I am developing an early-warning GLM that predicts insurance claim severity based on characteristics such as industry, age, type of injury, etc. One of the fields that has proved most predictive, Variable X, is not known with certainty early enough in the life of the claim for me to use it in the model.
Would it be appropriate to develop a GLM to predict variable X, and then use this prediction as an input into the original early-warning model? If so, would I re-model the early-warning model with the predicted variable X data or use the original model coefficients based on the actual variable X data?
Thanks in advance.