Across-Design Uncertainty in Short Pricing Panels: Inference and Identification
短定价面板中的跨设计不确定性：推断与识别
Short observational pricing panels often contain many data points but very few actual price changes. This paper shows that this sparsity creates a hidden source of error that standard statistical methods miss. When estimating price effects, most of the uncertainty does not come from sample size within a panel, but from the specific history of price movements observed. Standard confidence intervals fail because they only measure variation within the panel, ignoring this…