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 by...

In an important class of econometric problems, researchers select a target parameter by maximizing the Euclidean norm of a data-dependent vector. Examples that can be cast into this frame include threshold regression models with estimated thresholds and structural break models with estimated...

In an important class of econometric problems, researchers select a target parameter by maximizing the Euclidean norm of a data-dependent vector. Examples that can be cast into this frame include threshold regression models with estimated thresholds, and structural break models with estimated...

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...