Past 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).

This page shows all past events for Joint Econometrics and Statistics Workshop

Past

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

Julius Vainora (University of Cambridge)

ONLINE

Friday 25 March 2022 12:00 - 13:00

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 (University of Groningen), 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

David Kaplan (University of Wisconsin–Madison)

ONLINE

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)

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

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 (University College London)

ONLINE

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

SAL B.11, Basement, Sir Arthur Lewis Building, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH

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

SAL B.11, Basement, Sir Arthur Lewis Building, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH

Friday 15 November 2019 12:00 - 13:00

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

Chen Qiu (LSE)

SAL B.11, Basement, Sir Arthur Lewis Building, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH

Friday 01 November 2019 12:00 - 13:00

Empirical Likelihood for Network Data

Yukitoshi Matsushita (Hitotsubashi University)

SAL B.11, Basement, Sir Arthur Lewis Building, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH

Friday 04 October 2019 12:00 - 13:00

The Colourblind Problem

Estate Khmaladze (Victoria University of Wellington)

SAL B.11, Basement, Sir Arthur Lewis Building, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH

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)

ONLINE

Friday 22 March 2019 12:00 - 13:00

TBC

Viktor Chernozhukov (Massachusetts Institute of Technology)

SAL G.03, Ground Floor, Sir Arthur Lewis Building, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH

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)

ONLINE

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 (King's College London)

ONLINE

Friday 01 February 2019 12:00 - 13:00

Nonparametric maximum likelihood methods for binary response models with random coefficients

Roger Koenker (University College London)

CKK 1.07, 1st Floor, Cheng Kin Ku Building, LSE, 54 Lincoln's Inn Fields, WC2A 3LJ

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

SAL B.11, Basement, Sir Arthur Lewis Building, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH

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

SAL B.11, Basement, Sir Arthur Lewis Building, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH

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

SAL B.11, Basement, Sir Arthur Lewis Building, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH

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

SAL B.11, Basement, Sir Arthur Lewis Building, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH

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

SAL B.11, Basement, Sir Arthur Lewis Building, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH

Friday 23 March 2018 12:00 - 13:00

TBC

Marc Hallin (Université Libre de Bruxelles)

ONLINE

Friday 09 March 2018 12:00 - 13:00

TBC

Majid Al-Sadoon (Pompeu Fabra University)

ONLINE

Friday 23 February 2018 12:00 - 13:00

TBC

Daniel Pena (Carlos III University of Madrid)

ONLINE

Friday 26 January 2018 12:00 - 13:00

RANK: Large-Scale Inference with Graphical Nonlinear Knockoffs

Yingying Fan (University of Southern California)

ONLINE

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 (University of Mannheim)

ONLINE

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

SAL LG.18, Lower Ground Floor, Sir Arthur Lewis Building, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH

Friday 24 November 2017 12:00 - 13:00

Identification and Inference in Repeated Games with Random States

Arek Szydlowski (University of Leicester)

SAL LG.18, Lower Ground Floor, Sir Arthur Lewis Building, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH

Friday 17 November 2017 12:00 - 13:00

Forecast Evaluation Tests - a New Approach

Ekaterina Smetanina (University of Cambridge)

SAL LG.18, Lower Ground Floor, Sir Arthur Lewis Building, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH

Friday 10 November 2017 12:00 - 13:00

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

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

SAL LG.18, Lower Ground Floor, Sir Arthur Lewis Building, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH

Friday 27 October 2017 12:00 - 13:00

Inference for Iterated GMM Under Misspecification and Clustering

Seojeong (Jay) Lee (University of New South Wales), joint with Bruce Hansen

SAL LG.18, Lower Ground Floor, Sir Arthur Lewis Building, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH

Friday 24 March 2017 12:00 - 13:00

TBC

Esther Ruiz (Carlos III University of Madrid)

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

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

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

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)

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

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

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

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

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

Friday 09 December 2016 12:00 - 13:00

Testing for stability of the correlation structure

Javier Hidalgo (LSE)

SAL LG.03, Lower Ground Floor, Sir Arthur Lewis Building, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH

Friday 02 December 2016 12:00 - 13:00

Inference on trending panel data

Peter Robinson (LSE), joint with C. Velasco

SAL LG.03, Lower Ground Floor, Sir Arthur Lewis Building, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH

Friday 25 November 2016 12:00 - 13:00

Misspecification testing in spatial autoregressive models

Jungyoon Lee (Royal Holloway, University of London)

SAL LG.03, Lower Ground Floor, Sir Arthur Lewis Building, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH

Friday 18 November 2016 12:00 - 13:00

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

Dongwoo Kim (University College London)

SAL LG.03, Lower Ground Floor, Sir Arthur Lewis Building, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH

Friday 11 November 2016 12:00 - 13:00

A New Approach for Dynamic Event Count Data Models

Namhyun Kim (Exeter University)

SAL LG.03, Lower Ground Floor, Sir Arthur Lewis Building, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH

Friday 04 November 2016 12:00 - 13:00

Partial Independence in Nonseparable Models

Matt Masden (Duke University), joint with Alexandre Poirier

SAL LG.03, Lower Ground Floor, Sir Arthur Lewis Building, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH

Friday 07 October 2016 12:00 - 13:00

Quantile Methods for first-price auctions: a signal approach

Emmanuel Guerre (Queen Mary University of London), joint with Nathalie Gimenes

SAL LG.03, Lower Ground Floor, Sir Arthur Lewis Building, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH

Friday 30 September 2016 12:00 - 13:00

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

Marcelo Moreira (Fundação Getulio Vargas), joint with Humberto Moreira

SAL LG.03, Lower Ground Floor, Sir Arthur Lewis Building, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH

Friday 11 March 2016 12:00 - 13:00

TBA

Valentina Corradi (Exeter University)

ONLINE

Friday 26 February 2016 12:00 - 13:00

TBA

Rajen Shah (University of Cambridge)

ONLINE

Friday 12 February 2016 12:00 - 13:00

The Practice of FX Spot Trading and Competition amongst Liquidity Providers

Roel Oomen (LSE)

ONLINE

Friday 29 January 2016 12:00 - 13:00

TBA

Andrew Harvey (University of Cambridge)

ONLINE

Friday 15 January 2016 12:00 - 13:00

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

Weichi Wu (University College London)

ONLINE

Friday 11 December 2015 12:00 - 13:00

TBA

Denis Nekipelov (University of Virginia)

ONLINE

Friday 04 December 2015 12:00 - 13:00

Data-driven GMM test for parameter instability

Stepana Lazarova (Queen Mary University of London)

ONLINE

Friday 27 November 2015 12:00 - 13:00

Welfare Analysis for Discrete Choice with Interval-Data on Income

Ying-Ying Lee (University of Oxford)

ONLINE

Friday 20 November 2015 12:00 - 13:00

Nonparametric Insturmental Variable Estimation under Monotonicity

Daniel Wilhelm (University College London)

ONLINE

Friday 13 November 2015 12:00 - 13:00

Estimation of Nonlinear Panel Modles with Multiple Unobserved Effects

Mingly Chen (University of Warwick)

ONLINE

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)

ONLINE

Friday 16 October 2015 12:00 - 13:00

Robust Confidence Regions for Incomplete Methods

Hiroaki Kaido (Boston University)

ONLINE

Joint Econometrics and Statistics Workshop