Comments on: How Do You Evaluate An Election Forecast?

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By: alexs25

alexs25 — Sat, 13 Oct 2012 18:57:11 +0000

So, I’m not an econometrician or econophysicist or anything of the like, but does it even make sense to think of a Martingale in a bounded interval. Brownian motion in a reflecting or absorbing box is surely not a Martingale, although free Brownian motion is, and so on. It’s a bit fuzzy how to define “no new information arrives” in this sense. Great take on the problem though!

By: Martingales Don’t Do This « Cheap Talk

Martingales Don’t Do This « Cheap Talk — Sat, 13 Oct 2012 15:16:25 +0000

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By: En vrac | Rationalité Limitée

En vrac | Rationalité Limitée — Wed, 03 Oct 2012 07:06:55 +0000

[...] Jeff Ely propose un billet très intéressant sur le statut des prédictions concernant le résultat des élections américaines. En [...]

By: David Miller

David Miller — Wed, 03 Oct 2012 02:49:35 +0000

Hi Jeff! I am skeptical of your analysis of Nate’s forecast. The way I think of it, he’s essentially running a regression, adding new data each day but using the same regression model. (The time trends, convention bounce adjustments, and such are also based on historical data, so we can think of them as arising from the regression as well.) Well, we both know that I’m no econometrician, but it seems to me that if his regression model is correct then his series of forecasts should be a martingale. If his model is misspecified (as all models surely are) then there will be some bias, and therefore autocorrelation, but I cannot say a priori how his model is misspecified.

You write “If there are any trends in the polls that are discernible from data these trends will systematically reflect themselves in the daily forecast.” But “trends” are just correlations; they are not predictive out of sample unless you have a model. That is, if you think you can discern trends in the data that systematically affect Nate’s daily forecast, that means you think you have a better model than Nate does. More broadly, I think you should believe that Nate’s forecasts do not follow a martingale only if your prior over models is not centered on Nate’s model.

By: jeff

jeff — Tue, 02 Oct 2012 22:02:28 +0000

Thanks. I always take the summer off. Got lots of material saved up.

By: Noto

Noto — Tue, 02 Oct 2012 21:28:20 +0000

Just wanted to say that I’m happy to see you back blogging again. You had kind of a lull there for awhile this summer. Welcome back!