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Neil Shephard

@neilshephard.bsky.social
293 followers 173 following 51 posts

Econometrician. Professor of Economics and Professor of Statistics, Harvard University. Frank B. Baird Jr, Professor of Science

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Reposted by Neil Shephard
Amstat-American Statistical Association @amstatnews.bsky.social · 29/09/2026
Last call! Nominations for the 2027 International Prize in Statistics close Oct. 1. #STATSSKY #STATISTICIAN Recognize a breakthrough contribution in statistics or data science: statprize.org/nominations/
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Neil Shephard @neilshephard.bsky.social · 25/09/2026
Thoughtful, data rich article on changes in workload/AI over last 2 years at Harvard College. www.thecrimson.com/article/2026...
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Neil Shephard @neilshephard.bsky.social · 25/09/2026
Harvard Statistics now has a bluesky account: @harvardstats.bsky.social good to follow. Neil.
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Aki Vehtari @avehtari.bsky.social · 11/12/2025
All the material for my Bayesian Data Analysis course is available online, including the lectures, which we re-recorded this fall (some of them by @aloctavodia.bsky.social and Noa Kallioinen while I was on vacation). The video links are listed in the schedule at avehtari.github.io/BDA_course_A...
avehtari.github.io
Bayesian Data Analysis course - Aalto 2025 – Bayesian Data Analysis course
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Neil Shephard @neilshephard.bsky.social · 13/09/2026
When I was at the LSE, Charles came to my office one day and asked me about modeling diurnal volatility patterns in the Olsen data. His questions changed my career as we reinvented SV to think about it and I later did work with Ole E. Barndorff-Nielsen and others on high frequency financial data.
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Neil Shephard @neilshephard.bsky.social · 11/09/2026
Glad Harvard is doing this & thanks to the folk contributing! It makes a big difference. It is important that this continues. Other institutions should rally their friends to generate this kind of action at their universities to support the next generation of scholars & innovators.
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Nuffield College, Oxford @nuffieldcollege.bsky.social · 10/09/2026
Curious what’s behind our gate? This Saturday we’re taking part in #OxfordOpenDoors – you can visit our gardens and buildings and see some of our artwork between 12 and 4pm (last entry 3.45pm) More info at www.oxfordpreservation.org.uk/nuffield-col...
Stone arched gateway with a black wrought-iron gate and red-and-gold crest above, the Nuffield College nameplate on the right, framing a view into a formal courtyard and limestone college buildings beyond.
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Paul Naish @paulnaish.bsky.social · 10/09/2026
Robust, partially alive particle Metropolis-Hastings via The Frankenfilter @amstatnews.bsky.social @tandfresearch.bsky.social #Frankenfilter www.tandfonline.com/doi/full/10....
tandfonline.com
Robust, partially alive particle Metropolis-Hastings via The Frankenfilter
When a hidden Markov model permits the conditional likelihood of an observation given the hidden process to be zero, all particle simulations from one observation time to the next could produce zer...
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Neil Shephard @neilshephard.bsky.social · 11/09/2026
Been looking at Richard Samworth and Rajen Shah's new CUP textbook on modern statistical methods. Really nice selection of topics and pace. www.cambridge.org/core/books/m...
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Yale Department of Economics @yaleeconomics.bsky.social · 10/09/2026
Xiaohong Chen, a renowned scholar who has made fundamental contributions to econometric methods, has been named the Tjalling C. Koopmans Professor of Economics. Read the full announcement here: news.yale.edu/2026/09/08/x...
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Neil Shephard @neilshephard.bsky.social · 09/09/2026
I have a new paper. It is a general paper on filtering with an application to high frequency finance. I would be interested in hearing comments of course. arxiv.org/abs/2609.07207
arxiv.org
Filtering without recursion and some of its uses in financial economics
We develop a filter for time series, defined at each time $t$ as the minimizer of a discounted convex combination of observed and expected losses. The filter can be estimated by simulation to an arbit...
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John Burn-Murdoch @jburnmurdoch.ft.com · 08/09/2026
Two extraordinary charts from today’s PISA test results: 1) School test scores continue to collapse internationally, underscoring how this is no longer a Covid effect but sustained decline. Those falls in reading and maths are equivalent to about two years of lost schooling.
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Annette Gordon-Reed @agordonreed.bsky.social · 07/09/2026
Kenyans Did College Students’ Homework for Years. Then A.I. Arrived. www.nytimes.com/2026/09/05/t...
nytimes.com
Kenyans Did College Students’ Homework for Years. Then A.I. Arrived.
Thousands of Kenyans made a living writing essays for overseas students. With A.I., the work has dried up, a warning for online gig work that has been a global lifeline.
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Hetan Shah @hetanshah.bsky.social · 06/09/2026
‘Last year teenage homicides in the capital fell to their joint lowest level (similar to 2012) in almost 30 years. In 2025 you were twice as likely to be stabbed to death in New York as in London.’ economist.com/britain/2026...
economist.com
London’s approach to knife crime is working
Sadiq Khan has mainstreamed a public-health approach that was previously fringe
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Mine Doğucu @minedogucu.com · 05/09/2026
There are so many turkeys on campus. This is the view from my office earlier today.
Three turkeys roaming around on a lawn in front of a red brick building next to a sidewalk. One of the turkeys has its wings open.
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Neil Shephard @neilshephard.bsky.social · 04/09/2026
The course enrollment numbers at Harvard College are out and led by the famous Econ10. Next is Stat110, Joe Blitzstein's wonderful "Introduction to Probability" course with 520 students. Next comes a course on "Happiness." There are no CS courses in the top 10. Interesting. Congrats Joe!
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Neil Shephard @neilshephard.bsky.social · 03/09/2026
Harvard's Statistics Department is advertising for a tenure track professorship: academicpositions.harvard.edu/postings/16719
academicpositions.harvard.edu
Tenure-Track Professor in Statistics
The Department of Statistics in the Faculty of Arts and Sciences (FAS) of Harvard University seeks to appoint a tenure-track professor in Statistics in the area of statistics and AI, with an expected ...
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Neil Shephard @neilshephard.bsky.social · 03/09/2026
Harvard's Statistics Department is advertising for a tenured professorship: academicpositions.harvard.edu/postings/16720
academicpositions.harvard.edu
Tenured Professor in Statistics
The Department of Statistics in the Faculty of Arts and Sciences (FAS) of Harvard University seeks to appoint a tenured full professor in Statistics in the area of statistics and AI. We seek outstandi...
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ArXiv Paperboy (Stat.ME+Econ.EM) @paperposterbot.bsky.social · 02/09/2026
arXiv📈🤖 Extending Subsampling to Sequential Stopping By Blanchet, Glynn, Yang
Fixed-width sequential stopping rules terminate a stochastic simulation once an estimated confidence interval reaches a prescribed width. Classical fixed-width theory typically relies on a strongly consistent estimator of the asymptotic variance. This makes the normalized stopping time asymptotically deterministic, allowing fixed-sample-size limit theory to be transferred to the estimator at termination. This mechanism can fail when simulation output has infinite variance or long-range dependence. Although self-normalization and subsampling can yield asymptotically valid confidence intervals at a fixed sample size, the scaling process and the stopping time may retain nondegenerate randomness, so fixed-sample-size quantiles need not provide valid coverage at termination. In this paper, we develop a unified framework based on a joint functional limit theorem for the estimation process and a scaling process. We characterize the asymptotic behavior of both the stopping time and the self-normalized estimator evaluated at termination, thereby obtaining asymptotically valid sequential confidence intervals in classical finite-variance and infinite-variance settings. Moreover, we introduce a sequential subsampling procedure that consistently estimates the distribution relevant at the stopping time without directly estimating nuisance parameters in the limit distribution. The framework is verified for heavy-tailed moving-average processes, stochastic approximation, and an M/G/1 queue with heavy-tailed service times.
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Quantitative Economics @qe-editors.bsky.social · 31/08/2026
Correlation in U.S. equities exhibits pervasive diurnal variation: it is low at the open and rises almost linearly toward the close. We develop a nonparametric test for this effect. Correlations also jump after FOMC news and are muted after earnings. buff.ly/OtNsuSP
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Econometrica @ecmaeditors.bsky.social · 31/08/2026
Can ML generate theoretical insight, not just predictions? Our procedures turn predictive models into anomaly generators, producing minimal cases existing theory can't explain. We apply it to revisit choice under risk. @sendhil.bsky.social @asheshrambachan.bsky.social buff.ly/F0ouzAV
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Monique Morrissey @moniquemorrissey.bsky.social · 30/08/2026
Robert Skidelsky, Definitive Biographer of Keynes, Dies at 86 www.nytimes.com/2026/08/25/b...
nytimes.com
Robert Skidelsky, Definitive Biographer of Keynes, Dies at 86
An economic historian and political maverick, he was a sometimes polarizing public intellectual and a member of the House of Lords.
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Financial Times @financialtimes.com · 28/08/2026
Former IMF deputy Gita Gopinath: ‘It’s straight-out protectionism’ ft.trib.al/d5m8XTE
ft.trib.al
Former IMF deputy Gita Gopinath: ‘It’s straight-out protectionism’
The economist on Trump’s tariffs, looming threats to the dollar — and why we’re living through a ‘great gamble’
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Warwick Statistics @warwickstats.bsky.social · 28/08/2026
📣 We are recruiting! A 26-month postdoctoral position at Warwick as part of the “Probabilistic Artificial Intelligence” hub on the mathematical foundations of AI. 🔗 Further details available here: warwick-careers.tal.... Closing date: Sunday 6th September 2026 at 11:55pm (UK Time)
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ArXiv Paperboy (Stat.ME+Econ.EM) @paperposterbot.bsky.social · 19/08/2026
arXiv📈🤖 The Limits of Experimental Design: Covariate Balance Beyond Low Dimension By Cytrynbaum
We study how fast experimental designs can approach the semiparametric efficiency bound in finite samples, as measured by the excess variance of unadjusted treatment effect estimation. We prove an impossibility theorem: under weak conditions, no design can approach the variance bound uniformly over smooth outcome models unless covariate dimension $d \ll \log n$. Even in experiments with thousands of units, this permits only a handful of covariates. Motivated by this, we propose new designs based on discrepancy minimization that instead attempt to control imbalances over restricted-complexity nonparametric function classes. Such designs achieve fast rates to their corresponding restricted efficiency targets, permitting $d \ll n$ covariates in an additive nonparametric specification. They can also be combined with matching to protect against unmodeled outcome variation. In simulations calibrated to 12 published experiments, our designs reduce variance relative to matched pairs randomization in every empirical setting.
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The Harvard Crimson @theharvardcrimson.bsky.social · 13/08/2026
#BREAKING: A district judge dismissed the Trump administration's antisemitism suit against Harvard Thursday, finding the discrimination cited was "too isolated and episodic" to violate civil rights law. Hugo C. Chiasson and Elise A. Spenner report. www.thecrimson.com/article/2026...
thecrimson.com
Federal Judge Dismisses Trump Administration Antisemitism Lawsuit Against Harvard | News | The Harvard Crimson
A district court judge dismissed the Trump administration’s antisemitism lawsuit against Harvard on Thursday, concluding that the discrimination pointed to by the government was “too isolated and…
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Erzo F.P. Luttmer @erzoluttmer.bsky.social · 09/08/2026
1/5 AEA journals have run a pilot using Refine, and author reactions were overwhelmingly positive: >90% favored incorporating Refine into the editorial process. Think of Refine not as a referee, but as a detailed technical proofreader. @aeajournals.bsky.social #EconSky
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Alex Coppock @aecoppock.bsky.social · 12/08/2026
Northwestern is hiring in quant methods (assistant level, tenure track) Please repost and share with those you think would be good candidates, thank you! polisci.northwestern.edu/about/facult... #psjobs #psjminfo #poliscijobs
Assistant Professor of Quantitative Political Methodology (Tenure-Track)
The Department of Political Science at Northwestern University invites applications for a full-time position in Quantitative Political Methodology at the rank of Assistant Professor, tenure-track, to begin Fall 2027. We emphasize methodology with a strongly applied perspective: successful candidates will maintain an active, independent research program that includes methodological contributions in their own right, while also teaching quantitative research methods courses at the undergraduate and graduate levels and applying those methods to substantive questions in their area of expertise. We are especially interested in candidates whose work bridges data-driven/computational approaches with design-based inference, though we welcome applicants making cutting-edge contributions in either of these traditions or in other areas of political methodology. Successful candidates' substantive research agendas may be in any area of political science or may cross boundaries; as with all Northwestern faculty, successful candidates will be expected to provide service to the department, the university, and the profession.Aerial photo of Northwestern's beautiful lakeside campus with political science's new building circled
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Neil Shephard @neilshephard.bsky.social · 12/08/2026
This seems to me a big step forward. I recently "finished" a new paper and put it through refine.ink. I thought the resulting 14 page report was as good as any referee report I have ever got back and it appeared in about 20 minutes. I hope all econometrics (and statistics) journals will follow.
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Amstat-American Statistical Association @amstatnews.bsky.social · 12/08/2026
Nominations are still open for the 2027 International Prize in Statistics. Help recognize influential contributions that have advanced statistics and data science. Deadline: Oct. 1 statprize.org/nominations/
Nominate a colleague for the International Prize in Statistics. The logo is a histogram surrounded by a laurel wreath
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Association of Cricket Statisticians & Historians @acscricket.bsky.social · 04/08/2026
The latest edition of ‘The Cricket Statistician’ is now out: Issue No215 dated August 2026, edited on behalf of #ACScricket by Russ Houldin including fine articles by Ollie Randall, Steven Swain, Chris O’Brien, Michael Pulford, Stephen Blades & others. #cricketcounts
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Our World in Data @ourworldindata.org · 04/08/2026
Cereal yields have increased in all regions, but Africa lags behind. Improved crop yields have allowed the world to feed billions more people while sparing forests and other land from agriculture. Global yields of cereal crops have tripled since 1961.
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Paul Goldsmith-Pinkham @paulgp.com · 30/07/2026
New post! open.substack.com/pub/paulgp/p...
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Mine Doğucu @minedogucu.com · 22/07/2026
Neither of my grandmothers could read or write. Economic hardship forced my mother out of high school & my father out of middle school. To now join the Harvard faculty is a surreal turn of events for me. I am forever grateful for my family’s hard work and sacrifices. I hope my mom is watching this.
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Rob Calver @robcalver.bsky.social · 10/07/2026
I was delighted to hear that Raquel Prado, Marco Ferreira, and Mike West have won the DeGroot Prize 2025 for their excellent #timeseries textbook. Thoroughly deserved award, and couldn't have happened to a nicer set of authors! 😊 stat.duke.edu/news/mike-we... #Bayesian @isba-bayesian.bsky.social
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Patrick Allies @patrickallies.bsky.social · 16/07/2026
My (brilliant) wife has written about our (annoying but admittedly worthwhile) parenting spreadsheet
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Andrew Gelman et al. @statmodeling.bsky.social · 16/07/2026
Reviews of our Bayesian Workflow book from Bin Yu, David Spiegelhalter, Brad Efron, Christian Robert, Rohan Alexander, and Mine Doğucu! statmodeling.stat.columbia.edu/2026/07/16/r...
statmodeling.stat.columbia.edu
Reviews of our Bayesian Workflow book from Bin Yu, David Spiegelhalter, Brad Efron, Christian Robert, Rohan Alexander, and Mine Doğucu! | Statistical Modeling, Causal Inference, and Social Science
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Institute for Quantitative Social Science @ Harvard @iqss.bsky.social · 16/07/2026
Harvard, and IQSS in particular, ranks #1 globally in @nature.com's social science research index. As Harvard’s hub for the social sciences, IQSS—and the Murray Research Archive at IQSS—is proud to play a central role in supporting and driving that research. www.nature.com/nature-index...
nature.com
Nature Index 2025: The world’s top 10 institutions for social-sciences research
American institutions lead the way in this newly added Nature Index subject.
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Al Roth @alroth.bsky.social · 16/07/2026
General Montague names the benefits of soldiers studying at top universities, despite new government bans. the current administration's war on universities is misguided, while universities don't appreciate the benefits of soldier/scholars. #academicsky marketdesigner.blogspot.com/2026/07/harv...
marketdesigner.blogspot.com
Harvard grad and Army general regrets restrictions on sending service members to top universities
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Mine Doğucu @minedogucu.com · 10/07/2026
New course prep is officially underway for Fall! 🍁 I am incredibly excited to be teaching STAT 100: Introduction to Statistics and Data Science this coming Fall 2026 at Harvard. Teaching intro courses are always a joyful challenge.
A hex logo with a heavy black border, split horizontally by a white zigzag line chart featuring four hollow crimson data points. The top half is solid black with the bold white text "STAT 100", and the bottom half is solid crimson with the white text "Introduction to Statistics and Data Science".
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Scott Kominers @skominers.bsky.social · 16/12/2024
Ultra-honored to be part of this @jmechinstdesign.bsky.social special issue commemorating economics ubermensch @vincecrawford.bsky.social, QED 🙏🙌
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Neil Shephard @neilshephard.bsky.social · 01/07/2026
Thanks Mikkel for doing this job, the journal is lucky to have you.
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Michael Clemens @mclem.org · 30/06/2026
The great economist Alberto Alesina passed away unexpectedly six years ago. The next day, his former PhD student @sethsd.bsky.social posted an explanation for Alesina's incandescence as a scholar and mentor. I've thought about his words many times over the years. medium.com/@sethstephen...
I concluded that the parts of the mind that in most people are devoted to trouble — the parts that hold grudges, worry needlessly, or explore narrow paths heading towards dead ends — were missing in Alberto’s mind. His brain, as best I could tell, was entirely devoted to stuff that mattered: having creative insights on fundamental topics and making and enjoying wonderful relationships. Alberto showed us all you can do in a life when you clear the cobwebs that waste a good portion of most people’s mental space.
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Neil Shephard @neilshephard.bsky.social · 29/06/2026
Harvard put together a website about the connection between Harvard and the American Revolution. www.harvard.edu/in-focus/177...
harvard.edu
1776 at Harvard - Harvard University
From training the leaders of the burgeoning nation to housing soldiers during the American Revolution, Harvard played an important role in early America.
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Nuffield College, Oxford @nuffieldcollege.bsky.social · 23/06/2026
Congratulations to Nuffield College Professorial Fellows Barbara Petrongolo and Martin Weidner on being awarded prestigious European Research Council (ERC) Advanced Grants. #nuffsky #NuffieldCollege #EconomicsResearch Read more: www.nuffield.ox.ac.uk/news-events/... (1/3)
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Neil Shephard @neilshephard.bsky.social · 22/06/2026
I continue to be impressed by the Rousseeuw Prize for Statistics, focusing on important innovations, rather than always trying to tease out individuals. Here it is given to the R project. Particular shout out to Brian Ripley whose contribution to the statistical commons was massive.
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Neil Shephard @neilshephard.bsky.social · 18/06/2026
Congratulations to Peter Hennessy, becoming a Knight of the Garter, in the U.K., probably the highest honour in the U.K.. A good person. hansard.parliament.uk/lords/2026-0... www.qmul.ac.uk/news/latest-...
qmul.ac.uk
Queen Mary academic Professor Peter Hennessy appointed to Order of the Garter by King Charles
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Cancer Research UK @cancerresearchuk.org · 18/06/2026
Amazing news! Cervical cancer deaths in younger women have plummeted in England following the rollout of the HPV vaccine, according to new research, published today in The Lancet. Read more: cruk.ink/4ozraO5
Pink graphic with black and white text which reads: “For the first time ever, no women in their early 20s have died from cervical cancer in a five year period in England.”
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Aki Vehtari @avehtari.bsky.social · 05/06/2026
You can find a 20% discount code in our Bayesian Workflow book website avehtari.github.io/Bayesian-Wor...
avehtari.github.io
Bayesian Workflow book: Website – Bayesian Workflow book
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Neil Shephard @neilshephard.bsky.social · 02/06/2026
Nice article from Steven Pinker about data and historical context of progress. www.thecrimson.com/article/2026...
thecrimson.com
Reflections on Half a Century of Progress | Opinion | The Harvard Crimson
For all the crises and doomers and existential threats that may darken graduation day, it’s good to recall that past graduation days were darkened by crises that were as bad or worse. Still, those gra...
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