Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/260393 
Year of Publication: 
2022
Series/Report no.: 
cemmap working paper No. CWP12/22
Publisher: 
Centre for Microdata Methods and Practice (cemmap), London
Abstract: 
This paper develops a novel method for policy choice in a dynamic setting where the available data is a multi-variate time-series. Building on the statistical treatment choice framework, we propose Time-series Empirical Welfare Maximization (T-EWM) methods to estimate an optimal policy rule for the current period or over multiple periods by maximizing an empirical welfare criterion constructed using nonparametric potential outcome time-series. We characterize conditions under which T-EWM consistently learns a policy choice that is optimal in terms of conditional welfare given the time-series history. We then derive a nonasymptotic upper bound for conditional welfare regret and its minimax lower bound. To illustrate the implementation and uses of T-EWM, we perform simulation studies and apply the method to estimate optimal monetary policy rules from macroeconomic time-series data.
Subjects: 
Causal inference
potential outcome time-series
treatment choice
regret bounds
concentration inequalities
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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