On incentive-compatible estimators

Kfir Eliaz and Ran Spiegler ()

Games and Economic Behavior, 2022, vol. 132, issue C, 204-220

Abstract: An estimator is incentive-compatible (for a given prior belief regarding the model's true parameters) if it does not give an agent an incentive to misreport the value of his covariates. Eliaz and Spiegler (2019) studied incentive-compatibility of estimators in a setting with a single binary explanatory variable. We extend this analysis to penalized-regression estimation in a simple multi-variable setting. Our results highlight the incentive problems that are created by the element of variable selection/shrinkage in the estimation procedure.

Keywords: Incentive-compatible estimators; Penalized regression; Lasso; Online platforms (search for similar items in EconPapers)
Date: 2022
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Working Paper: Incentive Compatible Estimators (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:gamebe:v:132:y:2022:i:c:p:204-220

DOI: 10.1016/j.geb.2022.01.002

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