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Events

In light of the current public health COVID-19 situation, all of our public events have been cancelled, postponed or moved online.

Virtual Seminar in Economic Theory: Cheating with (Recursive) Models

Thursday, 28 May 2020
16:00 to 17:00
Speaker: Kfir Eliaz, Professor of Economics, Tel‐Aviv University
Virtual seminar

Speaker: Kfir Eliaz, Professor of Economics, Tel‐Aviv University

Join the event by signing up here

Abstract:

To what extent can misspecified subjective models distort correlations? We study an “analyst” who utilizes models that take the form of a recursive system of linear regression equations. The analyst fits each equation to an objective empirical distribution, using OLS. We characterize the maximal pairwise correlation that the analyst’s model can predict given a generic objective covariance matrix, subject to the constraint that the estimated model does not distort the mean and variance of individual variables. We show that as the number of variables in the model grows, the estimated pairwise correlation can become arbitrarily large, regardless of the objective correlation.

Find out more about the speaker here

Virtual Seminar in Economic Theory: Cheating with (Recursive) Models

Thursday, 28 May 2020
16:00 to 17:00
Speaker: Kfir Eliaz, Professor of Economics, Tel‐Aviv University
Virtual seminar

Speaker: Kfir Eliaz, Professor of Economics, Tel‐Aviv University

Join the event by signing up here

Abstract:

To what extent can misspecified subjective models distort correlations? We study an “analyst” who utilizes models that take the form of a recursive system of linear regression equations. The analyst fits each equation to an objective empirical distribution, using OLS. We characterize the maximal pairwise correlation that the analyst’s model can predict given a generic objective covariance matrix, subject to the constraint that the estimated model does not distort the mean and variance of individual variables. We show that as the number of variables in the model grows, the estimated pairwise correlation can become arbitrarily large, regardless of the objective correlation.

Find out more about the speaker here

Virtual Seminar in Economic Theory: Cheating with (Recursive) Models

Thursday, 28 May 2020
16:00 to 17:00
Speaker: Kfir Eliaz, Professor of Economics, Tel‐Aviv University
Virtual seminar

Speaker: Kfir Eliaz, Professor of Economics, Tel‐Aviv University

Join the event by signing up here

Abstract:

To what extent can misspecified subjective models distort correlations? We study an “analyst” who utilizes models that take the form of a recursive system of linear regression equations. The analyst fits each equation to an objective empirical distribution, using OLS. We characterize the maximal pairwise correlation that the analyst’s model can predict given a generic objective covariance matrix, subject to the constraint that the estimated model does not distort the mean and variance of individual variables. We show that as the number of variables in the model grows, the estimated pairwise correlation can become arbitrarily large, regardless of the objective correlation.

Find out more about the speaker here