6 papers
Inference on effect size after multiple hypothesis testing
Andreas Dzemski, Ryo Okui, Wenjie Wang
Significant treatment effects are often emphasized when interpreting and summarizing empirical findings in studies that estimate multiple, possibly many, treatment effects. Under t…
Location Characteristics of Conditional Selective Confidence Intervals via Polyhedral Methods
Andreas Dzemski, Ryo Okui, Wenjie Wang
We examine the location properties of a conditional selective confidence interval constructed via the polyhedral method. The interval is derived from the distribution of a test sta…
Agent Trading Arena: A Study on Numerical Understanding in LLM-Based Agents
Tianmi Ma, Jiawei Du, Wenxin Huang +4
Large language models (LLMs) have demonstrated remarkable capabilities in natural language tasks, yet their performance in dynamic, real-world financial environments remains undere…
Heterogeneous Quantile Treatment Effect Estimation for Longitudinal Data with High-Dimensional Confounding
Zhixin Qiu, Huichen Zhu, Wenjie Wang +1
Causal inference plays a fundamental role in various real-world applications. However, in the motivating non-small cell lung cancer (NSCLC) study, it is challenging to estimate the…
Electricity Market Predictability: Virtues of Machine Learning and Links to the Macroeconomy
Jinbo Cai, Wenze Li, Wenjie Wang
With stakeholder-level in-market data, we conduct a comparative analysis of machine learning (ML) for forecasting electricity prices in Singapore, spanning 15 individual models and…
Robust Inference with High-Dimensional Instruments
Qu Feng, Sombut Jaidee, Wenjie Wang
We propose a weak-identification-robust test for linear instrumental variable (IV) regressions with high-dimensional instruments, whose number is allowed to exceed the sample size.…