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The Model Selection Curse

Author

Listed:
  • Kfir Eliaz
  • Ran Spiegler

Abstract

A statistician takes an action on behalf of an agent, based on the agent's self-reported personal data and a sample involving other people. The action that he takes is an estimated function of the agent's report. The estimation procedure involves model selection. We ask the following question: Is truth-telling optimal for the agent given the statistician's procedure? We analyze this question in the context of a simple example that highlights the role of model selection. We suggest that our simple exercise may have implications for the broader issue of human interaction with machine learning algorithms.

Suggested Citation

  • Kfir Eliaz & Ran Spiegler, 2019. "The Model Selection Curse," American Economic Review: Insights, American Economic Association, vol. 1(2), pages 127-140, September.
    • Handle: RePEc:aea:aerins:v:1:y:2019:i:2:p:127-40
    Note: DOI: 10.1257/aeri.20180485
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    Cited by:

    1. Andreas Haupt & Dylan Hadfield-Menell & Chara Podimata, 2023. "Recommending to Strategic Users," Papers 2302.06559, arXiv.org.
    2. Mehmet Caner & Kfir Eliaz, 2021. "Shoiuld Humans Lie to Machines: The Incentive Compatibility of Lasso and General Weighted Lasso," Papers 2101.01144, arXiv.org, revised Sep 2021.
    3. Eric Danan & Thibault Gajdos & Jean-Marc Tallon, 2023. "Tailored recommendations," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, vol. 60(1), pages 15-34, January.
    4. Jeanne Hagenbach & Aurélien Salas, 2025. "Strategic Information Disclosure to Classification Algorithms: An Experiment," Post-Print hal-05464751, HAL.
    5. Eliaz, Kfir & Spiegler, Ran, 2022. "On incentive-compatible estimators," Games and Economic Behavior, Elsevier, vol. 132(C), pages 204-220.
    6. Gong, Aibo & Ke, Shaowei & Qiu, Yawen & Shen, Rui, 2022. "Robust pricing under strategic trading," Journal of Economic Theory, Elsevier, vol. 199(C).
    7. Ganesh Iyer & T. Tony Ke, 2022. "Competitive Algorithmic Targeting and Model Selection," NBER Chapters, in: Economics of Artificial Intelligence, National Bureau of Economic Research, Inc.
    8. Ganesh Iyer & T. Tony Ke, 2024. "Competitive Model Selection in Algorithmic Targeting," Marketing Science, INFORMS, vol. 43(6), pages 1226-1241, November.

    More about this item

    JEL classification:

    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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