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| Main Authors: | , , |
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| Format: | Preprint |
| Published: |
2023
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/2312.17623 |
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| _version_ | 1866912443046821888 |
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| author | Olea, José Luis Montiel Qiu, Chen Stoye, Jörg |
| author_facet | Olea, José Luis Montiel Qiu, Chen Stoye, Jörg |
| contents | We apply classical statistical decision theory to a large class of treatment choice problems with partial identification. We show that, in a general class of problems with Gaussian likelihood, all decision rules are admissible; it is maximin-welfare optimal to ignore all data; and, for severe enough partial identification, there are infinitely many minimax-regret optimal decision rules, all of which sometimes randomize the policy recommendation. We uniquely characterize the minimax-regret optimal rule that least frequently randomizes, and show that, in some cases, it can outperform other minimax-regret optimal rules in terms of what we term profiled regret. We analyze the implications of our results in the aggregation of experimental estimates for policy adoption, extrapolation of Local Average Treatment Effects, and policy making in the presence of omitted variable bias. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2312_17623 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Decision Theory for Treatment Choice Problems with Partial Identification Olea, José Luis Montiel Qiu, Chen Stoye, Jörg Econometrics We apply classical statistical decision theory to a large class of treatment choice problems with partial identification. We show that, in a general class of problems with Gaussian likelihood, all decision rules are admissible; it is maximin-welfare optimal to ignore all data; and, for severe enough partial identification, there are infinitely many minimax-regret optimal decision rules, all of which sometimes randomize the policy recommendation. We uniquely characterize the minimax-regret optimal rule that least frequently randomizes, and show that, in some cases, it can outperform other minimax-regret optimal rules in terms of what we term profiled regret. We analyze the implications of our results in the aggregation of experimental estimates for policy adoption, extrapolation of Local Average Treatment Effects, and policy making in the presence of omitted variable bias. |
| title | Decision Theory for Treatment Choice Problems with Partial Identification |
| topic | Econometrics |
| url | https://arxiv.org/abs/2312.17623 |