This paper examines the asymptotic behavior of the posterior distribution of a possibly nondifferentiable function g(theta), where is a finite dimensional parameter. The main assumption is that the distribution of the maximum likelihood estimator theta_n, its bootstrap approximation, and the...

The paper studies a problem of constructing simultaneous likelihood-based confidence sets. We consider a simultaneous multiplier bootstrap procedure for estimating the quantiles of the joint distribution of the likelihood ratio statistics, and for adjusting the confidence level for multiplicity....

This paper is concerned with tests of restrictions on the sample path of conditional quantile processes. These tests are tantamount to assessments of lack of fit for models of conditional quantile functions or more generally as tests of how certain covariates affect the distribution of an...

We consider the problem of constructing honest confidence intervals (CIs) for a scalar parameter of interest, such as the regression discontinuity parameter, in nonparametric regression based on kernel or local polynomial estimators. To ensure that our CIs are honest, we derive novel critical...

Existing proofs of the asymptotic validity of conventional methods of impulse response inference based on higher-order autoregressions are pointwise only. In this paper, we establish the uniform asymptotic validity of conventional asymptotic and bootstrap inference about individual impulse...