We consider inference on optimal treatment assignments. Our methods are the first to allow for inference on the treatment assignment rule that would be optimal given knowledge of the population treatment effect in a general setting. The procedure uses multiple hypothesis testing methods to...

Prominent among the many contributions that economics has made to humanity are the ones we witness daily in the normal operations of our national economies and our Financial systems. Less prominent is the work in econometrics that is largely done in universities developing theories and...

This paper derives asymptotic approximations to the power of Cramer-von Mises (CvM) style tests for inference on a finite dimensional parameter defined by conditional moment inequalities in the case where the parameter is set identified. Combined with power results for Kolmogorov-Smirnov (KS)...

This paper introduces a new identification- and singularity-robust conditional quasi-likelihood ratio (SR-CQLR) test and a new identification- and singularity-robust Anderson and Rubin (1949) (SR-AR) test for linear and nonlinear moment condition models. Both tests are very fast to compute....

This paper introduces a new identification- and singularity-robust conditional quasi-likelihood ratio (SR-CQLR) test and a new identification- and singularity-robust Anderson and Rubin (1949) (SR-AR) test for linear and nonlinear moment condition models. Both tests are very fast to compute....

We consider inference in models defined by approximate moment conditions. We show that near-optimal confidence intervals (CIs) can be formed by taking a generalized method of moments (GMM) estimator, and adding and subtracting the standard error times a critical value that takes into account...

We consider inference in models defined by approximate moment conditions. We show that near-optimal confidence intervals (CIs) can be formed by taking a generalized method of moments (GMM) estimator, and adding and subtracting the standard error times a critical value that takes into account...

Standard tests and confidence sets in the moment inequality literature are not robust to model misspecification in the sense that they exhibit spurious precision when the identified set is empty. This paper introduces tests and confidence sets that provide correct asymptotic inference for a...

This paper derives asymptotic power functions for Cramer-von Mises (CvM) style tests for inference on a finite dimensional parameter defined by conditional moment inequalities in the case where the parameter is set identified. Combined with power results for Kolmogorov-Smirnov (KS) tests, these...

Standard tests and confidence sets in the moment inequality literature are not robust to model misspecification in the sense that they exhibit spurious precision when the identified set is empty. This paper introduces tests and confidence sets that provide correct asymptotic inference for a...