Mostly calibrated

Yossi Feinberg () and Nicolas Lambert

International Journal of Game Theory, 2015, vol. 44, issue 1, 153-163

Abstract: Prequential testing of a forecaster is known to be manipulable if the test must pass an informed forecaster for all possible true distributions. Stewart (J Econ Theory 146(5):2029–2041, 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. Copyright Springer-Verlag Berlin Heidelberg 2015

Keywords: Testing forecasters; Calibration test (search for similar items in EconPapers)
Date: 2015
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Working Paper: Mostly Calibrated (2011)
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DOI: 10.1007/s00182-014-0423-0

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