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.
|Date of creation:||Dec 2011|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: (650) 723-2146
Web page: http://gsbapps.stanford.edu/researchpapers/
More information through EDIRC
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.:
- Eddie Dekel & Yossi Feinberg, 2006.
"Non-Bayesian Testing of a Stochastic Prediction,"
1418, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Ehud Kalai, 1995.
"Calibrated Forecasting and Merging,"
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.
- Ehud Kalai & Ehud Lehrer & Rann Smorodinsky, 2010. "Calibrated Forecasting and Merging," Levine's Working Paper Archive 584, David K. Levine.
- Colin, Stewart, 2011.
"Nonmanipulable Bayesian testing,"
Journal of Economic Theory,
Elsevier, vol. 146(5), pages 2029-2041, September.
- 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.
- Nabil I. Al-Najjar & Jonathan Weinstein, 2006.
"Comparative Testing of Experts,"
Levine's Working Paper Archive
321307000000000590, David K. Levine.
- Feinberg, Yossi & Stewart, Colin, 2007.
"Testing Multiple Forecasters,"
1957, Stanford University, Graduate School of Business.
- Alvaro Sandroni, 2003. "The reproducible properties of correct forecasts," International Journal of Game Theory, Springer, vol. 32(1), pages 151-159, December.
- Shmaya, Eran, 2008. "Many inspections are manipulable," Theoretical Economics, Econometric Society, vol. 3(3), September.
- 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.
- Wojciech Olszewski & Alvaro Sandroni, 2008.
"Manipulability of Future-Independent Tests,"
Econometric Society, vol. 76(6), pages 1437-1466, November.
- Lehrer, Ehud, 2001. "Any Inspection Is Manipulable," Econometrica, Econometric Society, vol. 69(5), pages 1333-47, September.
When requesting a correction, please mention this item's handle: RePEc:ecl:stabus:2090. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ()
If references are entirely missing, you can add them using this form.