arXane › Economics › Economics
Wednesday, 4 November 2026: 1 new paper, 3 cross-lists and 7 replacements in Econometrics (econ.EM), in arXiv's order, with full abstracts. The same papers as arXiv's own listing, set as a newspaper; every title links to arXiv.
A policy can earn its performance by where it locates on average or by reacting to information. For any Markov policy $\pi$ in a finite-horizon MDP, let $\nu$ be its open-loop marginal, which plays $\pi$'s average action distribution at each step. We show that $J(\pi)-J(\nu)$ equals $\sum_t tr Cov(Q^\nu_t,\pi_t)$ under endogenous dynamics. Audits based on immediate costs alone can have the wrong sign. Writing the covariance as a joint-versus-product gap gives the bound $|J(\pi)-J(\nu)|\le\sum_t span_t\sqrt{I(s_t;a_t)/2}$, with a sharp constant. Hence, an MDP's adaptivity gap is bounded by the information that its optimal policy uses. Estimating $J(\pi)-J(\nu)$ from $\pi$'s own bandit-feedback logs takes $\Theta(\bar\chi^2 \log(1/\eta)/\delta^2)$ rounds, where $\bar\chi^2$ is an average $\chi^2$-divergence. At the same time, deterministic non-constant policies cannot be audited at all. We also provide an importance-sampling auditor for episodic MDPs.
Elliptic and its address-level extension Elliptic++ are widely used benchmark datasets in Bitcoin forensics, cited by more than 1300 academic studies according to Google Scholar. We identify future information leakage in Elliptic++. Its positional data split does not respect temporal order, and the exact definitions of its address-level features remain undocumented. We revisit how the 55 Elliptic++ address-level features are computed and propose a leakage-resistant pipeline. First, the exact feature definitions are recovered by linking Elliptic transactions to public ledger data. Second, we compute the features with a temporal split based on each address's first appearance, using only information available at the time of prediction. Once temporal ordering is enforced, the random forest (RF)'s strong predictive performance largely disappears: its F1 score on the illicit class falls from $0.846$ under the original leaky evaluation to just $0.291$ under our leakage-resistant pipeline. Furthermore, RF no longer outperforms a simple logistic regression baseline. We provide the exact feature definitions and executable code to reproduce the leakage-resistant features, so that future Bitcoin forensic models can be evaluated based on genuine predictive capability rather than temporal data leakage.
We develop PanelGP, a conditional factor model for large panels of stock returns in which firm characteristics determine the factor loadings and economic conditions determine the expected factors. Both relations are estimated nonparametrically with Gaussian-process priors. The kernel choice nests instrumented principal component analysis (IPCA) as well as smooth nonlinear maps. Asset-specific loading innovations and common factor innovations separate idiosyncratic from systematic risk, so one estimated model forecasts both expected returns and their covariance matrix. Estimation uses sparse variational inference with a joint posterior over loadings and factors. Because each predicted return is bilinear in a Gaussian state, the predictive covariance matrix and the cumulants of any portfolio have closed forms. In simulations, the estimator recovers the nonlinear maps and the variance parameters. For S&P 500 constituents over 1995-2024, nonlinear loadings rank stocks better than affine loadings and improve the Gaussian log score. Relative to IPCA, the resulting portfolios have higher Sharpe ratios, also net of trading costs, and the minimum-variance portfolio has lower volatility. The predicted variances rank stocks and months by risk but are too compressed.
Listwise deletion (LWD) appears more common than imputation: our review of leading journals finds that about 50% of articles state or imply LWD, versus 7% describing an imputation model. Assuming oracle regression with all required values observed consistently estimates the population average treatment effect, we ask when complete-case regression remains consistent. With constant effects, we offer two checks: whether covariates and the missing indicator satisfy the adjustment criterion in an augmented causal diagram (DAG), and whether the estimator pools valid within-covariate comparisons appropriately, potentially using inverse treatment-propensity weighting (IPW). For heterogeneous effects, assuming conditional effects carry over to the population, we reweight comparisons to the population covariate distribution. Simulations and empirical illustrations from American politics, comparative politics, and international relations demonstrate the framework's use and show why a missing-at-random (MAR) classification, although useful for assessing imputation, does not by itself establish whether complete-case regression consistently estimates the target population ATE. Thus, we recommend adding the missing indicator and its causes to causal models, then checking adjustment and weighting for LWD.