A Theory of Experimenters
46 Pages Posted: 25 Oct 2017
Date Written: October 16, 2017
This paper proposes a decision-theoretic framework for experiment design. We model experimenters as ambiguity-averse decision-makers, who make trade-offs between subjective expected performance and robustness. This framework accounts for experimenters’ preference for randomization, and clarifies the circumstances in which randomization is optimal: when the available sample size is large enough or robustness is an important concern. We illustrate the practical value of such a framework by studying the issue of rerandomization. Rerandomization creates a trade-off between subjective performance and robustness. However, robustness loss grows very slowly with the number of times one randomizes. This argues for rerandomizing in most environments.
Keywords: experiment design, robustness, ambiguity aversion, randomization, rerandomization
JEL Classification: C900, D780, D810
Suggested Citation: Suggested Citation