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Empirical Bayes Estimation of Treatment Effects with Many A/B Tests: An Overview

Author

Listed:
  • Eduardo M. Azevedo
  • Alex Deng
  • José L. Montiel Olea
  • E. Glen Weyl

Abstract

The use of large-scale experimentation to screen product innovations is increasingly common. This is a practical guide on how to use treatment effect estimates from a large number of experiments to improve estimates of the effects of each experiment. When thousands of new features are A/B tested by internet companies, the winners tend to be a combination of good features and features that got lucky experimental draws. Empirical Bayes methods are a commonly used tool in statistics to separate good features from lucky draws. We give a user-friendly overview of both classic and recent approaches to this problem.

Suggested Citation

  • Eduardo M. Azevedo & Alex Deng & José L. Montiel Olea & E. Glen Weyl, 2019. "Empirical Bayes Estimation of Treatment Effects with Many A/B Tests: An Overview," AEA Papers and Proceedings, American Economic Association, vol. 109, pages 43-47, May.
    • Handle: RePEc:aea:apandp:v:109:y:2019:p:43-47
    Note: DOI: 10.1257/pandp.20191003
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    File URL: https://www.aeaweb.org/doi/10.1257/pandp.20191003
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    Cited by:

    1. Azevedo, Eduardo M. & Mao, David & Montiel Olea, José Luis & Velez, Amilcar, 2023. "The A/B testing problem with Gaussian priors," Journal of Economic Theory, Elsevier, vol. 210(C).

    More about this item

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • O31 - Economic Development, Innovation, Technological Change, and Growth - - Innovation; Research and Development; Technological Change; Intellectual Property Rights - - - Innovation and Invention: Processes and Incentives

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