Taking advantage of biased proxies for forecast evaluation
利用有偏代理变量评估预测表现
This paper rehabilitates biased proxies for the assessment of the predictive accuracy of competing forecasts. By relaxing the ubiquitous assumption of proxy unbiasedness adopted in the theoretical and empirical literature, we show how to optimally combine (possibly) biased proxies to maximize the probability of inferring the ranking that would be obtained using the true latent variable, a property that we dub proxy reliability. Our procedure still preserves the robustness of…