[Forum SIS] Bocconi DEC Seminar Jean-Pierre Florens - March 18th

[anna.simoni a unibocconi.it]

Dear colleagues, 



The Department of Decision Sciences (DEC) of Bocconi University is pleased to invite you to the seminar: 


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DEC Seminar 
Università Bocconi, 
Room 11 
Via Sarfatti 25 - 1st floor 
Time: 12:30pm 

The DEC seminar schedule is available at http://www.unibocconi.eu/statseminar 

Thursday, March 18th 

Jean-Pierre Florens 
(Toulouse School of Economics) 

"Endogeneity in Dynamic Models " 

Abstract: 

We consider models where an explained variable Y is a function of an explanatory variable Z and an unobservable noise U. The variable Z is exogenous if Z and U satisfy some independence condition which characterizes the relation between Y and (Z,U). The variable Z is endogenous if such an independence does not hold and is replaced by an independence condition between U and some other random elements W called instrumental variables. The relation between Y and (Z,U) is then characterized by the independence between W and U which takes the form of an integrated equation and the function to be  estimated is the solution of an ill-posed inverse problem. 
The object of this seminar is to extend this analysis to cases where all the random elements of this problem become stochastic processes. 
In a first step we define an instrumental variable decomposition of semi-martingales where the process Yt,  is decomposed into a predictable process with respect to the explanatory process Zt and an error Ut which satisfies a martingale property  with respect to the instrumental processes. This analysis cover in particular the case of diffusions where the drift only depends on endogenous variables. In a second step we consider models where  the endogenous elements changes through a sequence of stopping times which  transform the process Yt into a process Ut of given distribution and independent of the instruments. Particular examples of this second case are counting processes and general diffusion processes. 
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Sincerely, 
Anna Simoni 

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Anna Simoni 

Assistant Professor 
Department of Decision Sciences 
Università Bocconi 
via Roentgen, 1 
20136 Milano - Italy 

Email:anna.simoni a unibocconi.it 
Webpage: http://faculty.unibocconi.eu/annasimoni/ 

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