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Evaluating the maximum regret of statistical treatment rules with sample data on treatment response

Author

Listed:
  • Valentyn Litvin

    (Northwestern University)

  • Charles F. Manski

    (Northwestern University)

Abstract

In this article, we present the wald_tc command, which computes the maximum regret (MR) of a user-specified statistical treatment rule that uses sample data on realized treatment response (and optionally an instrumental variable) to determine a treatment choice for a population. Because the outcomes of counterfactual treatments are not observed and treatment selection in the study population may not be random, decision makers may be able only to partially identify average treatment effects. wald_tc allows users to compute the MR of a proposed statistical treatment rule under a flexible specification of the data-generating process and determines the state that generates MR.

Suggested Citation

  • Valentyn Litvin & Charles F. Manski, 2021. "Evaluating the maximum regret of statistical treatment rules with sample data on treatment response," Stata Journal, StataCorp LP, vol. 21(1), pages 97-122, March.
    • Handle: RePEc:tsj:stataj:v:21:y:2021:i:1:p:97-122
    DOI: 10.1177/1536867X211000006
    Note: to access software from within Stata, net describe http://www.stata-journal.com/software/sj21-1/st0629/
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    File URL: http://hdl.handle.net/10.1177/1536867X211000006
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    Cited by:

    1. Charles F. Manski, 2021. "Econometrics for Decision Making: Building Foundations Sketched by Haavelmo and Wald," Econometrica, Econometric Society, vol. 89(6), pages 2827-2853, November.

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