| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w19565 |
| 来源ID | Working Paper 19565 |
| To Hold Out or Not to Hold Out | |
| Frank Schorfheide; Kenneth I. Wolpin | |
| 发表日期 | 2013-10-24 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | A recent literature has developed that combines two prominent empirical approaches to ex ante policy evaluation: randomized controlled trials (RCT) and structural estimation. The RCT provides a "gold-standard'' estimate of a particular treatment, but only of that treatment. Structural estimation provides the capability to extrapolate beyond the experimental treatment, but is based on untestable assumptions and is subject to structural data mining. Combining the approaches by holding out from the structural estimation exercise either the treatment or control sample allows for external validation of the underlying behavioral model. Although intuitively appealing, this holdout methodology is not well grounded. For instance, it is easy to show that it is suboptimal from a Bayesian perspective. Using a stylized representation of a randomized controlled trial, we provide a formal rationale for the use of a holdout sample in an environment in which data mining poses an impediment to the implementation of the ideal Bayesian analysis and a numerical illustration of the potential benefits of holdout samples. |
| 主题 | Econometrics ; Estimation Methods |
| URL | https://www.nber.org/papers/w19565 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/577240 |
| 推荐引用方式 GB/T 7714 | Frank Schorfheide,Kenneth I. Wolpin. To Hold Out or Not to Hold Out. 2013. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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