Minimax regret treatment choice with finite samples

Jörg Stoye

Journal of Econometrics, 2009, vol. 151, issue 1, 70-81

Abstract: This paper applies the minimax regret criterion to choice between two treatments conditional on observation of a finite sample. The analysis is based on exact small sample regret and does not use asymptotic approximations or finite-sample bounds. Core results are: (i) Minimax regret treatment rules are well approximated by empirical success rules in many cases, but differ from them significantly-both in terms of how the rules look and in terms of maximal regret incurred-for small sample sizes and certain sample designs. (ii) Absent prior cross-covariate restrictions on treatment outcomes, they prescribe inference that is completely separate across covariates, leading to no-data rules as the support of a covariate grows. I conclude by offering an assessment of these results.

Keywords: Finite; sample; theory; Statistical; decision; theory; Minimax; regret; Treatment; response; Treatment; choice (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (117)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:151:y:2009:i:1:p:70-81

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