Timothy Christensen, Hyungsik Roger Moon, Frank Schorfheide
arXiv 25 Apr 2022 · Econometrics · 3 citations (OpenAlex)
arXiv:2204.11748 · PDF · DOI · OpenAlex · Extracted main text
We derive asymptotically optimal statistical decision rules for discrete choice problems when payoffs depend on a partially-identified parameter $\theta$ and the decision maker can use a point-identified parameter $\mu$ to deduce restrictions on $\theta$. Examples include treatment choice under partial identification and pricing with rich unobserved heterogeneity. Our notion of optimality combines a minimax approach to handle the ambiguity from partial identification of $\theta$ given $\mu$ with an average risk minimization approach for $\mu$. We show how to implement optimal decision rules using the bootstrap and (quasi-)Bayesian methods in both parametric and semiparametric settings. We provide detailed applications to treatment choice and optimal pricing. Our asymptotic approach is well suited for realistic empirical settings in which the derivation of finite-sample optimal rules is intractable.
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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 | Hirano and Porter (2009) Asymptotics for Statistical Treatment Rules | 1.000 | 7 | 4 | 100% |
| 2 | Manski (2023) Probabilistic Prediction for Binary Treatment Choice: with focus on personalized medicine | 1.000 | 5 | 3 | 100% |
| 3 | Manski (2021) Econometrics for Decision Making: Building Foundations Sketched by Haavelmo and Wald | 0.874 | 5 | 2 | 100% |
| 4 | Giacomini, Kitagawa, and Read (2021) Robust Bayesian Analysis for Econometrics | 0.811 | 4 | 2 | 100% |
| 5 | Ishihara and Kitagawa (2021) Evidence Aggregation for Treatment Choice | 0.811 | 4 | 2 | 100% |
| 6 | Manski (2000) Identification problems and decisions under ambiguity: Empirical analysis of treatment response and normative analysis of treatm… | 0.811 | 4 | 2 | 100% |
| 7 | Hurwicz (1951) Some Specification Problems and Applications to Econometric Models | 0.737 | 3 | 2 | 100% |
| 8 | Kitamura and Stoye (2019) Nonparametric counterfactuals in random utility models | 0.737 | 3 | 2 | 100% |
| 9 | Clarke and Barron (1990) Information-theoretic asymptotics of Bayes methods | 0.721 | 8 | 3 | 38% |
| 10 | Schwartz (1965) On Bayes procedures | 0.644 | 3 | 2 | 67% |
Showing the top 10 of 62 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.