Event

Inference on Winners

  • Wed 2 Nov 22

    15:00 - 16:30

  • Online

    Contact Organiser for Passcode

  • Event speaker

    Professor Adam McCloskey, University of Colorado, Boulder

  • Event type

    Lectures, talks and seminars
    Essex Centre for Macro and Financial Econometrics (ECMFE) Research Seminar series

  • Event organiser

    Essex Business School

  • Contact details

    Professor Robert Taylor

The Essex Centre for Macro and Financial Econometrics brings together academic and industry expertise from inside and outside the University of Essex to research and help solve important issues in financial markets.

Seminar abstract

Many empirical questions concern target parameters selected through optimization. For example, researchers may be interested in the effectiveness of the best policy found in a randomized trial, or the best-performing investment strategy based on historical data. Such settings give rise to a winner's curse, where conventional estimates are biased and conventional confidence intervals are unreliable. This paper develops optimal confidence intervals and median-unbiased estimators that are valid conditional on the target selected and so overcome this winner's curse. If one requires validity only on average over targets that might have been selected, we develop hybrid procedures that combine conditional and projection confidence intervals to offer further performance gains relative to existing alternatives.

 

How to attend this seminar

This seminar will be held online and is free to attend although entry is passcode protect.

We ask that you contact the organiser Professor Robert Taylor for details on how to join.

 

Speaker bio

 Professor Adam McClockey

Adam McCloskey is an econometrician specializing in nonstandard inference problems across many subfields of econometrics. He is an Assistant Professor of economics at the University of Colorado, Boulder and received his PhD in Economics from Boston University in 2011.

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