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Testable forecasts
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| Veröffentlicht in: | Theoretical economics 16(2021), 1 vom: Jan., Seite 129-160 |
|---|---|
| Personen und Körperschaften: | |
| Titel: | Testable forecasts/ Luciano Pomatto |
| Format: | E-Book-Kapitel |
| Sprache: | Englisch |
| veröffentlicht: |
2021
|
| Gesamtaufnahme: |
: Theoretical economics, 16(2021), 1 vom: Jan., Seite 129-160
, volume:16 |
| Schlagwörter: | |
| Quelle: | Verbunddaten SWB Lizenzfreie Online-Ressourcen |
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| 520 | |a Predictions about the future are commonly evaluated through statistical tests. As shown by recent literature, many known tests are subject to adverse selection problems and cannot discriminate between forecasters who are competent and forecasters who are uninformed but predict strategically. We consider a framework where forecasters' predictions must be consistent with a paradigm, a set of candidate probability laws for the stochastic process of interest. The paper presents necessary and sufficient conditions on the paradigm under which it is possible to discriminate between informed and uninformed forecasters. We show that optimal tests take the form of likelihood-ratio tests comparing forecasters' predictions against the predictions of a hypothetical Bayesian outside observer. In addition, the paper illustrates a new connection between the problem of testing strategic forecasters and the classical Neyman-Pearson paradigm of hypothesis testing. | ||
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| contents | Predictions about the future are commonly evaluated through statistical tests. As shown by recent literature, many known tests are subject to adverse selection problems and cannot discriminate between forecasters who are competent and forecasters who are uninformed but predict strategically. We consider a framework where forecasters' predictions must be consistent with a paradigm, a set of candidate probability laws for the stochastic process of interest. The paper presents necessary and sufficient conditions on the paradigm under which it is possible to discriminate between informed and uninformed forecasters. We show that optimal tests take the form of likelihood-ratio tests comparing forecasters' predictions against the predictions of a hypothetical Bayesian outside observer. In addition, the paper illustrates a new connection between the problem of testing strategic forecasters and the classical Neyman-Pearson paradigm of hypothesis testing. |
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| spelling | Pomatto, Luciano VerfasserIn aut, Testable forecasts Luciano Pomatto, 2021, Text txt rdacontent, Computermedien c rdamedia, Online-Ressource cr rdacarrier, DE-206 Open Access Controlled Vocabulary for Access Rights http://purl.org/coar/access_right/c_abf2, Predictions about the future are commonly evaluated through statistical tests. As shown by recent literature, many known tests are subject to adverse selection problems and cannot discriminate between forecasters who are competent and forecasters who are uninformed but predict strategically. We consider a framework where forecasters' predictions must be consistent with a paradigm, a set of candidate probability laws for the stochastic process of interest. The paper presents necessary and sufficient conditions on the paradigm under which it is possible to discriminate between informed and uninformed forecasters. We show that optimal tests take the form of likelihood-ratio tests comparing forecasters' predictions against the predictions of a hypothetical Bayesian outside observer. In addition, the paper illustrates a new connection between the problem of testing strategic forecasters and the classical Neyman-Pearson paradigm of hypothesis testing., DE-206 Namensnennung - Nicht kommerziell 4.0 International CC BY-NC 4.0 cc https://creativecommons.org/licenses/by-nc/4.0/, Strategic forecasting, hypothesis testing, Aufsatz in Zeitschrift DE-206, Enthalten in Theoretical economics Toronto : Wiley, 2006 16(2021), 1 vom: Jan., Seite 129-160 Online-Ressource (DE-627)507184807 (DE-600)2220447-7 (DE-576)28129948X 1555-7561 nnns, volume:16 year:2021 number:1 month:01 pages:129-160, https://econtheory.org/ojs/index.php/te/article/viewFile/20210129/29620/850 Verlag kostenfrei, https://doi.org/10.3982/TE3767 Resolving-System kostenfrei, http://hdl.handle.net/10419/253490 Resolving-System kostenfrei, https://doi.org/10.3982/TE3767 LFER, https://econtheory.org/ojs/index.php/te/article/viewFile/20210129/29620/850 LFER, LFER 2021-02-09T10:42:38Z |
| spellingShingle | Pomatto, Luciano, Testable forecasts, Predictions about the future are commonly evaluated through statistical tests. As shown by recent literature, many known tests are subject to adverse selection problems and cannot discriminate between forecasters who are competent and forecasters who are uninformed but predict strategically. We consider a framework where forecasters' predictions must be consistent with a paradigm, a set of candidate probability laws for the stochastic process of interest. The paper presents necessary and sufficient conditions on the paradigm under which it is possible to discriminate between informed and uninformed forecasters. We show that optimal tests take the form of likelihood-ratio tests comparing forecasters' predictions against the predictions of a hypothetical Bayesian outside observer. In addition, the paper illustrates a new connection between the problem of testing strategic forecasters and the classical Neyman-Pearson paradigm of hypothesis testing., Strategic forecasting, hypothesis testing, Aufsatz in Zeitschrift |
| title | Testable forecasts |
| title_auth | Testable forecasts |
| title_full | Testable forecasts Luciano Pomatto |
| title_fullStr | Testable forecasts Luciano Pomatto |
| title_full_unstemmed | Testable forecasts Luciano Pomatto |
| title_in_hierarchy | Testable forecasts / Luciano Pomatto, |
| title_short | Testable forecasts |
| title_sort | testable forecasts |
| topic | Strategic forecasting, hypothesis testing, Aufsatz in Zeitschrift |
| topic_facet | Strategic forecasting, hypothesis testing, Aufsatz in Zeitschrift |
| url | https://econtheory.org/ojs/index.php/te/article/viewFile/20210129/29620/850, https://doi.org/10.3982/TE3767, http://hdl.handle.net/10419/253490 |