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03/02/2022
A Modern Gauss-Markov Theorem? Really?
We show that the theorems in Hansen (2021a) (the version accepted by Eco...
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06/07/2021
Superconsistency of tests in high dimensions
To assess whether there is some signal in a big database, aggregate test...
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04/26/2021
Valid Heteroskedasticity Robust Testing
Tests based on heteroskedasticity robust standard errors are an importan...
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03/20/2021
Consistency of p-norm based tests in high dimensions: characterization, monotonicity, domination
Many commonly used test statistics are based on a norm measuring the evi...
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05/19/2020
Treatment recommendation with distributional targets
We study the problem of a decision maker who must provide the best possi...
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05/08/2020
How Reliable are Bootstrap-based Heteroskedasticity Robust Tests?
We develop theoretical finite-sample results concerning the size of wild...
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01/29/2020
Functional Sequential Treatment Allocation with Covariates
We consider a multi-armed bandit problem with covariates. Given a realiz...
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12/27/2018