Statistics Seminar by Fabian Mies

14:30 - "Projection inference for high-dimensional covariance matrices" - 
 

Fabian Mies (TU Delft) 

Projection inference for high-dimensional covariance matrices 

Abstract: 
Analyzing large samples of high-dimensional data under dependence is a challenging statistical problem as long time series may have change points, most importantly in the mean and the marginal covariances, for which one needs valid tests. Inference for large covariance matrices is especially difficult due to noise accumulation, resulting in singular estimates and poor power of related tests. The singularity of the sample covariance matrix in high dimensions can be overcome by considering a linear combination with a regular, more structured target matrix. This approach is known as shrinkage, and the target matrix is typically of diagonal form. In this paper, we consider covariance shrinkage towards structured nonparametric estimators of the bandable or Toeplitz type, respectively, aiming at improved estimation accuracy and statistical power of tests even under nonstationarity. We derive feasible Gaussian approximation results for bilinear projections of the shrinkage estimators which are valid under nonstationarity and dependence. These approximations especially enable us to formulate a statistical test for structural breaks in the marginal covariance structure of high-dimensional time series without restrictions on the dimension, and which is robust against nonstationarity of nuisance parameters.

IRES Lunch Seminar - Filippo Manfredini

Filippo Manfredini

(IRES/LIDAM, UCLouvain)

will give a presentation on 

Universities and Growth in pre-Industrial England 

Abstract

Oxford and Cambridge were enduring institutions of pre-industrial England, shaping the nation’s economic and intellectual landscape. This paper uses newly assembled microdata on English university scholars to trace the evolution of the human capital market between 1300 and 1800. For the first time, the supply of a key production factor in the pre-industrial period is observable at the micro level. I develop a dynamic, microfounded theory of universities, where human capital transmission is influenced by peer effects. Expanding university enrollment reduces average peer quality, as marginal students have lower academic ability. This dampens growth unless offset by innovations (e.g. the printing press). The model is estimated to provide novel estimates of English total factor and academic productivity, alongside estimates of deep parameters driving human capital formation. These findings shed new light on the economic dynamics underpinning England’s growth path leading to the Industrial Revolution.
 

UCLouvain Economics Seminar - Stelios Michalopoulos

Stelios Michalopoulos

(Brown University)

will give a presentation on 

Uprooted: Human Capital and the Asia Minor Catastrophe 

Abstract

More than a century has passed since the abrupt exodus of 1.2 million Greek Orthodox from Anatolia and their arrival in Greece, a transformative event for the country’s social and demographic landscape. Today, one in three Greeks reports a refugee background. While its historical significance is well-documented, its short-, medium-, and long-term impact on human capital accumulation remains unexplored. How did forced displacement shape the educational trajectories of the uprooted and their offspring? Did refugees invest in portable skills to respond to uncertainty, or did they struggle to catch up with the autochthonous? To address these questions, we trace the educational investments of refugees and their descendants over the last 100 years, leveraging granular census data and a comprehensive mapping of both their origins in Anatolia and settlements in Greece. The analysis provides compelling support for the uprootedness hypothesis. Though initially lagging, refugees settling in the Greek countryside eventually surpassed nearby natives' educational attainment. Their university choices also diverged with refugees’ lineages favoring degrees transferable beyond the Greek labor market, such as engineering and medicine, and natives specializing in law and other fields with a strong home bias. Exploring additional mechanisms reveals the critical role of linguistic barriers and economic conditions at the destination, as opposed to origin and background characteristics. The widespread educational gains of refugees and their descendants over three generations offer some hope that the ongoing surge of forced displacement, despite its tragedy, if properly addressed by the international community, can be a backbone of economic resilience for the affected communities."
 

joint with Elias Papaioannou, Seyuhn Sakalli, Elie Murard

Statistics Seminar by Joshua Loftus

Abstract coming soon

IRES Lunch Seminar - Michel De Vroey

Michel De Vroey

(IRES/LIDAM, UCLouvain)

will give a presentation on 

What has changed in Economics over the last half-century?

Abstract