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Minimax regret treatment choice with covariates or with limited validity of experiments

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  • Stoye, Jörg
Abstract
This paper continues the investigation of minimax regret treatment choice initiated by Manski (2004). Consider a decision maker who must assign treatment to future subjects after observing outcomes experienced in a sample. A certain scoring rule is known to achieve minimax regret in simple versions of this decision problem. I investigate its sensitivity to perturbations of the decision environment in realistic directions. They are as follows. (i) Treatment outcomes may be influenced by a covariate whose effect on outcome distributions is bounded (in one of numerous probability metrics). This is interesting because introduction of a covariate with unrestricted effects leads to a pathological result. (ii) The experiment may have limited validity because of selective noncompliance or because the sampling universe is a potentially selective subset of the treatment population. Thus, even large samples may generate misleading signals. These problems are formalized via a “bounds” approach that turns the problem into one of partial identification.

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  • Stoye, Jörg, 2012. "Minimax regret treatment choice with covariates or with limited validity of experiments," Journal of Econometrics, Elsevier, vol. 166(1), pages 138-156.
    • Handle: RePEc:eee:econom:v:166:y:2012:i:1:p:138-156
    DOI: 10.1016/j.jeconom.2011.06.012
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    References listed on IDEAS

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    1. Geweke, John & Koop, Gary & van Dijk, Herman (ed.), 2011. "The Oxford Handbook of Bayesian Econometrics," OUP Catalogue, Oxford University Press, number 9780199559084.
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