Empirical Likelihood for Nonsmooth Functionals

ArXi:2603.27743v1 Announce Type: cross Empirical likelihood is an attractive inferential framework that respects natural parameter boundaries, but existing approaches typically require smoothness of the functional and miscalibrate substantially when these assumptions are violated. For the optimal-value functional central to policy evaluation, smoothness holds only when the optimum is unique -- a condition that fails exactly when rigorous inference is most needed where complex policies have modest gains.