Misspecified Model Estimation and Its Impact on Predictions
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arXiv
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| Autores principales: | , , , |
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| Formato: | Preprint |
| Publicado: |
2023
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| Materias: | |
| Acceso en línea: | |
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| _version_ | 1866914470191693824 |
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| author | He, Junnan Hu, Lin Kovach, Matthew Li, Anqi |
| author_facet | He, Junnan Hu, Lin Kovach, Matthew Li, Anqi |
| contents | We study a linear statistical model where outcomes depend on regressors with fixed population coefficients and observation-specific latent coefficients, along with measurement errors. A decision-maker estimates population coefficients and uses the estimates to predict the latent coefficients for a given observation. We analyze how misspecification of some population coefficients distorts predictions, investigating comparative statics with respect to: (1) residual information in regressors associated with misspecified coefficients after projecting out those associated with free coefficients, (2) alignment between misspecification vector and latent-to-coefficient mapping. Applications include employee rating with unconscious bias and LLM-mediated consumer research. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2309_08740 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Misspecified Model Estimation and Its Impact on Predictions He, Junnan Hu, Lin Kovach, Matthew Li, Anqi Theoretical Economics We study a linear statistical model where outcomes depend on regressors with fixed population coefficients and observation-specific latent coefficients, along with measurement errors. A decision-maker estimates population coefficients and uses the estimates to predict the latent coefficients for a given observation. We analyze how misspecification of some population coefficients distorts predictions, investigating comparative statics with respect to: (1) residual information in regressors associated with misspecified coefficients after projecting out those associated with free coefficients, (2) alignment between misspecification vector and latent-to-coefficient mapping. Applications include employee rating with unconscious bias and LLM-mediated consumer research. |
| title | Misspecified Model Estimation and Its Impact on Predictions |
| topic | Theoretical Economics |
| url | https://arxiv.org/abs/2309.08740 |