Toru Kitagawa, Sokbae Lee, Chen Qiu
arXiv 10 Oct 2023 · Econometrics · publishedJapanese Economic Review (2023) · 2 citations (OpenAlex)
arXiv:2310.06242 · PDF · DOI · OpenAlex · Extracted main text
We consider a decision maker who faces a binary treatment choice when their welfare is only partially identified from data. We contribute to the literature by anchoring our finite-sample analysis on mean square regret, a decision criterion advocated by Kitagawa, Lee, and Qiu (2022). We find that optimal rules are always fractional, irrespective of the width of the identified set and precision of its estimate. The optimal treatment fraction is a simple logistic transformation of the commonly used t-statistic multiplied by a factor calculated by a simple constrained optimization. This treatment fraction gets closer to 0.5 as the width of the identified set becomes wider, implying the decision maker becomes more cautious against the adversarial Nature.
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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 | Stoye, J (2012) Minimax regret treatment choice with covariates or with limited validity of experiments | 1.000 | 14 | 3 | 100% |
| 2 | Yata, K (2021) Optimal Decision Rules Under Partial Identification, ArXiv:2111.04926 [econ.EM], https://doi.org/10.48550/arXiv.2111.04926 | 1.000 | 14 | 3 | 100% |
| 3 | Kitagawa, T., S. Lee, and C. Qiu (2022) Treatment Choice with Nonlinear Regret self | 0.900 | 37 | 7 | 73% |
| 4 | Donoho, D. L (1994) Statistical estimation and optimal recovery | 0.874 | 5 | 2 | 100% |
| 5 | Tetenov, A (2012) a): Measuring precision of statistical inference on partially identified parameters | 0.874 | 5 | 2 | 100% |
| 6 | Stoye, J (2009) a): Minimax regret treatment choice with finite samples | 0.811 | 4 | 2 | 100% |
| 7 | Manski, C. F (2000) Identification problems and decisions under ambiguity: empirical analysis of treatment response and normative analysis of treatm… | 0.737 | 3 | 2 | 100% |
| 8 | Manski, C. F (2007) b): Minimax-regret treatment choice with missing outcome data | 0.737 | 3 | 2 | 100% |
| 9 | Adjaho, C. and T. Christensen (2022) Externally Valid Treatment Choice | 0.737 | 3 | 2 | 100% |
| 10 | Brock, W. A (2006) Profiling problems with partially identified structure | 0.737 | 3 | 2 | 100% |
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