Joint Econometrics and Statistics Workshop

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

Unless otherwise specified, in-person seminars are open to the public.

Those unable to join the seminars in-person are welcome to participate via zoom if the event is hybrid.

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: l.chibwe@lse.ac.uk.

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

Tuesday 20 June 2023 12:00 - 13:00

ScreeNOT: Optimal Singular Value Thresholding and Principal Component Selection in Correlated Noise

Principal Component Analysis (PCA) is a fundamental and ubiquitous tool in statistics and data analysis. The bare-bones idea is this. Given a data set of n points y_1, ..., y_n, form their sample covariance S. Eigenve...Read more...

Elad Romanov (Stanford)

ONLINE

Friday 16 June 2023 14:30 - 15:30

Exploring cross-trait genetic architectures: statistical models, computational challenges, and the BIGA platform

Numerous statistical models have been proposed to analyze cross-trait genetic architectures utilizing summary statistics from genome-wide association studies (GWAS). However, systematically analyzing high-dimensional GWA...Read more...

Bingxin Zhao (University of Pennsylvania), joint with Fei Xue and Yujue Li

ONLINE

Friday 26 May 2023 12:00 - 13:00

Reinforcement Learning for Respondent-Driven Sampling

Respondent-driven sampling (RDS) is a network-based sampling strategy used to study hidden populations for which no sampling frame is available. In each epoch of an RDS study, the current wave of study participants are ...Read more...

Eric Laber (Duke University)

KSW 2.12, 20 Kingsway Building, LSE, entrance in Portugal Street, London WC2B 6LH

Friday 31 March 2023 12:00 - 13:00

Inference on Time Series Nonparametric Conditional Moment Restrictions Using General Sieves

General nonlinear sieve learnings are classes of nonlinear sieves that can approximate nonlinear functions of high dimensional variables much more flexibly than various linear sieves (or series). This paper considers gen...Read more...

Xiaohong Chen (Yale University)

ONLINE

Tuesday 21 March 2023 12:00 - 13:00

Multiple Randomization Designs

In this study we introduce a new class of experimental designs. In a classical randomized controlled trial (RCT), or A/B test, a randomly selected subset of a population of units (e.g., individuals, plots of land, or exp...Read more...

Guido Imbens (Stanford University)

Shaw Library, 6th Floor, Old Building, LSE, Houghton Street, London WC2A 2AE

Friday 17 March 2023 12:00 - 13:00

A network approach to compute hypervolume under ROC manifold for multi-class biomarkers

Computation of hypervolume under ROC manifold (HUM) is necessary to evaluate biomarkers for their capability to discriminate among multiple disease types or diagnostic groups. However the original definition of HUM invol...Read more...

Jialiang Li (National University of Singapore)

ONLINE

Friday 17 February 2023 12:00 - 13:00

Two projects on the AUC

I will describe two current projects dealing with the AUC. The AUC is a measure of how well a binary classifier discriminates. Long popular in the medical sciences, it has seen new life in data science applications. In t...Read more...

Haben Michael (University of Massachusetts)

SAL 1.05, 1st Floor Conference Room, Sir Arthur Lewis Building, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH

Friday 03 February 2023 12:00 - 13:00

Super Reinforcement Learning in Confounded Environments

We introduce super reinforcement learning in the batch setting, which takes the observed action as input for achieving a stronger oracle in policy learning. In the presence of unmeasured confounders, the recommendations ...Read more...

Jiay Wang (University of Texas)

ONLINE

Friday 20 January 2023 12:00 - 13:00

Causal Falsification of Digital Twins

We consider how to assess the accuracy of a digital twin using real-world data. We formulate this problem within the framework of causal inference, which leads to a precise definition of what it means for a twin to be "c...Read more...

Rob Cornish (Oxford)

OLD 5.25, Graham Wallas Room, Old Building, LSE, Houghton Street, London WC2A 2AE

Wednesday 01 June 2022 14:00 - 15:00

Quadratic Prediction Methodology and Calibration of Prediction Intervals Based on Subsampling

We consider nonlinear prediction of a stationary time series using quadratic functions of the past data. We derive explicit formulae for the best quadratic predictor and its MSPE. We also give conditions under which the...Read more...

Soumen Lahiri (Washington University in St Louis)

This event is both online and in person

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

Friday 20 May 2022 12:00 - 13:00

CANCELLED

Flexible Covariate Adjustments in Regression Discontinuity Designs

Empirical regression discontinuity (RD) studies often use covariates to increase the precision of their estimates. In this paper, we propose a novel class of estimators that use such covariate information more efficientl...Read more...

Claudia Noack (University of Oxford)

ONLINE

Friday 18 February 2022 12:00 - 13:00

Matching for causal effects via multimarginal optimal transport

Please register to attend: https://lse.zoom.us/j/81404118660...Read more...

Florian Gunsilius (University of Michigan)

ONLINE

Friday 11 February 2022 12:00 - 13:00

Debiased Inverse Propensity Score Weighting for Estimation of Average Treatment Effects with High-Dimensional Confounders

Please register to attend: https://lse.zoom.us/j/82688220867...Read more...

Yuhao Wang (Tsinghua University)

ONLINE

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

ONLINE

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)

ONLINE

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)

ONLINE

Friday 03 April 2020 12:00 - 13:00

TBC

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)

ONLINE

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 (University College London)

ONLINE

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