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Mostly Calibrated

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  • Feinberg, Yossi

    (Stanford University)

  • Lambert, Nicolas S.

    (Stanford University)

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    Abstract

    Prequential testing of a forecaster is known to be manipulable if the test must pass an informed forecaster for all possible true distributions. Stewart (2011) provides a non-manipulable prequential likelihood test that only fails an informed forecaster on a small, category I, set of distributions. We present a prequential test based on calibration that also fails the informed forecaster on at most a category I set of true distributions and is non-manipulable. Our construction sheds light on the relationship between likelihood and calibration with respect to the distributions they reject.

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    Bibliographic Info

    Paper provided by Stanford University, Graduate School of Business in its series Research Papers with number 2090.

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    Date of creation: Dec 2011
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    Handle: RePEc:ecl:stabus:2090

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    1. Colin Stewart, 2009. "Nonmanipulable Bayesian Testing," Working Papers tecipa-360, University of Toronto, Department of Economics.
    2. Eddie Dekel & Yossi Feinberg, 2006. "Non-Bayesian Testing of a Stochastic Prediction," Discussion Papers 1418, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    3. Nabil I. Al-Najjar & Jonathan Weinstein, 2008. "Comparative Testing of Experts," Econometrica, Econometric Society, vol. 76(3), pages 541-559, 05.
    4. Ehud Kalai, 1995. "Calibrated Forecasting and Merging," Discussion Papers 1144R, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    5. Shmaya, Eran, 2008. "Many inspections are manipulable," Theoretical Economics, Econometric Society, vol. 3(3), September.
    6. Yossi Feinberg & Colin Stewart, 2008. "Testing Multiple Forecasters," Econometrica, Econometric Society, vol. 76(3), pages 561-582, 05.
    7. Wojciech Olszewski & Alvaro Sandroni, 2008. "Manipulability of Future-Independent Tests," Econometrica, Econometric Society, vol. 76(6), pages 1437-1466, November.
    8. Wojciech Olszewski & Alvaro Sandroni, 2006. "Strategic Manipulation of Empirical Tests," Discussion Papers 1425, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    9. Alvaro Sandroni, 2003. "The reproducible properties of correct forecasts," International Journal of Game Theory, Springer, vol. 32(1), pages 151-159, December.
    10. Lehrer, Ehud, 2001. "Any Inspection Is Manipulable," Econometrica, Econometric Society, vol. 69(5), pages 1333-47, September.
    11. 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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