Maximilian Blesch, Philipp Eisenhauer
arXiv 23 Apr 2021 · Econometrics
arXiv:2104.12573 · PDF · DOI · OpenAlex · Extracted main text
Economists often estimate economic models on data and use the point estimates as a stand-in for the truth when studying the model's implications for optimal decision-making. This practice ignores model ambiguity, exposes the decision problem to misspecification, and ultimately leads to post-decision disappointment. Using statistical decision theory, we develop a framework to explore, evaluate, and optimize robust decision rules that explicitly account for estimation uncertainty. We show how to operationalize our analysis by studying robust decisions in a stochastic dynamic investment model in which a decision-maker directly accounts for uncertainty in the model's transition dynamics.
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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 | Rust, J (1987) Optimal replacement of GMC bus engines: An empirical model of Harold Zurcher | 0.961 | 9 | 3 | 89% |
| 2 | Iyengar, G. N (2005) Robust dynamic programming | 0.928 | 5 | 3 | 80% |
| 3 | Ben-Tal, A., den Hertog, D., De Waegenaere, A., Melenberg, B., and R… (2013) Robust solutions of optimization problems affected by uncertain probabilities | 0.928 | 4 | 3 | 100% |
| 4 | Bertsimas, D., Gupta, V., and Kallus, N (2018) Data-driven robust optimization | 0.737 | 3 | 2 | 100% |
| 5 | Nilim, A. and El Ghaoui, L (2005) Robust control of Markov decision processes with uncertain transition matrices | 0.737 | 3 | 2 | 100% |
| 6 | Rust, J (1988) Maximum likelihood estimation of discrete control processes | 0.644 | 3 | 2 | 67% |
| 7 | Ben-Tal, A., El Ghaoui, L., and Nemirowski, A (2009) Robust optimization | 0.644 | 2 | 2 | 100% |
| 8 | Berger, J. O (2010) Statistical decision theory and Bayesian analysis | 0.644 | 2 | 2 | 100% |
| 9 | Blackwell, D (1965) Discounted dynamic programming | 0.644 | 2 | 2 | 100% |
| 10 | Denardo, E. V (1967) Contraction mappings in the theory underlying dynamic programming | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 80 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Structural models for policy-making | 0.644 | 2 | 2 |