Econometrica: May, 2008, Volume 76, Issue 3

Testing Multiple Forecasters

https://doi.org/10.1111/j.1468-0262.2008.00847.x
p. 561-582

Yossi Feinberg, Colin Stewart

We consider a test of predictions by multiple potential experts in a stochastic environment. This test checks whether each expert is calibrated conditional on the predictions made by other experts. We show that this test is good in the sense that a true expert—one informed of the true distribution of the process—is guaranteed to pass the test no matter what the other potential experts do, and false experts will fail the test on all but a small (category I) set of true distributions. Furthermore, even when there is no true expert present, a test similar to cross‐calibration cannot be simultaneously manipulated by multiple false experts, but at the cost of failing some true experts.