Minimax regret treatment choice with finite samples

A-Tier
Journal: Journal of Econometrics
Year: 2009
Volume: 151
Issue: 1
Pages: 70-81

Score contribution per author:

4.022 = (α=2.01 / 1 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This paper applies the minimax regret criterion to choice between two treatments conditional on observation of a finite sample. The analysis is based on exact small sample regret and does not use asymptotic approximations or finite-sample bounds. Core results are: (i) Minimax regret treatment rules are well approximated by empirical success rules in many cases, but differ from them significantly-both in terms of how the rules look and in terms of maximal regret incurred-for small sample sizes and certain sample designs. (ii) Absent prior cross-covariate restrictions on treatment outcomes, they prescribe inference that is completely separate across covariates, leading to no-data rules as the support of a covariate grows. I conclude by offering an assessment of these results.

Technical Details

RePEc Handle
repec:eee:econom:v:151:y:2009:i:1:p:70-81
Journal Field
Econometrics
Author Count
1
Added to Database
2026-01-29