Minimax Regret in Practice - Four Examples on Treatment Choice1

Minimax regret is an exact method for deriving a recommendation based on a small sample. It can incorporate costs in its measurement of opportunity loss (regret) in terms of not making the best choice. In this paper we present the methodolgy and implement it in four examples from di¤erent …elds: medicine, development policy, experimental game theory and macro economics. We focus on the comparison between two treatments with unknown response. Recommendations based on the binomial average rule, the correlated binomial average rule and on the empirical success rule are derived. Point estimates of the treatment e¤ect round o¤ the picture. Key words: correlated binomial average rule, empirical success rule, estimation, minimmax regret, treatment e¤ect. JEL classi…cation numbers: C44, D81, C72, C90.