Asymptotic analysis of statistical decision rules in econometrics

Keisuke Hirano and Jack R. Porter

Chapter Chapter 4 in Handbook of Econometrics, 2020, vol. 7, pp 283-354 from Elsevier

Abstract: Statistical decision rules map data into actions. Point estimators, inference procedures, and forecasting methods can be viewed as statistical decision rules. However, other types of rules are possible, such as rules for assigning individuals to treatments based on covariates, and methods for designing auctions. We discuss heuristics for constructing statistical decision rules, and survey results that characterize the properties of various classes of decision rules. Particular attention is paid to developing large-sample approximations to the distributions and associated risk properties of statistical decision rules.

Keywords: Statistical decision theory; Treatment assignment rules; Limit experiments; Risk (search for similar items in EconPapers)
JEL-codes: C39 (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecochp:7a-283

DOI: 10.1016/bs.hoe.2020.09.001

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