Aggregation of misspecified experts

Bach Dong-Xuan ()
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Bach Dong-Xuan: National Economics University

Economic Theory, 2024, vol. 78, issue 3, No 8, 923-943

Abstract: Abstract We investigate how a cautious decision maker might aggregate opinions from experts who are concerned with model misspecification. We use Cerreia-Vioglio et al. (in: Working paper or preprint, 2022, https://bfi.uchicago.edu/wp-content/uploads/BFI_WP_2020103.pdf ) criterion to account for concerns related to model misspecification. Under a Pareto-type axiom and a cautious axiom, the decision maker, whose preference falls within the class of variational preferences proposed by Maccheroni et al. (Econometrica, 74(6):1447–1498, 2006), also takes model misspecification into account. The decision maker regards all the experts’ structured models as her most accurate approximations of the correct model and penalizes unstructured models less than any expert.

Keywords: Aggregation of opinions; Model misspecification; Caution; Variational preferences; D7; D8 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s00199-024-01552-1

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