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Comparative Testing of Experts

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  • Nabil I. Al-Najjar
  • Jonathan Weinstein

Abstract

We show that a simple "reputation-style" test can always identify which of two experts is informed about the true distribution. The test presumes no prior knowledge of the true distribution, achieves any desired degree of precision in some fixed finite time, and does not use "counterfactual" predictions. Our analysis capitalizes on a result of Fudenberg and Levine (1992) on the rate of convergence of supermartingales. Copyright Copyright 2008 by The Econometric Society.

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File URL: http://hdl.handle.net/10.1111/j.1468-0262.2008.00846.x
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Bibliographic Info

Article provided by Econometric Society in its journal Econometrica.

Volume (Year): 76 (2008)
Issue (Month): 3 (05)
Pages: 541-559

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Handle: RePEc:ecm:emetrp:v:76:y:2008:i:3:p:541-559

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  1. Fudenberg, Drew & Levine, David, 1999. "An Easier Way to Calibrate," Scholarly Articles 3203773, Harvard University Department of Economics.
  2. Ehud Kalai, 1995. "Calibrated Forecasting and Merging," Discussion Papers 1144R, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  3. Lehrer, Ehud, 2001. "Any Inspection Is Manipulable," Econometrica, Econometric Society, vol. 69(5), pages 1333-47, September.
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Cited by:
  1. Feinberg, Yossi & Stewart, Colin, 2007. "Testing Multiple Forecasters," Research Papers 1957, Stanford University, Graduate School of Business.
  2. Wojciech Olszewski & Alvaro Sandroni, 2006. "Strategic Manipulation of Empirical Tests," Discussion Papers 1425, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  3. Wojciech Olszewski & Alvaro Sandroni, 2008. "Manipulability of Future-Independent Tests," Econometrica, Econometric Society, vol. 76(6), pages 1437-1466, November.
  4. Colin Stewart, 2009. "Nonmanipulable Bayesian Testing," Working Papers tecipa-360, University of Toronto, Department of Economics.
  5. Wojciech Olszewski & Alvaro Sandroni, 2011. "Falsifiability," American Economic Review, American Economic Association, vol. 101(2), pages 788-818, April.
  6. Feinberg, Yossi & Lambert, Nicolas S., 2011. "Mostly Calibrated," Research Papers 2090, Stanford University, Graduate School of Business.
  7. Alvaro Sandroni & Wojciech Olszewski, 2008. "Falsifiability," PIER Working Paper Archive 08-016, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  8. Dean Foster & Rakesh Vohra, 2011. "Calibration: Respice, Adspice, Prospice," Discussion Papers 1537, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  9. Al-Najjar, Nabil I. & Sandroni, Alvaro & Smorodinsky, Rann & Weinstein, Jonathan, 2010. "Testing theories with learnable and predictive representations," Journal of Economic Theory, Elsevier, vol. 145(6), pages 2203-2217, November.

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