STICERD Econometrics Seminar Series

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.

STICERD Econometrics seminars are held on Thursdays in term time at 14.00-15.30, ONLINE, unless specified otherwise.

Seminar organisers: Professor Tai Otsu and Dr. Vassilis Hajivassiliou.

For further information please contact Sadia Ali: s.ali43@lse.ac.uk.

Please use this link to subscribe or unsubscribe to STICERD Econometrics mailing list (emetrics).

Thursday 23 March 2023 14:00 - 15:30

What Information Theory Brings to Modelling and Inference with Complex Data

The available information is usually too complex, insufficient and imperfect to deliver a unique solution for most economic modelling and inference problems. Information Theory within a constrained optimization setup pro...Read more...

Amos Golan (American University)

This event is both online and in person

SAL 3.05, 3rd Floor Conference Room, Sir Arthur Lewis Building, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH

Thursday 16 March 2023 14:00 - 15:30

Estimating Matching Games with Profit and Price Data

Empirical methods for transferable-utility matching games have previously been developed using the key outcome of the matches formed in equilibrium. We explore identification and estimation of match production functions ...Read more...

Jeremy Fox (Rice University), joint with Amir Kazempour (Rice University) and Xun Tang (Rice University)

This event is both online and in person

SAL 3.05, 3rd Floor Conference Room, Sir Arthur Lewis Building, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH

Thursday 09 March 2023 14:00 - 15:30

Contamination Bias in Linear Regressions

We study regressions with multiple treatments and a set of controls that is flexible enough to purge omitted variable bias. We show these regressions generally fail to estimate convex averages of heterogeneous treatment ...Read more...

Michal Kolesár (Princeton), joint with Paul Goldsmith-Pinkham (Yale) and Peter Hull (Brown)

This event is both online and in person

SAL 3.05, 3rd Floor Conference Room, Sir Arthur Lewis Building, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH

Thursday 02 March 2023 14:00 - 15:30

Uniform and distribution-free inference with general autoregressive processes

A unified theory of estimation and inference is developed for an autoregressive process with root in (-∞, ∞) that includes the stable, unstable, explosive and all intermediate regions. The discontinuity of th...Read more...

Katerina Petrova (Pompeu Fabra University)

This event is both online and in person

SAL 3.05, 3rd Floor Conference Room, Sir Arthur Lewis Building, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH

Thursday 08 December 2022 14:00 - 15:30

Peer Effects in Random Consideration Sets

We develop a dynamic model of discrete choice that incorporates peer effects into random consideration sets. We characterize the equilibrium behavior and study the empirical content of the model. In our setup, changes in...Read more...

Nail Kashaev (Western Ontario), joint with Natalia Lazzati

This event is both online and in person

SAL 3.05, 3rd Floor Conference Room, Sir Arthur Lewis Building, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH

Thursday 01 December 2022 14:00 - 15:30

Noisy, Non-Smooth, Non-Convex Estimation of Moment Condition Models

A practical challenge for structural estimations is the requirement to minimize a sample objective function which is often non-smooth, non-convex, or both. This paper proposes a simple algorithm designed to find accurate...Read more...

Jean-Jacques Forneron (Boston)

This event is both online and in person

SAL 3.05, 3rd Floor Conference Room, Sir Arthur Lewis Building, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH

Thursday 24 November 2022 14:00 - 15:30

Relaxing Strict Exogeneity in Nonlinear Panel Data Models

We study nonlinear panel data models under the assumption that covariates are predetermined. Relaxing strict exogeneity is important in many applications. Our characterization yields novel moment conditions on parameters...Read more...

Stephane Bonhomme (University of Chicago), joint with Bryan Graham and Kevin Dano

This event is both online and in person

SAL 3.05, 3rd Floor Conference Room, Sir Arthur Lewis Building, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH

Thursday 17 November 2022 14:00 - 15:30

Specification Testing for Conditional Moment Restrictions Under Local Identification Failure

In this paper, we study the asymptotic behaviour of the specification in conditional moment restrictions model under first-order local identification failure with dependent data. More specifically, we obtain conditions u...Read more...

Nikolay Gospodinov (Federal Reserve Bank of Atlanta), joint with Prosper Dovonon

SAL 3.05, 3rd Floor Conference Room, Sir Arthur Lewis Building, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH

Thursday 10 November 2022 14:00 - 15:30

Identification and Estimation of Network Models with Nonparametric Unobserved Heterogeneity

Homophily based on observables is widespread in networks. Therefore, homophily based on unobservables (fixed effects) is also likely to be an important determinant of the interaction outcomes. Failing to properly account...Read more...

Andrei Zeleneev (UCL)

This event is both online and in person

SAL 3.05, 3rd Floor Conference Room, Sir Arthur Lewis Building, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH

Thursday 03 November 2022 14:00 - 15:30

Simulated Maximum Likelihood Estimation of Large Games using Scenarios

This paper introduces a new simulation algorithm for evaluating the log-likelihood and score functions associated with a class of supermodular complete information discrete games. The algorithm allows for payoff function...Read more...

Bryan Graham (UC Berkeley & NYU), joint with Andrin Pelican

This event is both online and in person

SAL 3.05, 3rd Floor Conference Room, Sir Arthur Lewis Building, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH

Thursday 16 June 2022 14:00 - 15:30

How Biased are Observational Methods in Practice? Accumulating Evidence Using Randomised Controlled Trials with Imperfect Compliance

Bagged value-at-risk forecast combination

Recent developments in financial econometrics literature on joint scoring functions for Value-at-Risk and Expected Shortfall allowed for consistent implementation of statistical tests based on the Model Confidence Set (M...Read more...

Ekaterina Kazak (University of Manchester)

This event is both online and in person

SAL 3.05, 3rd Floor Conference Room, Sir Arthur Lewis Building, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH

Thursday 19 May 2022 14:00 - 15:30

On Local Projection Based Inference

This Montiel Olea and Plagborg-Møller (2021) recently propose robust confidence intervals for impulse responses based on the lag-augmented local projection regression, under the full mean independence assumption on the s...Read more...

Keli Xu (Indiana University)

This event is both online and in person

SAL 3.05, 3rd Floor Conference Room, Sir Arthur Lewis Building, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH

Thursday 12 May 2022 14:00 - 15:30

Robust Estimation and Inference in Panels with Interactive Fixed Effects

Slow Movers in Panel Data

This Panel data often contain stayers (units with no within-variations) and slow movers (units with little within-variations). In the presence of many slow movers, conventional econometric methods can fail to work. We pr...Read more...

Takuya Ura (UC Davis), joint with Yuya Sasaki

ONLINE

Thursday 17 March 2022 14:00 - 15:30

Moment Conditions for Dynamic Panel Logit Models with Fixed Effects

This paper builds on Bonhomme (2012) to develop a method to systematically construct moment conditions for dynamic panel data logit models with fixed effects. After introducing the moment conditions obtained in this way,...Read more...

Martin Weidner (USC), joint with Bo Honore

This event is both online and in person

ONLINE

Thursday 10 March 2022 14:00 - 15:30

High Dimensional Forecast Combinations Under Latent Structures

This paper presents a novel high dimensional forecast combination estimator in the presence of many forecasts and potential latent group structures. The new algorithm, which we call l2-relaxation, minimizes the squared l...Read more...

Zhentao Shi (Georgia Institute of Technology), joint with Liangjun Su and Tian Xie

ONLINE

Thursday 24 February 2022 14:00 - 15:30

TBC

We provide a decision theoretic analysis of bandit experiments. The bandit setting corresponds to a dynamic programming problem, but solving this directly is typically infeasible. Working within the framework of diffusio...Read more...

Karun Adusumilli (University of Pennsylvania)

ONLINE

Thursday 09 December 2021 14:00 - 15:30

Inference in Regression Discontinuity Designs with High-Dimensional Covariates

We study regression discontinuity designs in which many covariates, possibly much more than the number of observations, are available. In such settings, it is not feasible to feed all covariates in a standard procedure f...Read more...

Alexander Kreiss (LSE), joint with Christoph Rothe (University of Mannheim)

ONLINE

Thursday 02 December 2021 14:00 - 15:30

Standard Errors for Two-Way Clustering with Serially Correlated Time Effects

We propose improved standard errors and an asymptotic distribution theory for two-way clustered panels. Our proposed estimator and theory allow for arbitrary serial dependence in the common time effects, which is exclude...Read more...

Harold Chiang (University of Wisconsin-Madison University o fWisconsin-Madison)

ONLINE

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