9 papers
Breakdown Reliability for Saturated Fixed-Effect Inference
Stanisław M. S. Halkiewicz
Fixed-effect saturation does not itself distort conventional inference, but classical measurement error does. Under a local noise drift , the FE-OLS -statistic conv…
Exact Inference in Fixed-Effect Regressions with Concentrated Identifying Variation
Stanisław M. S. Halkiewicz
In fixed-effect regressions with many groups, fixed effects can absorb most identifying variation, leaving a handful of observations to carry what remains. When variation is this c…
Variance Estimation for Saturated Fixed-Effect Specifications
Stanisław M. S. Halkiewicz
We characterize the asymptotic behavior of conventional variance estimators in linear regression with high-dimensional fixed effects under a drift in which both the proportional fi…
Rolling-Origin Conformal Prediction under Local Stationarity and Weak Dependence
Stanisław M. S. Halkiewicz
We propose and analyse rolling-origin conformal prediction for time-series forecasting. The method calibrates the conformal quantile against the most recent pseudo-out-of-sampl…
Split-Twin Extensions Preserving Seymour Vertices
Stanisław M. S. Halkiewicz
The Second Neighborhood Conjecture of Seymour asserts that every oriented graph contains a vertex~ satisfying $|\Npp(v)|\ge|\Np(v)|$. We introduce \emph{Pisa graphs} -- strongly…
Testing the Significance of the Difference-in-Differences Coefficient via Doubly Randomised Inference
Stanisław Marek Sergiusz Halkiewicz, Andrzej Kałuża
This article develops a significance test for the Difference-in-Differences (DiD) estimator based on dual-margin randomization, in which both the treatment and time indicators are…
The Omniscient, yet Lazy, Investor
Stanisław M. S. Halkiewicz
We formalize the paradox of an omniscient yet lazy investor - a perfectly informed agent who trades infrequently due to execution or computational frictions. Starting from a determ…
NA-DiD: Extending Difference-in-Differences with Capabilities
Stanisław M. S. Halkiewicz
This paper introduces the Non-Additive Difference-in-Differences (NA-DiD) framework, which extends classical DiD by incorporating non-additive measures the Choquet integral for eff…
Compatibility and Exclusivity of Loss Functions under Statistical Optimality
Stanisław M. S. Halkiewicz
In applications a loss is usually chosen from a family, like a quantile level, a robustness threshold or a surrogate margin loss. In this paper, we ask which of these choices chang…