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 procedures in Section 3 in the case with unknown error distribution and derives their asymptotic efficiency. Supplemental Appendix G gives some auxiliary results used for relative asymptotic efficiency comparisons. Supplemental Appendix H gives the proof of Theorem E.1.