arXiv 20 Dec 2020 · Econometrics · 1 citations (OpenAlex)
arXiv:2012.11046 · PDF · DOI · OpenAlex · Extracted main text
We study the problem of choosing optimal policy rules in uncertain environments using models that may be incomplete and/or partially identified. We consider a policymaker who wishes to choose a policy to maximize a particular counterfactual quantity called a policy transform. We characterize learnability of a set of policy options by the existence of a decision rule that closely approximates the maximin optimal value of the policy transform with high probability. Sufficient conditions are provided for the existence of such a rule. However, learnability of an optimal policy is an ex-ante notion (i.e. before observing a sample), and so ex-post (i.e. after observing a sample) theoretical guarantees for certain policy rules are also provided. Our entire approach is applicable when the distribution of unobservables is not parametrically specified, although we discuss how semiparametric restrictions can be used. Finally, we show possible applications of the procedure to a simultaneous discrete choice example and a program evaluation example.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Koltchinskii, V (2011) Oracle Inequalities in Empirical Risk Minimization and Sparse Recovery Problems: Ecole d’Eté de Probabilités de Saint-Flour XXXV… | 1.000 | 12 | 4 | 100% |
| 2 | Van Der Vaart, A. W. and Wellner, J. A (1996) Weak convergence | 1.000 | 11 | 4 | 100% |
| 3 | Chesher, A. and Rosen, A. M (2017) Generalized instrumental variable models | 1.000 | 10 | 3 | 100% |
| 4 | Molchanov, I (2017) Theory of random sets | 1.000 | 8 | 4 | 100% |
| 5 | Valiant, L. G (1984) A theory of the learnable | 1.000 | 6 | 3 | 100% |
| 6 | Koltchinskii, V (2006) Local rademacher complexities and oracle inequalities in risk minimization | 0.874 | 7 | 2 | 100% |
| 7 | Li, L (2019) Identification of structural and counterfactual parameters in a large class of structural econometric models | 0.874 | 7 | 2 | 100% |
| 8 | Ekeland, I., Galichon, A., and Henry, M (2010) Optimal transportation and the falsifiability of incompletely specified economic models | 0.874 | 6 | 2 | 100% |
| 9 | Schennach, S. M (2014) Entropic latent variable integration via simulation | 0.874 | 5 | 2 | 100% |
| 10 | Galichon, A. and Henry, M (2011) Set identification in models with multiple equilibria | 0.811 | 4 | 2 | 100% |
Showing the top 10 of 126 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Orthogonal Policy Learning Under Ambiguity | 0.511 | 2 | 1 |
| 2 | Evidence Aggregation for Treatment Choice | 0.405 | 1 | 1 |
| 3 | Optimal Decision Rules Under Partial Identification | 0.405 | 1 | 1 |
| 4 | Optimal Decision Rules when Payoffs are Partially Identified | 0.405 | 1 | 1 |
| 5 | Policy Learning under Endogeneity Using Instrumental Variables | 0.405 | 1 | 1 |
| 6 | Policy Learning with Confidence$^$ | 0.405 | 1 | 1 |