Joint Econometrics and Statistics Workshop

Many of our seminars and public events this year will continue as online seminars or as online and in person. Please check our website listings and Twitter feed @STICERD_LSE for updates.

Unless otherwise specified, current restrictions mean in-person seminars are only open to members of the LSE community (those with a valid LSE ID card).

Those unable to join the seminars in-person are welcome to participate via zoom.

Econometrics and Statistics seminars are held on Fridays in term time at 12:00-13:00, ONLINE, unless specified otherwise.

Seminar organisers: Dr Tatiana Komarova and Dr Yunxiao Chen.

For further information please contact Lubala Chibwe, either by email: l.chibwe@lse.ac.uk.

Please use this link to subscribe or unsubscribe to the Econometrics and Statistics seminars mailing list (stats).

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Friday 07 May 2021 12:00 - 13:00

Learning Financial Network with Misspecification via Double Regularized GMM

Financial network analysis has gained significant attention recently. The identification, estimation and inference issues are intrinsically important in understanding the underlying network structure. We try to uncover t... Read more...

Weining Wang joint with Victor Chernozhukov and Chen Huang

Friday 19 March 2021 12:00 - 13:00

The time-varying evolution of inflation risks

This paper develops Bayesian inference for time series quantile regressions with time-varying parameters (TVPs). We transform the TVP quantile regression into an equivalent high-dimensional quantile regression model and ... Read more...

Dimitris Korobilis (University of Glasgow)

Friday 05 March 2021 12:00 - 13:00

Censored Quantile Regression with Time Varying Covariates

We propose a class of quantile regression models for right censored failure time data with time varying covariates that requires only standard conditional independence. Using a quantile based transformation, a system of ... Read more...

Tony Sit (Chinese University of Hong Kong)

Friday 03 April 2020 12:00 - 13:00

TBC

David Kaplan (University of Wisconsin Madison)

Friday 06 March 2020 12:00 - 13:00

Optimal estimation of functionals of high-dimensional mean and covariance matrix

Motivated by portfolio allocation and linear discriminant analysis, we consider estimating a functional involving both the mean vector and covariance matrix. We study the minimax estimation of the functional in the high-... Read more...

Haolei Weng (Michigan State University)

Friday 21 February 2020 12:00 - 13:00

Bayesian Indirect Inference and the ABC of GMM

Approximate Bayesian Computation (ABC) is a Bayesian technique for estimation of parametric models where the likelihood is not available on closed form. We extend ABC in two directions: First, we demonstrate how one easi... Read more...

Dennis Kristensen (UCL)

Friday 07 February 2020 12:00 - 13:00

Asymptotically normal estimation in random graphs and random structures

Consider a large random structure -- a stochastic process on the line, a random graph, a random field on the grid -- and a function that depends only on a small part of the structure. Now use a family of transformations ... Read more...

Peter Orbanz (UCL)

Friday 13 December 2019 12:00 - 13:00

Estimation of Average Derivatives using Matched Administrative and Survey Data with Measurement Errors

Hao Dong (South Methodist University) joint with Y Sasaki

Friday 29 November 2019 12:00 - 13:00

Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models

Svetlana Bruzgalova (London Business School) joint with J. Huang and C. Julliard

Friday 15 November 2019 12:00 - 13:00

Minimax Learning for Average Regression Functionals: With an application to electoral accountability and corruption

Chen Qiu (London School of Economics)

Friday 01 November 2019 12:00 - 13:00

Empirical Likelihood for Network Data

Yukitoshi Matsushita (Hitotsubashi University)

Friday 04 October 2019 12:00 - 13:00

The Colourblind Problem

Estate Khmaladze (Victoria University of Wellington)

Friday 29 March 2019 12:00 - 13:00

Let’s take the bias out of econometrics

This study exposes the cognitive flaws of ‘endogeneity bias’. It examines how conceptualisation of the bias has evolved to embrace all major econometric problems, despite extensive lack of hard evidence. It reveals the c... Read more...

Duo Qin (SOAS, University of London)

Friday 22 March 2019 12:00 - 13:00

TBC

Viktor Chernozhukov (MIT)

Friday 15 March 2019 12:00 - 13:00

Nonparametric Homogeneity Pursuit in Functional-Coefficient Models

This paper explores the homogeneity of coefficient functions in nonlinear models with functional coefficients and identifies the underlying semiparametric modelling structure. With initial kernel estimates of coefficient... Read more...

Degui Li (University of York)

Friday 01 March 2019 12:00 - 13:00

The Effect of University Fees on Applications, Attendance and Course Choice: Evidence from a Natural Experiment in the UK

Over the past two decades, large changes have been introduced to the level of university fees in the UK, with significant variation across countries. This paper exploits this variation to examine the effect of fees on un... Read more...

Filipa Sa (Kings College London)

Friday 01 February 2019 12:00 - 13:00

Nonparametric maximum likelihood methods for binary response models with random coefficients

Roger Koenker (UCL)

Friday 14 December 2018 12:00 - 13:00

Identification and Inference of Type I and Type II Error Probabilities: Judging the Justice System

Luke Taylor (Aarhus University) joint with Shin Kanaya

Friday 07 December 2018 12:00 - 13:00

Forest through the trees: Building cross-sections of stock returns

Svetlana Bruzgalova (London Business School) joint with M Pelger and J Zhu

Friday 30 November 2018 12:00 - 13:00

A New Approach for Detecting Shifts in Forecast Accuracy’’

Jeremy Chiu (Bank of England) joint with S. Hayes, G. Kapetanios, K. Theodoridis

Friday 16 November 2018 12:00 - 13:00

Fixed-Effects Models with Interval Censored Variables

David Pacini (University of Bristol) joint with C Bontemps and T Magnac

Friday 02 November 2018 12:00 - 13:00

Quantile Graphical Models: Prediction and Conditional Independence with Applications to Systemic Risk

Mingly Chen (University of Warwick) joint with A. Belloni and V. Chernozhukov

Friday 23 March 2018 12:00 - 13:00

TBC

Marc Hallin (Universite Libre de Bruxelles)

Friday 09 March 2018 12:00 - 13:00

TBC

Majid Al-Sadoon (Universitat Pompeu Fabra)

Friday 23 February 2018 12:00 - 13:00

TBC

Daniel Pena (Universidad Carlos III de Madrid)

Friday 26 January 2018 12:00 - 13:00

RANK: Large-Scale Inference with Graphical Nonlinear Knockoffs

Yingying Fan (University of Southern California)

Friday 12 January 2018 12:00 - 13:00

Statistical inference on party positions from texts: statistical modeling, bootstrap and adjusting for time effects

Carsten Jentsch (Universität Mannheim)

Friday 08 December 2017 12:00 - 13:00

A simple test for monotonicity and monotonicity-related properties

We describe and examine a test for shape constraints, such as monotonicity, convexity (or both such properties simultaneously), or U-shape, in a nonparametric framework using partial sums empirical process. We show that,... Read more...

Javier Hidalgo (LSE) joint with Tatiana Komarova

Friday 24 November 2017 12:00 - 13:00

Identification and Inference in Repeated Games with Random States

Arkadiusz (Arek) Szydlowski (University of Leicester)

Friday 17 November 2017 12:00 - 13:00

Forecast Evaluation Tests - a New Approach

Ekaterina (Katja) Smetanina (University of Cambridge)

Friday 10 November 2017 12:00 - 13:00

Identification and Estimation of a Search Model: A Procurement Auction Approach

Sorawoot (Tang) Srisuma (University of Surrey) joint with M. Mysliwski, F. Sanches, D. Silva Jr

Friday 27 October 2017 12:00 - 13:00

Inference for Iterated GMM Under Misspecification and Clustering

Seojeong (Jay) Lee (UNSW) joint with Bruce Hansen

Friday 24 March 2017 12:00 - 13:00

TBC

Esther Ruiz (Universidad Carlos III)

Friday 10 March 2017 12:00 - 13:00

Sequential Testing for Structural Stability in Approximate Factor Models

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... Read more...

Lorenzo Trapani (Cass Business School) joint with Matteo Barigozzi

Friday 24 February 2017 12:00 - 13:00

Detection of periodicity in functional time series

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 infere... Read more...

Siegfried Hörmann (Université libre de Bruxelles)

Friday 10 February 2017 12:00 - 13:00

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

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

Friday 27 January 2017 12:00 - 13:00

Some recent progress on nonlinear spatial modelling: A personal review

Zudi Lu (University of Southampton)

Friday 13 January 2017 12:00 - 13:00

Bootstrap inference under random distributional limits

Giuseppe Cavaliere (University of Bologna) joint with Iliyan Georgiev

Friday 09 December 2016 12:00 - 13:00

Testing for stability of the correlation structure

Javier Hidalgo (LSE)

Friday 02 December 2016 12:00 - 13:00

Inference on trending panel data

Peter Robinson (LSE) joint with C. Velasco

Friday 25 November 2016 12:00 - 13:00

Misspecification testing in spatial autoregressive models

Jungyoon Lee (Royal Holloway, University of London)

Friday 18 November 2016 12:00 - 13:00

Nonseparable Unobserved Hetereogeneity and Partial Identificaion in IV models for Count Outcomes

Dongwoo Kim (UCL)

Friday 11 November 2016 12:00 - 13:00

A New Approach for Dynamic Event Count Data Models

Namhyun Kim (Exeter University)

Friday 04 November 2016 12:00 - 13:00

Partial Independence in Nonseparable Models

Matt Masden (Duke University) joint with Alexandre Poirier

Friday 07 October 2016 12:00 - 13:00

Quantile Methods for first-price auctions: a signal approach

Emmanuel Guerre (QMW) joint with Nathalie Gimenes

Friday 30 September 2016 12:00 - 13:00

Optimal Two-Sided Tests for Instrumental Variables Regression with Heteroskedastic and Autocorrelated Errors

Marcelo Moreira (Fundação Getúlio Vargas (FGV/EPGE)) joint with Humberto Moreira

Friday 11 March 2016 12:00 - 13:00

TBA

Valentina Corradi (Exeter University)

Friday 26 February 2016 12:00 - 13:00

TBA

Rajen Shah (University of Cambridge)

Friday 12 February 2016 12:00 - 13:00

The Practice of FX Spot Trading and Competition amongst Liquidity Providers

Roel Oomen (LSE)

Friday 29 January 2016 12:00 - 13:00

TBA

Andrew Harvey (University of Cambridge)

Friday 15 January 2016 12:00 - 13:00

Structural Change Detection for M-estimation Regression Under Time Series Non-stationarity

Weichi Wu (UCL)

Friday 11 December 2015 12:00 - 13:00

TBA

Denis Nekipelov (University of Virginia)

Friday 04 December 2015 12:00 - 13:00

Data-driven GMM test for parameter instability

Stepana Lazarova (Queen Mary University)

Friday 27 November 2015 12:00 - 13:00

Welfare Analysis for Discrete Choice with Interval-Data on Income

Ying-Ying Lee (Oxford University)

Friday 20 November 2015 12:00 - 13:00

Nonparametric Insturmental Variable Estimation under Monotonicity

Daniel Wilhelm (UCL)

Friday 13 November 2015 12:00 - 13:00

Estimation of Nonlinear Panel Modles with Multiple Unobserved Effects

Mingly Chen (University of Warwick)

Friday 23 October 2015 12:00 - 13:00

Unconditional Transformed Likelihood Estimation of Time-Space Dynamic Panel Data Models

Sebastian Kripfganz (University of Exeter Business School)

Friday 16 October 2015 12:00 - 13:00

Robust Confidence Regions for Incomplete Methods

Hiroaki Kaido (Boston University)