Econometrics and Statistics Workshop


Lexy Coleman (


Thursday, 1:20-2:50 p.m.


Harper Center HC3B

When possible, links to the workshop papers are posted to this page.

Autumn 2011

Date Topic Speaker, Institution
September 29 "A Self-Tuning Diffusion Map Framework for Use in Document Clustering" Rebecca Nugent, Carnegie Mellon University, Dept. of Statistics
October 6 No Meeting due to Midwest Econometric Conference  
October 13   Daniel Wilhelm, Chicago Booth PhD Student
October 20 "Evaluating Density Forecasts" Barbara Rossi, Duke University, Dept. of Economics
October 27 TBA Lei Lian, Chicago Booth PhD Student
November 3 "Examining Macroeconomic Models through the Lens of Asset Pricing" Lars Hansen, University of Chicago
November 10 "The Three-Pass Regression Filter: A New Approach to Forecasting Using Many Predictors" (joint with Seth Pruitt) Bryan Kelly, Chicago Booth
November 17 "Nonparametric Bounds on Time Series Prediction Risk for Model Evaluation and Selection" Cosma Shalizi, Carnegie Mellon University, Dept. of Statistics
November 24 No meeting due to Thanksgiving holiday  
December 1   Saraswata Chaudhuri, University of North Carolina, Chapel Hill, Dept. of Economics

Spring 2011

Date Topic Speaker, Institution
April 21 "From Statistical Learning to Game-Theoretic Learning"
"Online Learning: Random Averages, Combinatorial Parameters, and Learnability"
Alexander Rakhlin, University of Pennsylvania, Wharton School
April 26 "Parsimonious Bayesian Factor Analysis when the Number of Factors is Unknown" Sylvia Fruehwirth-Schnatter, Johannes Kepler Universität, Linz
May 4 "Sensitivity Analysis in some Econometric Models" Elie Tamer, Northwestern University
May 12 "Discovery and Prediction in Transactional Social Networks"
based on the paper "Mixed-Membership Stochastic Block-Models for Transactional Networks"
Hugh Chipman, Acadia University
May 19 "Estimation of Random Coefficients Logit Demand Models with Interactive Fixed Effects" Roger Moon, University of Southern California, Dornsife College
May 26 "Identification and Estimation in Discrete Choice Demand Models when Endogenous Variables Interact with the Error" Amil Petrin, University of Minnesota
June 2 "Identification of Panel Data Models with Endogenous Censoring" Shakeeb Khan, Duke University

Winter 2011

Date Topic Speaker, Institution
January 13 "Latent Space Models for Networks Using Aggregated Relational Data A Latent Space Representation of Overdispersed Relative Propensity in 'How Many X's Do You Know?' Data" and "How Many People Do You Know?: Efficently Estimating Personal Network Size" Tyler McCormick, Columbia University
January 18 "Towards a Theorical Explanation of Time-Varying Trading"
based on "Towards a Theorical Explanation of Time-Varying Trading" and "What is the Shape of the Risk-Return Relation?"
Alberto Rossi, University of California, San Diego
January 20 "Probability Models for Targeted Borrowing of Information"
based on "Predictor-dependent Shrinkage for Linear Regression via Partial Factor Modeling" and "Testing Cognitive Hierarchy Theories of Beauty Contest Games"
Richard Hahn, Duke University
January 25 "Likelihood-Based Estimation of Volatility and Covariance with High Frequency Financial Data"
based on "High-Frequency Covariance Estimates with Noisy and Asynchronous Financial Data" and "Quasi-Maximum Likelihood Estimation of Volatility with High Frequency Data"
Dacheng Xiu, Princeton University
January 27 "Identification and Estimation of Dynamic Games with Continuous States and Controls" Paul Schrimpf, MIT
February 1 "Identification and Estimation of Gaussian Affine Term Structure Models" Jing (Cynthia) Wu, University of California, San Diego
February 3 "Heteroskedasticity and Spatiotemporal Dependence Robust Inference for Linear Panel Models with Fixed Effects" Min Seong Kim, University of California, San Diego
February 7 "Efficient Bayesian Methods for Hierarchical Clustering"
based on "Bayesian Hierarchical Clustering"
Katherine Heller, University College London
February 10 "Tractable Inference of Probability Densities and Point Processes" with Gaussian Process Priors
based on "Nonparametric Bayesian Density Modeling with Gaussian Processes" and "Tractable Nonparametric Bayesian Inference in Poisson Processes with Gaussian Process Intensities"
Ryan Adams, University of Toronto
February 17 "Non-Homogeneous Spatio-Temporal Random Fields and Reconstruction of Oceanic Records" Bruno Sanso, University of California, Santa Cruz
February 24 "Efficient Estimation of Learning Models" Laurent E. Calvet, HEC Paris and National Bureau of Economic Research
March 3
"Semiparametric Asymmetric Stochastic Volatility"
Mark Jensen, Federal Reserve Bank of Atlanta
March 10 TBA James Scott, University of Texas at Austin
March 16 TBA Justin Tobias, Purdue University

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