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Calibration and Bayesian learning

  • Nurlan Turdaliev
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    In a repeated game of incomplete information, myopic players form beliefs on next-period play and choose strategies to maximize next-period payoffs. Beliefs are treated as forecast of future plays. Forecast accuracy is assessed using calibration tests, which measure asymptotic accuracy of beliefs against some realizations. Beliefs are calibrated if they pass all calibration tests. For a positive Lebesgue measure of payoff vectors, beliefs are not calibrated. But, if payoff vector and calibration test are drawn from a suitable product measure, beliefs pass the calibration test almost surely.

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    Paper provided by Federal Reserve Bank of Minneapolis in its series Working Papers with number 596.

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    Date of creation: 1999
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    Handle: RePEc:fip:fedmwp:596
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