Sumários
Econometrics Seminar
17 Novembro 2025, 16:45 • Cristina Requejo
This class took place on the 29th October in the classroom Anfiteatro 4 (Quelhas, n.º 6), where students attended a seminar from the
Research Seminar Series in Mathematics Applied to Economics and Management
and
ISEG Research Seminar Series
Title of the Presentation
Bootstrapping GMM tests for an unknown threshold
Speaker: Otilia Boldea, University of Tilburg
Abstract: Violation of the assumptions underlying classical (Gaussian) limit theory frequently leads to unreliable statistical inference. This paper shows the novel result that the bootstrap can detect such violation by means of simple and powerful tests which (a) induce no pre-testing bias, (b) can be performed using the same critical values in a broad range of applications, and (c) are consistent against deviations from asymptotic normality. By focusing on the discrepancy between the conditional distribution of a bootstrap statistic and the (limiting) Gaussian distribution which obtains under valid specification, we show how to assess whether this discrepancy is large enough to indicate specification invalidity. The method, which is computationally straightforward, only requires to measure the discrepancy between the bootstrap and the Gaussian distributions based on a sample of i.i.d. draws of the bootstrap statistic. We derive sufficient conditions for the randomness in the data to mix with the randomness in the bootstrap repetitions in a way such that (a), (b) and (c) above hold. To demonstrate the practical relevance and broad applicability of our diagnostic procedure, we discuss five scenarios where the asymptotic Gaussian approximation may fail: (i) weak instruments in instrumental variable regression; (ii) non-stationarity in autoregressive time series; (iii) parameters near or at the boundary of the parameter space; (iv) infinite variance innovations in a location model for i.i.d. data; (v) invalidity of the delta method due to (near-)rank deficiency in the implied Jacobian matrix. An illustration drawn from the empirical macroeconomic literature concludes.
Statistics and Actuarial Sciences Seminar
10 Novembro 2025, 16:45 • Cristina Requejo
Title of the presentation: Firm's response to adverse events: risk management or market exit?
Speaker: Carlos Oliveira (ISEG e CEMAPRE, Universidade de Lisboa)
Abstract: We consider a firm that may face sudden decreases in its revenue. Its revenue is modeled by a geometric Brownian motion, and the occurrence of adverse events is modeled by a Poisson process. The firm has two options: either to leave the market immediately or to invest in risk mitigation measures to reduce the negative impact on the revenue. After the investment occurs, the firm can still leave the market. The firm’s option value is modeled as an optimal stopping problem. We prove that the optimal strategy is characterized by a disconnected stopping region.
Analysis and Financial Mathematics Seminar
3 Novembro 2025, 16:45 • Cristina Requejo
(joint work with Bruno Gonçalves (Univ. Porto) and Isabel Labouriau (Univ. Porto))
Analysis and Financial Mathematics Seminar
27 Outubro 2025, 16:45 • Cristina Requejo
Title of the presentation: Heteroclinic Networks in Coupled Cell Systems
Speaker: Pedro Soares (ISEG and CEMAPRE, Universidade de Lisboa)
Abstract: In this talk, we explore the realization of heteroclinic networks within the framework of coupled cell systems. Coupled cell systems are a class of dynamical systems that model interactions between individual units (cells) according to a given network. These systems can exhibit robust patterns of synchrony, where subsets of cells behave identically over time. A heteroclinic network, on the other hand, is a dynamic phenomenon formed by saddle equilibria connected by trajectories. In general, heteroclinic networks break as the dynamical system is perturbed. We will see two different methods to robustly realize heteroclinic networks using coupled cell systems. Some future directions will also be discussed.