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Strategic Manipulation of Empirical Tests

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Author Info
Wojciech Olszewski
Alvaro Sandroni

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Abstract

Theories can be produced by individuals seeking a good reputation of knowledge. Hence, a significant question is how to test theories anticipating that they might have been produced by (potentially uninformed) experts who prefer their theories not to be rejected. If a theory that predicts exactly like the data generating process is not rejected with high probability then the test is said to not reject the truth. On the other hand, if a false expert, with no knowledge over the data generating process, can strategically select theories that will not be rejected then the test can be ignorantly passed. These tests have limited use because they cannot feasibly dismiss completely uninformed experts. Many tests proposed in the literature (e.g., calibration tests) can be ignorantly passed. Dekel and Feinberg (2006) introduced a class of tests that seemingly have some power of dismissing uninformed experts. We show that some tests from their class can also be ignorantly passed. One of those tests, however, does not reject the truth and cannot be ignorantly passed. Thus, this empirical test can dismiss false experts.We also show that a false reputation of knowledge can be strategically sustained for an arbitrary, but given, number of periods, no matted which test is used (provided that it does not reject the truth). However, false experts can be discredited, even with bounded data sets, if the domain of permissible theories is mildly restricted.

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Paper provided by Northwestern University, Center for Mathematical Studies in Economics and Management Science in its series Discussion Papers with number 1425.

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Date of creation: Mar 2006
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Handle: RePEc:nwu:cmsems:1425

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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. Sergiu Hart & Andreu Mas-Colell, 1999. "A General Class of Adaptative Strategies," Economics Working Papers 373, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
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  2. Fudenberg, Drew & Levine, David K., 1999. "Conditional Universal Consistency," Games and Economic Behavior, Elsevier, vol. 29(1-2), pages 104-130, October. [Downloadable!] (restricted)
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  3. Drew Fudenberg & David K. Levine, 1996. "An Easier Way to Calibrate," Levine's Working Paper Archive 2059, UCLA Department of Economics. [Downloadable!]
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  4. Ehud Kalai, 1995. "Calibrated Forecasting and Merging," Discussion Papers 1144, Northwestern University, Center for Mathematical Studies in Economics and Management Science. [Downloadable!]
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  5. Fudenberg, Drew & Levine, David K., 1995. "Consistency and cautious fictitious play," Journal of Economic Dynamics and Control, Elsevier, vol. 19(5-7), pages 1065-1089. [Downloadable!] (restricted)
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  6. Ehud Lehrer & Eilon Solan, 2003. "No-Regret with Bounded Computational Capacity," Discussion Papers 1373, Northwestern University, Center for Mathematical Studies in Economics and Management Science. [Downloadable!]
  7. Robert Anderson & William Zame, 2001. "Genericity with Infinitely Many Parameters," Advances in Theoretical Economics, Berkeley Electronic Press, vol. 1(advances/), pages 1003-1003. [Downloadable!] (restricted)
  8. 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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  9. Lehrer, Ehud, 2001. "Any Inspection Is Manipulable," Econometrica, Econometric Society, vol. 69(5), pages 1333-47, September.
  10. Sergiu Hart & Andreu Mas-Colell, 2000. "A Simple Adaptive Procedure Leading to Correlated Equilibrium," Econometrica, Econometric Society, vol. 68(5), pages 1127-1150, September.
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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!]
  2. Feinberg, Yossi & Stewart, Colin, 2007. "Testing Multiple Forecasters," Research Papers 1957, Stanford University, Graduate School of Business. [Downloadable!]
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