Statistics and Econometrics
My research on learning without priors made me wonder what statistics has to say about learning without priors. After a big investment I found out that my methods can add to the statistics and econometrics literature. Below you will find tests for correctly making inference in finite samples, for a single sample and for comparing two samples, for a linear regression and an ordinal regression.
Software:
Nonparametric tests:
Quick tutorial (September 17, 2015)
link to package npExact
additional software in R (September 17, 2015)
data used in "direction" paper (September 17, 2015)
simulations used in "direction" paper (September 15, 2015)

Programs in STATA for comparing means and for testing for stochastic inequality (with some examples and some hints
program in R for comparing means in large samples based on independent samples
program in R for running exact linear regressions with heterskedastic errors as explained in Gossner and Schlag (2013)
programs in R for binary valued data for comparing two independent samples and matched pairs
Publications
FiniteSample Exact Tests for Linear Regressions with Bounded Dependent Variables (joint with Olivier Gossner), Journal of Econometrics 177 (2013), 7594.
Working Papers and Mimeos:
Who gives Direction to Statistical Testing? Best Practice meets Mathematically Correct Tests (September 15, 2015) (here is the data used in the paper)
Exact Nonparametric Binary Choice and Ordinal Regression Analysis (February 15, 2014)
Exact Hypothesis Testing without Assumptions  New and Old Results not only for Experimental Game Theory (October 11, 2013)
A New Method for Constructing Exact Tests without Making any Assumptions (August, 2008) Department of Economics and Business Working Paper 1109, Universitat Pompeu Fabra
Bringing Game Theory to Hypothesis Testing: Establishing Finite Sample Bounds on Inference (June, 2008) Department of Economics and Business Working Paper 1099, Universitat Pompeu Fabra
Exact Tests for Correlation and for the Slope in Simple Linear Regressions without Making Assumptions (June, 2008), Department of Economics and Business Working Paper 1097, Universitat Pompeu Fabra
How to Attain Minimax Risk with Applications to DistributionFree and Nonparametric Estimation, Testing and Selection (this version March 12, 2007, earlier version as ECO WP 2006/26, note that only this earlier version contains results on Hannan regret)
Exact Nonparametric Tests for Comparing Means  A Personal Summary (December 14, 2006)