Supplement to "Robust Contracts in Continuous Time"
This appendix consists of two sections. In Section A we adopt the Chen-Epstein (2002) recursive multiple-priors utility model to study the robust contracting problem. We compare this case with the robust contracting problem studied in the paper. In Section B we study a model with risk aversion only and compare the solution with our robust contracting solution. We also establish some observational equivalence results.
Supplement to "Conditional Inference with a Functional Nuisance Parameter"
The supplementary appendix contains additional results concerning the interpretation of our conditional critical values, the bounded completeness of our sufficient statistics, the derivation of the conditioning process hT (.) in homoscedastic linear IV, the power of tests in a simple Gaussian model, the power of the conditional QLR tests in linear IV with non-homoscedastic errors, proofs of asymptotic results stated in the paper, a theoretical analysis and additional simulation results for the quantile IV model, and additional results for Stock and Wright (2000)'s setting.