Seminar
Past
Inference Based on the Continuously Updating Estimator and the CLR Test
Marcelo Moreira
- Date2 December 2025
- Time 15h30 - 16h50
- Room Auditorium 4
Abstract
This paper highlights the importance of finding all roots for the Continuously Updating Generalized Method of Moments (CU-GMM) estimator and Likelihood Ratio (LR)-based tests. Traditional numerical optimization methods often fail to locate global minima due to the non-convexity of objective functions, leading to inaccurate estimates and tests. The leading example is the Instrumental Variables model. Numerical comparisons show that our method outperforms traditional techniques, especially with many weak instruments. (Joint work with Whitney Newey (MIT) and Mahrad Sharifvaghefi (University of Pittsburgh))
Other seminars
To be announced
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Econometrics and Empirical Economics Seminar
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Date 18 May 2027
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Place Auditorium 4
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Speaker or organiser Andres Santos (University California - Los Angeles)
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To be announced
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Econometrics and Empirical Economics Seminar
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Date 11 May 2027
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Place Auditorium 4
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Speaker or organiser Oscar Volpe (Harvard University)
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To be announced
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Seminar
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Econometrics and Empirical Economics Seminar
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Date 27 April 2027
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Place Auditorium 4
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Speaker or organiser Andreas Fagereng (BI Norwegian Business School)
Details