Inference for Regression with Variables Generated by AI or Machine Learning

Fuente: arXiv
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Autores principales: Battaglia, Laura, Christensen, Timothy, Hansen, Stephen, Sacher, Szymon
Formato: Preprint
Publicado: 2024
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author Battaglia, Laura
Christensen, Timothy
Hansen, Stephen
Sacher, Szymon
author_facet Battaglia, Laura
Christensen, Timothy
Hansen, Stephen
Sacher, Szymon
contents Researchers now routinely use AI or other machine learning methods to estimate latent variables of economic interest, then plug-in the estimates as covariates in a regression. We show both theoretically and empirically that naively treating AI/ML-generated variables as "data" leads to biased estimates and invalid inference. To restore valid inference, we propose two methods: (1) an explicit bias correction with bias-corrected confidence intervals, and (2) joint estimation of the regression parameters and latent variables. We illustrate these ideas through applications involving label imputation, dimensionality reduction, and index construction via classification and aggregation.
format Preprint
id arxiv_https___arxiv_org_abs_2402_15585
institution arXiv
publishDate 2024
record_format arxiv
spellingShingle Inference for Regression with Variables Generated by AI or Machine Learning
Battaglia, Laura
Christensen, Timothy
Hansen, Stephen
Sacher, Szymon
Econometrics
Machine Learning
Researchers now routinely use AI or other machine learning methods to estimate latent variables of economic interest, then plug-in the estimates as covariates in a regression. We show both theoretically and empirically that naively treating AI/ML-generated variables as "data" leads to biased estimates and invalid inference. To restore valid inference, we propose two methods: (1) an explicit bias correction with bias-corrected confidence intervals, and (2) joint estimation of the regression parameters and latent variables. We illustrate these ideas through applications involving label imputation, dimensionality reduction, and index construction via classification and aggregation.
title Inference for Regression with Variables Generated by AI or Machine Learning
topic Econometrics
Machine Learning
url https://arxiv.org/abs/2402.15585