Goodness-of-fit and utility estimation: what's possible and what's not
Fuente:
arXiv
Guardado en:
| Autores principales: | , , |
|---|---|
| Formato: | Preprint |
| Publicado: |
2024
|
| Materias: | |
| Acceso en línea: | |
| Etiquetas: |
Agregar Etiqueta
Sin Etiquetas, Sea el primero en etiquetar este registro!
|
| _version_ | 1866912898179137536 |
|---|---|
| author | Chen, Yujian Lanier, Joshua Quah, John K. -H. |
| author_facet | Chen, Yujian Lanier, Joshua Quah, John K. -H. |
| contents | A goodness-of-fit index measures the consistency of consumption data with a given model of utility-maximization. We show that for the class of well-behaved (i.e., continuous and increasing) utility functions there is no goodness-of-fit index that is continuous and accurate, where the latter means that a perfect score is obtained if and only if a dataset can be rationalized by a well-behaved utility function. While many standard goodness-of-fit indices are inaccurate we show that these indices are (in a sense we make precise) essentially accurate. Goodness-of-fit indices are typically generated by loss functions and we find that standard loss functions usually do not yield a best-fitting utility function when they are minimized. Nonetheless, welfare comparisons can be made by working out a robust preference relation from the data. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2405_08464 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Goodness-of-fit and utility estimation: what's possible and what's not Chen, Yujian Lanier, Joshua Quah, John K. -H. Theoretical Economics A goodness-of-fit index measures the consistency of consumption data with a given model of utility-maximization. We show that for the class of well-behaved (i.e., continuous and increasing) utility functions there is no goodness-of-fit index that is continuous and accurate, where the latter means that a perfect score is obtained if and only if a dataset can be rationalized by a well-behaved utility function. While many standard goodness-of-fit indices are inaccurate we show that these indices are (in a sense we make precise) essentially accurate. Goodness-of-fit indices are typically generated by loss functions and we find that standard loss functions usually do not yield a best-fitting utility function when they are minimized. Nonetheless, welfare comparisons can be made by working out a robust preference relation from the data. |
| title | Goodness-of-fit and utility estimation: what's possible and what's not |
| topic | Theoretical Economics |
| url | https://arxiv.org/abs/2405.08464 |