BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//CREST - ECPv5.1.3//NONSGML v1.0//EN
CALSCALE:GREGORIAN
METHOD:PUBLISH
X-WR-CALNAME:CREST
X-ORIGINAL-URL:https://crest.science
X-WR-CALDESC:Events for CREST
BEGIN:VTIMEZONE
TZID:Europe/Helsinki
BEGIN:DAYLIGHT
TZOFFSETFROM:+0200
TZOFFSETTO:+0300
TZNAME:EEST
DTSTART:20230326T010000
END:DAYLIGHT
BEGIN:STANDARD
TZOFFSETFROM:+0300
TZOFFSETTO:+0200
TZNAME:EET
DTSTART:20231029T010000
END:STANDARD
END:VTIMEZONE
BEGIN:VEVENT
DTSTART;TZID=Europe/Helsinki:20231204T161500
DTEND;TZID=Europe/Helsinki:20231204T173000
DTSTAMP:20260710T232809
CREATED:20231012T043114Z
LAST-MODIFIED:20231201T125840Z
UID:16062-1701706500-1701711000@crest.science
SUMMARY:Jean-Jacques FORNERON (Boston University) - "Occasionally Misspecified"
DESCRIPTION:Paris Econometrics Seminar CREST – PSE – Sciences Po\nTime: 04:15 pm – 05:30 pm\nDate: 4th of  December\nZoom \nJean-Jacques FORNERON (Boston University) – Occasionally Misspecified \nAbstract : When fitting a particular Economic model on a sample of data\, the model may turn out to be heavily misspecified for some observations. This can happen because of unmodelled idiosyncratic events\, such as an abrupt but short-lived change in policy. These outliers can significantly alter estimates and  inferences. A robust estimation is desirable to limit their influence. For skewed data\, this induces  another bias which can also invalidate the estimation and inferences. This paper proposes a robust GMM estimator with a simple bias correction that does not degrade robustness significantly. The paper provides finite-sample robustness bounds\, and asymptotic uniform equivalence with an oracle that  discards all outliers. Consistency and asymptotic normality ensue from that result. An application to the “Price-Puzzle\,” which finds inflation increases when monetary policy tightens\, illustrates the concerns and the method. The proposed estimator finds the intuitive result: tighter monetary policy leads to a decline in inflation.\n \n  \nOrganizers:\nElia Lapenta – CREST/ENSAE\nPhilipp Ketz – CNRS/PSE\nClément de Chaisemartin – Sciences Po \nSponsors:\nCREST \n
URL:https://crest.science/event/jean-jacques-forneron-boston-university-t-b-a/
CATEGORIES:Paris Econometrics Seminar,Seminars
ATTACH;FMTTYPE=:
END:VEVENT
END:VCALENDAR