Statistical Decision Theory and Empirical Practice

This review article discusses statistical decision theory as it relates to empirical practice in economics. We review how hypothesis testing, estimation, preanalysis plans, and other widely used aspects of empirical practice can be obtained as special cases of the general decision theoretic setup of Wald. We then review a recent econometrics literature that has debated the role of decision theory in empirical practice. We discuss alternative perspectives from this literature and how they differ from classical decision theoretic interpretations of empirical practice. To illustrate our arguments, we use a running example in which a researcher performs an experiment, collects data, and publishes the results following commonly used guidelines.