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Testing Multiple Forecasters

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Author Info
Feinberg, Yossi (Stanford U)
Stewart, Colin (Yale U)

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Abstract

We consider a cross-calibration test of predictions by multiple potential experts in a stochastic environment. This test checks whether each expert is calibrated conditional on the predictions made by other experts. We show that this test is good in the sense that a true expert--one informed of the true distribution of the process--is guaranteed to pass the test no matter what the other potential experts do, and false experts will fail the test on all but a small (category one) set of true distributions. Furthermore, even when there is no true expert present, a test similar to cross-calibration cannot be simultaneously manipulated by multiple false experts, but at the cost of failing some true experts. In contrast, tests that allow false experts to make precise predictions can be jointly manipulated.

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Paper provided by Stanford University, Graduate School of Business in its series Research Papers with number 1957.

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Date of creation: Jan 2007
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Handle: RePEc:ecl:stabus:1957

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Vladimir Vovk & Glenn Shafer, 2005. "Good randomized sequential probability forecasting is always possible," Journal Of The Royal Statistical Society Series B, Royal Statistical Society, vol. 67(5), pages 747-763. [Downloadable!] (restricted)
  2. Eddie Dekel & Yossi Feinberg, 2006. "Non-Bayesian Testing of a Stochastic Prediction," Review of Economic Studies, Blackwell Publishing, vol. 73(4), pages 893-906, October. [Downloadable!] (restricted)
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  3. Drew Fudenberg & David K. Levine, 1997. "Conditional Universal Consistency," Levine's Working Paper Archive 471, David K. Levine. [Downloadable!]
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  4. Alvaro Sandroni, 2003. "The reproducible properties of correct forecasts," International Journal of Game Theory, Springer, vol. 32(1), pages 151-159, December. [Downloadable!] (restricted)
  5. Wojciech Olszewski & Alvaro Sandroni, 2006. "Strategic Manipulation of Empirical Tests," Discussion Papers 1425, Northwestern University, Center for Mathematical Studies in Economics and Management Science. [Downloadable!]
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  6. Kalai, Ehud & Lehrer, Ehud & Smorodinsky, Rann, 1999. "Calibrated Forecasting and Merging," Games and Economic Behavior, Elsevier, vol. 29(1-2), pages 151-169, October. [Downloadable!] (restricted)
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  1. Alvaro Sandroni & Wojciech Olszewski, 2008. "Manipulability of Future-Independent Tests," PIER Working Paper Archive 08-014, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
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  2. Alvaro Sandroni & Wojciech Olszewski, 2008. "Falsifiability," PIER Working Paper Archive 08-016, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
  3. Colin Stewart, 2009. "Nonmanipulable Bayesian Testing," Working Papers tecipa-360, University of Toronto, Department of Economics. [Downloadable!]
  4. Alvaro Sandroni & Wojciech Olszewski, 2008. "Strategic Manipulation of Empirical Tests," PIER Working Paper Archive 08-015, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
    Other versions:
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