Minimax regret treatment choice with covariates or with limited validity of experiments
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.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Bergemann, Dirk & Schlag, Karl, 2011.
"Robust monopoly pricing,"
Journal of Economic Theory,
Elsevier, vol. 146(6), pages 2527-2543.
- Dirk Bergemann & Karl Schlag, 2005. "Robust Monopoly Pricing," Cowles Foundation Discussion Papers 1527RR, Cowles Foundation for Research in Economics, Yale University, revised Sep 2008.
- Dirk Bergemann & Karl Schlag, 2005. "Robust Monopoly Pricing," Cowles Foundation Discussion Papers 1527R, Cowles Foundation for Research in Economics, Yale University, revised Apr 2007.
- Dirk Bergemann & Karl Schlag, 2007. "Robust Monopoly Pricing," Levine's Bibliography 321307000000000983, UCLA Department of Economics.
- Stoye, J rg, 2007. "Minimax Regret Treatment Choice With Incomplete Data And Many Treatments," Econometric Theory, Cambridge University Press, vol. 23(01), pages 190-199, February.
- Dirk Bergemann & Karl H Schlag, 2007.
"Pricing without Priors,"
122247000000001557, UCLA Department of Economics.
- Aleksey Tetenov, 2009.
"Statistical Treatment Choice Based on Asymmetric Minimax Regret Criteria,"
Carlo Alberto Notebooks
119, Collegio Carlo Alberto.
- Tetenov, Aleksey, 2012. "Statistical treatment choice based on asymmetric minimax regret criteria," Journal of Econometrics, Elsevier, vol. 166(1), pages 157-165.
- Charles F. Manski, 1989. "Anatomy of the Selection Problem," Journal of Human Resources, University of Wisconsin Press, vol. 24(3), pages 343-360.
- Brock,W.A., 2004.
"Profiling problems with partially identified structure,"
21, Wisconsin Madison - Social Systems.
- William A. Brock, 2006. "Profiling Problems With Partially Identified Structure," Economic Journal, Royal Economic Society, vol. 116(515), pages F427-F440, November.
- Dehejia, Rajeev H., 2005.
"Program evaluation as a decision problem,"
Journal of Econometrics,
Elsevier, vol. 125(1-2), pages 141-173.
- Hirano, Keisuke & Porter, Jack, 2006.
"Asymptotics for statistical treatment rules,"
1173, University Library of Munich, Germany.
- Kreider, Brent & Hill, Steven C., 2005.
"Partially Identifying Treatment Effects with an Application to Covering the Uninsured,"
Staff General Research Papers
12296, Iowa State University, Department of Economics.
- Brent Kreider & Steven C. Hill, 2009. "Partially Identifying Treatment Effects with an Application to Covering the Uninsured," Journal of Human Resources, University of Wisconsin Press, vol. 44(2).
- Manski, Charles F., 2000. "Identification problems and decisions under ambiguity: Empirical analysis of treatment response and normative analysis of treatment choice," Journal of Econometrics, Elsevier, vol. 95(2), pages 415-442, April.
- Manski, Charles F., 2007. "Minimax-regret treatment choice with missing outcome data," Journal of Econometrics, Elsevier, vol. 139(1), pages 105-115, July.
- Charles F. Manski, 2005.
"Search Profiling with Partial Knowledge of Deterrence,"
NBER Working Papers
11848, National Bureau of Economic Research, Inc.
- Charles F. Manski, 2006. "Search Profiling With Partial Knowledge of Deterrence," Economic Journal, Royal Economic Society, vol. 116(515), pages F385-F401, November.
- Aleksey Tetenov, 2008. "Measuring Precision of Statistical Inference on Partially Identified Parameters," Carlo Alberto Notebooks 98, Collegio Carlo Alberto, revised 2012.
- Edward Vytlacil, 2002. "Independence, Monotonicity, and Latent Index Models: An Equivalence Result," Econometrica, Econometric Society, vol. 70(1), pages 331-341, January.
- Stoye, Jörg, 2009. "Minimax regret treatment choice with finite samples," Journal of Econometrics, Elsevier, vol. 151(1), pages 70-81, July.
- Charles F. Manski, 2004.
"Statistical Treatment Rules for Heterogeneous Populations,"
Econometric Society, vol. 72(4), pages 1221-1246, 07.
- Charles Manski, 2003. "Statistical treatment rules for heterogeneous populations," CeMMAP working papers CWP03/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Chamberlain, Gary, 2000. "Econometrics and decision theory," Journal of Econometrics, Elsevier, vol. 95(2), pages 255-283, April.
When requesting a correction, please mention this item's handle: RePEc:eee:econom:v:166:y:2012:i:1:p:138-156. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.