Corpus ID: 195848222

Competing Models

@article{Olea2019CompetingM,
  title={Competing Models},
  author={J. L. Olea and P. Ortoleva and M. Pai and A. Prat},
  journal={Econometrics: Econometric & Statistical Methods - General eJournal},
  year={2019}
}
  • J. L. Olea, P. Ortoleva, +1 author A. Prat
  • Published 2019
  • Computer Science, Economics
  • Econometrics: Econometric & Statistical Methods - General eJournal
  • We develop a model in which different agents compete to predict a variable of interest. This variable is related to observables via an unknown data generating process. All agents are Bayesian, but may have `misspecified models' of the world, i.e., they consider different subsets of observables to make their prediction. After observing a common dataset, who has the highest confidence in her predictive ability? We characterize it and show that it crucially depends on the size of the dataset. With… CONTINUE READING
    11 Citations

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