What is the meaning of a regression parameter? Why is this the de facto standard object of interest for statistical inference? These are delicate issues, especially when the model is misspecified. We argue that focusing on predictive quantities may be a desirable alternative.
"Comment: Statistical Inference from a Predictive Perspective." Statist. Sci. 34 (4) 599 - 603, November 2019. https://doi.org/10.1214/19-STS748