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Why It Matters
Short observational pricing panels can contain many observations while offering only a small number of distinct price movements.
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Discovered via ArXiv and published by ArXiv.
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Original description
Short observational pricing panels can contain many observations while offering only a small number of distinct price movements. This paper studies the inferential consequences of that distinction in a synthetic data-generating process calibrated to a sparse pricing regime. We separate uncertainty conditional on a realised price trajectory from variation in estimation error across alternative trajectories generated by the same pricing process. In the baseline simulations, the latter component accounts for 97.6% of the variance of estimation error for the gradient-boosted specification. Within-...
Discovered via ArXiv
Research papers and preprints from arXiv.
Publisher: arxiv.org
ID: http://arxiv.org/abs/2608.21334v1 · Indexed 22 days ago