Marcelo Moreira - FGV/EPGE
Inference based on the Continuously Updating Estimator and the Conditional Likelihood Ratio Test
Date: 10/10/2024 (Thu)
Time: 3:30pm- 5:00pm
Location: Seminar will be held on-site: Social Sciences room 113
Organizer: Adam Rosen
Meeting Schedule: Login or email the organizer to schedule a meeting.
All meetings will be in Social Sciences 228G unless otherwise noted.
8:45am - Alex Belloni will pick-up from 21C hotel.
10:00am - Rafael Dix-Carneiro
10:30am - Muyang Ren
11:30am - Adam Rosen
12:00pm - Lunch with Adam, Muyang...
12:30pm - lunch
1:00pm - lunch
1:30pm - Gianna Fenaroli and Haonan Ye
2:00pm - Anna Bykhovskaya
2:30pm - Michael Pollmann
3:00pm - Break before the seminar
3:30pm - Seminar Presentation (3:30pm to 5:00pm)
4:00pm - seminar
4:30pm - seminar
6:00pm - Dinner at Cucciolo Osteria with Adam, Anna, ...
Additional Comments: 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 test results. 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 (Pittsburgh)