Publications [#374246] of Matthew A Masten

Journal Articles

1. Masten, MA, Minimax-regret treatment rules with many treatments, Japanese Economic Review, vol. 74 no. 4 (October, 2023), pp. 501-537 [doi]
   (last updated on 2026/01/20)

   Abstract:
   Statistical treatment rules map data into treatment choices. Optimal treatment rules maximize social welfare. Although some finite sample results exist, it is generally difficult to prove that a particular treatment rule is optimal. This paper develops asymptotic and numerical results on minimax-regret treatment rules when there are many treatments. I first extend a result of Hirano and Porter (Econometrica 77:1683–1701, 2009) to show that an empirical success rule is asymptotically optimal under the minimax-regret criterion. The key difference is that I use a permutation invariance argument from Lehmann (Ann Math Stat 37:1–6, 1966) to solve the limit experiment instead of applying results from hypothesis testing. I then compare the finite sample performance of several treatment rules. I find that the empirical success rule performs poorly in unbalanced designs, and that when prior information about treatments is symmetric, balanced designs are preferred to unbalanced designs. Finally, I discuss how to compute optimal finite sample rules by applying methods from computational game theory.