N ov 2 01 5 Supplemental Materials for “ Optimal inference in a class of regression models ”

N ov 2 01 5 Optimal inference in a class of regression models ∗

We consider the problem of constructing confidence intervals (CIs) for a linear functional of a regression function, such as its value at a point, the regression discontinuity parameter, or a regression coefficient in a linear or partly linear regression. Our main assumption is that the regression function is known to lie in a convex function class, which covers most smoothness and/or shape ass...

Supplemental Materials for “Optimal inference in a class of regression models”

These supplemental materials provide appendices not included in the main text. Supplemental Appendix D gives derivations for the examples given in Sections 4 and 5. Supplemental Appendix E considers feasible versions of the procedures in Section 3 in the case with unknown error distribution and derives their asymptotic efficiency. Supplemental Appendix F gives some auxiliary results used for re...

Supplemental Materials to OPTIMAL INFERENCE IN A CLASS OF REGRESSION MODELS

Supplemental Materials to OPTIMAL INFERENCE IN A CLASS OF REGRESSION MODELS By

Supplement to “Optimal inference in a class of regression models”

This supplement provides appendices not included in the main text. Supplemental Appendix C compares our approach with other methods, and includes a Monte Carlo study. Supplemental Appendix D contains details for the results in Section 3 not included in the main text. Supplemental Appendix E contains details for the RD application. Supplemental Appendix F considers feasible versions of the proce...