Comparative Testing of Experts
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.
Volume (Year): 76 (2008)
Issue (Month): 3 (05)
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- Kalai, Ehud & Lehrer, Ehud & Smorodinsky, Rann, 1999.
"Calibrated Forecasting and Merging,"
Games and Economic Behavior,
Elsevier, vol. 29(1-2), pages 151-169, October.
- Ehud Kalai & Ehud Lehrer & Rann Smorodinsky, 2010. "Calibrated Forecasting and Merging," Levine's Working Paper Archive 584, David K. Levine.
- Ehud Kalai, 1995. "Calibrated Forecasting and Merging," Discussion Papers 1144, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Ehud Kalai, 1995. "Calibrated Forecasting and Merging," Discussion Papers 1144R, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Drew Fudenberg & David K. Levine, 1996.
"An Easier Way to Calibrate,"
Levine's Working Paper Archive
2059, David K. Levine.
- Lehrer, Ehud, 2001. "Any Inspection Is Manipulable," Econometrica, Econometric Society, vol. 69(5), pages 1333-47, September.
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