# Minimax regret treatment choice with covariates or with limited validity of experiments

*Jörg Stoye*

*Journal of Econometrics*, 2012, vol. 166, issue 1, 138-156

**Abstract:**
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.

**Keywords:** Finite sample theory; Statistical decision theory; Minimax regret; Treatment response; Treatment choice (search for similar items in EconPapers)

**Date:** 2012

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**Persistent link:** https://EconPapers.repec.org/RePEc:eee:econom:v:166:y:2012:i:1:p:138-156

**DOI:** 10.1016/j.jeconom.2011.06.012

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