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WALD_MSE: Stata module to calculate the maximum mean square error (MSE) of a point estimator of the mean

Author

Listed:
  • Chuck Manski

    (Northwestern University)

  • Max Tabord-Meehan

    (Northwestern University)

Programming Language

Stata

Abstract

wald_mse calculates the maximum MSE of a point-estimator of the mean of a bounded outcome, from a random sample with missing data. The MSE equals regret under square loss, so the maximum MSE is the maximum regret. In the case of bounded outcomes and no missing data, Hodges and Lehmann (1950) derive the estimator with smallest maximum MSE; that is, the minimax-regret estimator. With missing data, the minimax-regret estimator has no known analytical expression and numerical computation appears intractable. wald_mse allows the user to compute the maximum MSE of any proposed estimator with a flexible specification of missing data.

Suggested Citation

  • Chuck Manski & Max Tabord-Meehan, 2017. "WALD_MSE: Stata module to calculate the maximum mean square error (MSE) of a point estimator of the mean," Statistical Software Components S458388, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s458388
    Note: This module should be installed from within Stata by typing "ssc install wald_mse". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

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    File URL: http://fmwww.bc.edu/repec/bocode/w/wald_mse.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/w/wald_mse.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/w/wald_mse_examples.do
    File Function: sample code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/m/monotone_mean.ado
    File Function: program code
    Download Restriction: no
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