Search arXiv⌕ Search

arXiv · 2610.36352

Many Hands Make Light Work: Long-Term Effect Inference for the Experiment Reservoir

Abstract

The surrogate index method is the modern standard for estimation of long-term effects in a designed experiment using only short-term outcomes. This method relies on the surrogacy and comparability assumptions which may be violated in practice leading to estimation bias. We propose a new method called Experiment Reservoir Surrogate (ERS) which leverages a reservoir of historical long-term experiments that is common in large-scale experimentation platforms. ERS avoids the surrogacy assumption by predicting the long-term average treatment effect directly, and relaxes the comparability assumption by matching to similar historical experiments, without requiring every experiment in the reservoir to be comparable to the target experiment. Moreover, ERS is memory-efficient, as it only requires aggregate data for each time period, instead of raw individual-level data. We theoretically justify the improved efficiency of ERS and demonstrate the improvement empirically on a reservoir of experiments from the online platform DoorDash.

Explore related subjects

Keep this discovery

Explore connections, maps & timelines

BibTeXRIS

Will Hartog, Lihua Lei, Mandar Rahurkar, Navdeep Sahni, Yixin Tang. 2026-10-26. Many Hands Make Light Work: Long-Term Effect Inference for the Experiment Reservoir. https://arxiv.org/abs/2610.36352

Cite the original work for its findings. Save a collection to share your selection of sources.

KEEP EXPLORING

Related papers

Valid Post-Contextual Bandit Inference

Contextual multi-armed bandits (CMAB) are increasingly used as adaptively sampled experiments, after which researchers test hypotheses about treatment effects. We derive the Hájek-Le Cam limit experiment for multi-armed contextual bandits under equal-arms (weak-signal) asymptotics. It is Locally Asymptotically Quadratic, but not a (mixed) Gaussian shift experiment. Girsanov's theorem gives it a structural representation in stochastic differential equations. Together with a general weak convergence result, this yields the asymptotic null distribution and local asymptotic power of often-used test statistics. Two kinds of nuisance parameters threaten size control: the common reward level of the arms of interest and the rewards of the arms not of interest. The first threat is removed by translation-invariant sampling. We propose Regularized Translation-Invariant (RTI) versions of Thompson, tempered-greedy, tempered-(Lin)UCB, and exploration sampling. The second threat calls for appropriate pivots. The structural representation of the limit experiment is key to overcome the inferential challenges arising from adaptive sampling. Simulations corroborate the theory.

econ.EM↗

Bias Correction and Inference for Panel Quantile Regression

We develop a large-$n$, large-$T$ theory for the unsmoothed fixed-effects quantile regression estimator, paralleling Hahn and Newey (2004) for smooth nonlinear panel models. An exact rank-score identity for the profiled criterion, with a convexity argument, delivers the leading incidental parameter bias of the slope estimator, of order $T^{-1}$, in closed form. When $n$ and $T$ grow at the same rate, the estimator is asymptotically normal but in general not centred, and conventional intervals are invalid. Admissible growth of $n$ relative to $T$, up to $n=o(T^3)$, depends on the regularity of the conditional error densities. A split-panel jackknife removes the leading bias throughout this range and yields valid inference. In serially dependent panels whose dependence decays geometrically or polynomially, the bias acquires a term from the dependence between regressors and errors of different periods, the jackknife remains valid with contiguous but not with interleaved half-panels, and clustered standard errors are valid.

econ.EM↗

Time-Varying Quantile VAR Models: Estimation and Inference

We study time-varying quantile VAR models in which the conditional quantile does not propagate linearly through the recursion, and develop a toolkit for impulse response analysis, which to the best of our knowledge has not been established elsewhere. For example, we establish Bahadur representation for quantile VAR regression, infer model parameters via smoothed check function, and define and investigate the best linear projection of the time-varying tau-quantile impulse response via local projections. An application to U.S. industrial production growth and credit spreads from 1919-2025 uncovers structural shifts in tail relationships, demonstrating downside asymmetry diminishes at longer forecast horizons.

econ.EM↗