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S. Halkiewicz

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Preprint Aug 2026

Exact Inference in Fixed-Effect Regressions with Concentrated Identifying Variation

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 concentrated, conventional $t$-tests can reject a true null more than half the time, and any fixed critical value is either invalid or so conservative it has essentially no power. This paper builds an exact test from the design alone. A \textit{nuisance-annihilating contrast} is a linear combination of the treatment and fixed-effect dummies that eliminates the fixed effects without touching the outcome; sign-flipping these contrasts is then an exact symmetry of the null distribution at every sample size, under arbitrary heteroskedasticity. In two-way designs --- worker-firm, firm-time --- these contrasts are exactly the cycles of the bipartite mobility graph, so the movement that identifies the treatment effect is what makes exact inference possible. Exactness costs power: relative to an oracle test, a chosen set of cycles has an observable \textit{capture ratio} $\kap\in[0,1]$ and standard-error premium $\kap^{-1/2}$, and a packing algorithm resolves the capture-granularity trade-off. In the Grunfeld investment regression (single-observation score concentration $73.9\%$), 32 cycle contrasts capture $\kap=0.627$ of the identifying variation, giving an exact $95\%$ confidence interval of $[0.150,\,0.450]$.

S. Halkiewicz · 0 citations

Preprint Jul 2026

Variance Estimation for Saturated Fixed-Effect Specifications

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 fixed-effect dimension $\rho_n = d_{K_n}/n \to \rho \in [0,1)$ and the residual treatment variance $\tau_n^2 = nQ_{K_n} \to \tau^2 \in (0, \infty]$ are non-degenerate. Three findings emerge. First, under strict exogeneity and conditional homoskedasticity, the Cattaneo--Jansson--Newey-corrected $t$-statistic is asymptotically exact for any $\tau^2>0$: there is no Stock--Yogo-style threshold in $\tau^2$. Second, the Eicker--White HC0 estimator is biased downward by a fixed factor $(1-\rho)$, producing over-rejection that grows with saturation. Third, HC3 over-corrects in the opposite direction by a factor $1/(1-\rho)$. The leave-one-out estimator (HC2) removes the first-order leverage distortion and is asymptotically exact under homoskedasticity or design-balanced heteroskedasticity; under general heteroskedasticity with non-uniform leverage, HC2 retains an additional bias of order $\rho|\mu - \omega^2|$ that we characterize. An empirical application to Piotroski F-Score returns in CEE markets illustrates the predicted variance hierarchy in real data.

S. Halkiewicz · 0 citations