David Preinerstorfer
Univ.Prof. David Preinerstorfer, Ph.D.
Office hours: by appointment [office: D4.4.026]
Assistant: Katrin Artner
| Research Interests & CV (Pure) Academic CV (pdf) | Publications (Pure) | Teaching |
Research Interests
Heteroskedasticity and autocorrelation robust testing.
High-dimensional statistics.
Model selection.
Robust statistics, in particular inference under adversarial contamination.
Selection problems, e.g., treatment allocation and policy design incorporating inequality, fairness, poverty, or welfare considerations.
Sequential decision problems, e.g., multi-armed bandits.
Short Vita
since 2024: Professor of Statistics and Econometrics, WU Vienna, Institute for Statistics and Mathematics
2021–2024: Associate Professor, University of St. Gallen, School of Economics and Political Science; Director at the Swiss Institute for Empirical Economic Research
2017–2021: Assistant Professor with tenure, Université libre de Bruxelles; European Center for Advanced Research in Economics and Statistics (ECARES)
2016–2017: Post Doc, Aarhus University, Center for Research in Econometric Analysis of Time Series (CREATES)
2015–2016 Post Doc, University of Vienna, Department of Statistics and Operations Research
2011–2015 PhD in Statistics and Operations Research, University of Vienna, Department of Statistics and Operations Research
Publications
Working papers
Robustness for Free: Asymptotic Size and Power of Max-Tests in High Dimensions, with Anders Bredahl Kock.
High-Dimensional Gaussian Approximations for Robust Means, with Anders Bredahl Kock.
Winsorized Mean Estimation with Heavy Tails and Adversarial Contamination, with Anders Bredahl Kock.
A Necessary and Sufficient Condition for Size Controllability of Heteroskedasticity Robust Test Statistics, with Benedikt M. Pötscher.
Published or forthcoming papers
Enhanced Power Enhancements for Testing Many Moment Equalities: Beyond the 2- and ∞-Norm, with Anders Bredahl Kock, forthcoming in Journal of the American Statistical Association, (2026).
Regularizing Fairness in Optimal Policy Learning with Distributional Targets, with Anders Bredahl Kock, Journal of Econometrics, (2026), 254, Part B, 106186.
Valid Heteroskedasticity Robust Testing, with Benedikt M. Pötscher, Econometric Theory, (2025), 41, 249--301.
Functional Sequential Treatment Allocation with Covariates, with Anders Bredahl Kock and Bezirgen Veliyev, Econometric Theory, (2024), 40, 1211--1252.
A Remark on Moment-Dependent Phase Transitions in High-Dimensional Gaussian Approximations, with Anders Bredahl Kock, Statistics & Probability Letters, (2024), 211, 110149.
Superconsistency of Tests in High Dimensions, with Anders Bredahl Kock, Econometric Theory, (2024), 40, 688--704.
A Comment on: "A Modern Gauss-Markov Theorem", with Benedikt M. Pötscher, Econometrica, (2024), 92, 913--924. (longer version)
How to Avoid the Zero-Power Trap in Testing for Correlation, Econometric Theory, (2023), 39, 1292--1324.
How Reliable are Bootstrap-Based Heteroskedasticity Robust Tests? with Benedikt M. Pötscher, Econometric Theory, (2023), 39, 789--847.
Consistency of p-norm Based Tests in High Dimensions: Characterization, Monotonicity, Domination, with Anders Bredahl Kock, Bernoulli, (2023), 29, 2544--2573.
Treatment Recommendation with Distributional Targets, with Anders Bredahl Kock and Bezirgen Veliyev, Journal of Econometrics, (2023), 234, 624--646.
Functional Sequential Treatment Allocation, with Anders Bredahl Kock and Bezirgen Veliyev, Journal of the American Statistical Association, (2022), 117, 1311--1323.
Uniformly Valid Confidence Intervals Post-Model-Selection, with François Bachoc and Lukas Steinberger, Annals of Statistics, (2020), 48, 440--463.
Power in High-Dimensional Testing Problems, with Anders Bredahl Kock, Econometrica, (2019), 87, 1055--1069.
Further Results on Size and Power of Heteroskedasticity and Autocorrelation Robust Tests, with an Application to Trend Testing, with Benedikt M. Pötscher, Electronic Journal of Statistics, (2019), 13, 3893--3942.
Controlling the Size of Autocorrelation Robust Tests, with Benedikt M. Pötscher, Journal of Econometrics, (2018), 207, 406--431.
Finite Sample Properties of Tests Based on Prewhitened Nonparametric Covariance Estimators, Electronic Journal of Statistics, (2017), 11, 2097--2167.
On the Power of Invariant Tests for Hypotheses on a Covariance Matrix, with Benedikt M. Pötscher, Econometric Theory, (2017), 33, 1--68.
On Size and Power of Heteroskedasticity and Autocorrelation Robust Tests, with Benedikt M. Pötscher, Econometric Theory, (2016), 32, 261--358.
Non-monotonic Penalizing for the Number of Structural Breaks, with Erhard Reschenhofer and Lukas Steinberger, Computational Statistics, (2013), 28, 2585--2598.
Parameter Recovery and Model Selection in Mixed Rasch Models, with Anton K. Formann, British Journal of Mathematical and Statistical Psychology, (2012), 65, 251--262.