Dimensions Soumen Lahiri (TAMU) [downlaod pdf] 16 - Jun - 2011 Evaluating Factor Pricing Models Using High Frequecny Panels Yousoon Chang joint with Hwagyun Kim and Joon Y Park (Indiana University) [downlaod pdf] 19 - May - 2011 Identification and Estimation of Bayesian Games under Multiple Equilibria Xun Tang joint with A. Lewbel (University of Pennsylvania) 12 - May - 2011 TBC Robin Lumsdaine (American University) 05 - May - 2011 TBC Serena Ng (Columbia University) 24 - Mar - 2011 Efficient Prediction of Excess Returns Jonathan Wright joint with Jon Faust (JHU) [downlaod pdf] 17 - Mar - 2011 Quantile Selection Models Manuel Arellano (CEMFI) 10 - Mar - 2011 Shape Constraints, Compound Decisions and Empirical Bayes Rules Roger Koenker joint with Ivan Mizera (University of Illinois, Urbana Champaign) [downlaod pdf] 03 - Mar - 2011 TBC Alexei Onatsky 24 - Feb - 2011 Gradient Based Smoothing Parameter Selection for Nonparametric Regression Estimation Qi Li (Texas A&M) 03 - Feb - 2011 TBC Harry Paarsch (University of Melbourne) 09 - Dec - 2010 TBA Enrique Sentana (CEMFI) 02 - Dec - 2010 TBA Denis Nekipelov (UC Berkeley) 18 - Nov - 2010 Measurement Error and Convolution in Generalized Functions Spaces Victoria Zinde-Walsh (McGill University) [downlaod pdf] 11 - Nov - 2010 Information Bounds and Impossibility Theorems for Simultaneous Discrete Response Models Shakeeb Khan joint with Denis Nekipelov (Duke University) [downlaod pdf] 01 - Jul - 2010 TBC Xiaohong Chen (Yale) 27 - May - 2010 Analyzing the Spectrum of Asset Returns: Jump and volatility components in high frequency data Yacine Ait-Sahalia joint with Jean Jacod (Princeton University) [downlaod pdf] 13 - May - 2010 TBC Esfandiar Maasoumi (Ebony University) 06 - May - 2010 Between Data Cleaning and Inference: Pre-Averaging and other Robust Estimators of the Efficient Price Lan Zhang joint with Per Mykland (Oxford University and UIUC) 29 - Apr - 2010 An adequacy check for dynamic discrete choice model Igor Kheifets (UC3 Madrid) 11 - Mar - 2010 TBC Elie Tamer (Northwestern) 04 - Mar - 2010 TBC Emmanuel Guerre (QMW) 03 - Dec - 2009 TBC Liudas Giraitis (QMW) 26 - Nov - 2009 Regime Specific Predictability in Predictive Regression Jean-Yves Pitarakis (University of Southampton) 19 - Nov - 2009 Risk of Bayesian Inference in Misspecified Models, and the Sandwich Covariance Matrix Ulrich Meller (Princeton) [downlaod pdf] 05 - Nov - 2009 TBC Marcelo Moreiro (Columbia) 29 - Oct - 2009 Durbin Seminar (joint with UCL) Optimal significance tests for simultaneous equation models TW Anderson (Stanford University) 22 - Oct - 2009 Single Equation Endogenous Binary Response Models Andrew Chesher (University College London) [downlaod pdf] 15 - Oct - 2009 Endogenous Semiparametric Binary Choice Models with Heteroscedasticity Stefan Hoderlein (Brown University) [downlaod pdf] 08 - Oct - 2009 Volatility estimation when trade times and returns are dependent Per Mykland (Oxford and Chicago) 25 - Jun - 2009 Single Equation Endogenous Binary Response Models CANCELLED Andrew Chesher (University College London) Single Equation Endogenous Binary Response Models [downlaod pdf] 28 - May - 2009 Nonparametric Tests of Conditional Treatment Effects Yoon Whang joint with Sokbae Lee (Seoul National University) 21 - May - 2009 Parametrics and Nonparametrics Peter CB Phillips (Yale) 20 - Mar - 2009 4th London and Oxbridge Time Series Workshop Various Speakers  12 - Mar - 2009 TBC Anna Mikusheva (MIT) 05 - Mar - 2009 TBC Elie Tamer (Northwestern) 26 - Feb - 2009 Shocks (Can we identify them? Yes, we can) Jesus Gonzalo joint with O Martinez (Carlos III, Madrid) 20 - Feb - 2009 Pitfalls in Estimating Asymmetric Effects of Energy Price Shocks Lutz Kilian joint with Robert J Vigfussen (Michigan) [downlaod pdf] 11 - Dec - 2008 Time Series Regression Models with Semiparametric Factor Dynamics Enno  Mammen joint with Byeong U Park, Wolfgang Haerdle and Szymon Borak (Hidelberg University) [downlaod pdf] 04 - Dec - 2008 Robustness, Infinitesimal Neighbourhoods, and Moment Restrictions Taisuke Otsu joint with Yuici Kitamura and Kirill Evdokimov (Yale) [downlaod pdf] 27 - Nov - 2008 Multivalued Treatment Effect Model Under Monotonicity Igor Kheifets (UC3 Madrid) 20 - Nov - 2008 Partial Identification of the Distribution of Treatment Effects in Switching Regimes Models and its Confidence Sets Yanqin Fan joint with Jisong Wu (Vanderbilt University) [downlaod pdf] 13 - Nov - 2008 Conditional Correlations Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations Timo Terasvirta (Aarhus University) 06 - Nov - 2008 Non-Parametric Specification Testing for Continuous-Time Markov Processes: Do the Processes Follow Diffusions? Shin Kanaya (Nuffield College, Oxford) [downlaod pdf] 30 - Oct - 2008 Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term Helmut Lütkepohl (EUI) [downlaod pdf] 23 - Oct - 2008 Integer Valued GARCH: Poisson Autoregressive Processes Anders Rahbek (Copenhagen) 16 - Oct - 2008 t-statistic based correlation and heterogeneity robust inference Rustam Ibragimov joint with Ulrich Mueller (Harvard) [downlaod pdf] 09 - Oct - 2008 Intersection Bounds: Estimation and Inference Sokbae Lee joint with Victor Chernozhukov and Adam Rosen (UCL) 22 - May - 2008 TBC Pierre Perron (Boston College) 08 - May - 2008 Inference for quadratic variation of semimartingales in the presence of noise Mark Podolskij (CREATES, Aarhus University) 13 - Mar - 2008 Non-Parametric Estimation in Random Coefficients Binary Choice Models Yuichi Kitamura (Yale) [downlaod pdf] 06 - Mar - 2008 Inference in regression models with many regressors Stanislav Anatolyev (New Economic School, Moscow) [downlaod pdf] 28 - Feb - 2008 Testability and methods of moments in nonparametric and semiparametric models Jean-Marie Dufour joint with Frédéric Jouneau-Sion and Olivier Torrès (McGill University) 21 - Feb - 2008 Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps Cecilia Mancini (University of Florence) [downlaod pdf] [downlaod pdf 2] 07 - Feb - 2008 Inference for the jump part of quadratic variation of Ito semimartingales Almut Veraart (Aarhus) [downlaod pdf] 17 - Jan - 2008 Time Series Modelling with Semiparametric Factor Dynamics Wolfgang Haerdle joint with Szymon Borak, Enno Mammen and Byeong Park (Humbolt University, Berlin) [downlaod pdf] 13 - Dec - 2007 TBA J Roderick McCrorie (Leicester University) 06 - Dec - 2007 Detecting and Predicting Forecast Breakdowns Barbara Rossi joint with Raffaella Giacomini (Duke University) 29 - Nov - 2007 TBA Kyungchul Kevin Song (University of Pennsylvania) [downlaod pdf] 01 - Nov - 2007 TBA Christian Hafner (UCL) 25 - Oct - 2007 Extremal Dependence: Nonparametric Characterizations and Robust Asymptotic Theory Jonathan B Hill (Univerity of North Carolina - Chapel Hill) [downlaod pdf] 18 - Oct - 2007 TBA Brendan Beare (Oxford) 11 - Oct - 2007 Monetary Policy Analysis with Potentially Misspecified Models Marco Del Negro joint with Frank Schorfheide (NY) [downlaod pdf] 21 - Jun - 2007 Local Sensitivity and Diagnostic Tests Jan Magnus (Tilburg University) 07 - Jun - 2007 TBA Alessio Sancetta (Cambridge) 03 - May - 2007 TBA Catalin Starica (Chalmers University of Technology) 15 - Mar - 2007 TBA Dennis Kristensen (Columbia) 08 - Mar - 2007 TBA Amy Finkelstein (MIT) 22 - Feb - 2007 TBA Debopam Bhattacharya 11 - Jan - 2007 TBA Raffaella Giacomini (University of California, San Diego) 07 - Dec - 2006 TBA Tassos Magdalinos (Nottingham) 30 - Nov - 2006 TBA Eric Ghysels (UNC) 16 - Nov - 2006 TBA Mika Meitz (Oxford) 19 - Oct - 2006 TBA Emmanuel Guerre (QMW) 05 - Oct - 2006 TBA Stefan Hoderlein (Brown University) 29 - Jun - 2006 TBA Tim Bollerslev (Duke) 22 - Jun - 2006 Panel data models with interactive fixed effects Jushan Bai (NYU) 15 - Jun - 2006 Nonparametric quantile IV estimator Joel Horowitz (Northwestern) 08 - Jun - 2006 TBA Ricardo Cao (UDC) 04 - May - 2006 A unified approach to validating univariate and multivariate conditional distributional models in time series Yongmiao Hong (Cornell) 27 - Apr - 2006 Testing models with multiple equilibria by quantile methods Ivana Komunjer joint with Federico Echenique (University of California, San Diego) [downlaod pdf] 16 - Mar - 2006 TBA Nour Meddahi (Montreal) 09 - Mar - 2006 TBA Xiaohong Chen (Yale) 02 - Mar - 2006 TBA Patrick Gagliardini (University of Lugano) 23 - Feb - 2006 TBA Frank Schorfheide (University of Pennsylvania) 16 - Feb - 2006 TBA John Einmahl (Tilburg) 09 - Feb - 2006 Dynamic time series binary choice Robert deJong (Ohio State) [downlaod pdf] 02 - Feb - 2006 TBA A Aradillas-Lopez (Princeton) 08 - Dec - 2005 TBA Richard Smith (Cambridge) 01 - Dec - 2005 TBA Lian Hu (Leeds) 24 - Nov - 2005 TBA Markus Reiss (Berlin) 17 - Nov - 2005 TBA Stanley Zin (Carnegie Mellon University) 10 - Nov - 2005 TBA Stanley Zin (Carnegie Mellon University) 03 - Nov - 2005 TBA Stanley Zin (Carnegie Mellon University) 27 - Oct - 2005 Local linear estimating equations: Uniform consistency and rates of convergence Soren Fyodor Nielsen (Copenhagen) 20 - Oct - 2005 Return Scambling and Realized Covariance Kevin Sheppard (Oxford) 13 - Oct - 2005 Efficient Wald Tests for Fractional Unit Roots Ignacio Lobato (ITAM) 06 - Oct - 2005 Model uncertainty and model averaging in VAR processes Herman van Dijk (Amsterdam) 25 - Nov - 2004 t.b.a. Bas Werker (Tilburg University) 18 - Nov - 2004 Asymptotic inference in a nonlinear co-integrated model. P Jeganathan (Indian Statistical Institute and University of Michigan) 11 - Nov - 2004 A stochastic recurrence equation approach to financial time series models. Thomas Mikosch joint with Daniel Straumann 04 - Nov - 2004 Pooling Estimates with Different Rates of Convergence - A Minimum x2 Approach: With an Emphasis on a Social Interactions Model. Lung-Fei Lee (Ohio State University) 21 - Oct - 2004 GMM tests for SD efficiency of a given portfolio. Thierry Post joint with Philippe Versijp (EUR) 07 - Oct - 2004 t.b.a. Robert Taylor (CEP) 24 - Jun - 2004 Dummy Endogenous Variables in Weakly Separable Models Edward J Vytlacil joint with Nese Yildiz (Stanford University) [downlaod pdf] 27 - May - 2004 tba Yanqin Fan (Vanderbilt University) 29 - Apr - 2004 Optimal Rank-based Tests for Sphericity Marc Hallin joint with Davy Paindaveine (Universite Libre de Bruxelles) 21 - Feb - 2002 Stationary test for Data with Missing Observations Haruhisa Nishino (Chiba University) 14 - Feb - 2002 Selection Model and Conditional Treatment Effects Including Endogenous Regressors Arthur Lewbel (Boston College) 07 - Feb - 2002 Gaussian Semiparametric Inference on Long-Memory in Stochastic Volatility Models Josu Arteche (University of Bilbao) 31 - Jan - 2002 Higher order properties of GMM and generalised empirical likelihood esitmators Richard Smith (Cambridge) 24 - Jan - 2002 Moments and Monetary Properties of Linear Conditional Heteroscedestricity Models James Davidson (University of Cardiff) 13 - Dec - 2001 Forecasting financial volatilities with extreme values: The conditional Autoregressive Range (CARR) model Ray Chou (Academia Sinica) 05 - Dec - 2001 Asymptotic for kernels smoothers in a class of non-standard curve estimation problems Enno  Mammen (Hidelberg University) 29 - Nov - 2001 TBA Steve  Legbourne (Nottingham University) 15 - Nov - 2001 Demand models for market level data Peter  Davis (MIT) 01 - Nov - 2001 Some higher order asymptotic theory for empirical likelihood and empirical discrepancy statistics Francesco Bravo (University of York) 11 - Oct - 2001 Order determination in general vector autoregression Bent Nielsen (Oxford University)   copyright © STICERD 2005 - 2007 LSE, Houghton Street, London WC2A 2AE   e-mail: sticerd@lse.ac.uk