Policy Choice in Time Series by Empirical Welfare Maximization
Fuente:
arXiv
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| Autores principales: | , , |
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| Formato: | Preprint |
| Publicado: |
2022
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| Materias: | |
| Acceso en línea: | |
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| _version_ | 1866911739830861824 |
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| author | Kitagawa, Toru Wang, Weining Xu, Mengshan |
| author_facet | Kitagawa, Toru Wang, Weining Xu, Mengshan |
| contents | This paper develops a novel method for policy choice in a dynamic setting where the available data is a multivariate time series. Overcoming challenges unique to time-series setting such as time-varying environments, history-dependent welfare, dynamic causal effects, and statistical dependence, we propose Time-series Empirical Welfare Maximization (T-EWM) methods. We characterize conditions for T-EWM to consistently learn optimal policies conditional or unconditional on the time-series history, and derive nonasymptotic upper bounds for the welfare regrets. We illustrate a use of T-EWM for optimal restriction rules against Covid-19. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2205_03970 |
| institution | arXiv |
| publishDate | 2022 |
| record_format | arxiv |
| spellingShingle | Policy Choice in Time Series by Empirical Welfare Maximization Kitagawa, Toru Wang, Weining Xu, Mengshan Econometrics This paper develops a novel method for policy choice in a dynamic setting where the available data is a multivariate time series. Overcoming challenges unique to time-series setting such as time-varying environments, history-dependent welfare, dynamic causal effects, and statistical dependence, we propose Time-series Empirical Welfare Maximization (T-EWM) methods. We characterize conditions for T-EWM to consistently learn optimal policies conditional or unconditional on the time-series history, and derive nonasymptotic upper bounds for the welfare regrets. We illustrate a use of T-EWM for optimal restriction rules against Covid-19. |
| title | Policy Choice in Time Series by Empirical Welfare Maximization |
| topic | Econometrics |
| url | https://arxiv.org/abs/2205.03970 |