{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,2,13]],"date-time":"2026-02-13T07:42:48Z","timestamp":1770968568139,"version":"3.50.1"},"reference-count":14,"publisher":"Cambridge University Press (CUP)","issue":"3","license":[{"start":{"date-parts":[[2012,11,12]],"date-time":"2012-11-12T00:00:00Z","timestamp":1352678400000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2013,6]]},"abstract":"<jats:p>We study the problem of identifying a forecaster\u2019s loss function from observations on forecasts, realizations, and the forecaster\u2019s information set. Essentially different loss functions can lead to the same forecasts in all situations, though within the class of all continuous loss functions, this is strongly nongeneric. With the small set of exceptional cases ruled out, generic nonparametric preference recovery is theoretically possible, but identification depends critically on the amount of variation in the conditional distributions of the process being forecast. There exist processes with sufficient variability to guarantee identification, and much of this variation is also necessary for a process to have universal identifying power. We also briefly address the case in which the econometrician does not fully observe the conditional distributions used by the forecaster, and in this context we provide a practically useful <jats:italic>set<\/jats:italic> identification result for loss functions used in forecasting binary variables.<\/jats:p>","DOI":"10.1017\/s0266466612000461","type":"journal-article","created":{"date-parts":[[2012,11,12]],"date-time":"2012-11-12T14:26:19Z","timestamp":1352730379000},"page":"517-544","source":"Crossref","is-referenced-by-count":5,"title":["ON THE RECOVERABILITY OF FORECASTERS\u2019 PREFERENCES"],"prefix":"10.1017","volume":"29","author":[{"given":"Robert P.","family":"Lieli","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Maxwell B.","family":"Stinchcombe","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2012,11,12]]},"reference":[{"key":"S0266466612000461_ref14","doi-asserted-by":"crossref","first-page":"1172","DOI":"10.1198\/016214506000001176","article-title":"Testing forecast optimality under unknown loss","volume":"102","author":"Patton","year":"2007","journal-title":"Journal of the American Statistical Association"},{"key":"S0266466612000461_ref9","volume-title":"Handbook of Economic Forecasting","author":"Granger","year":"2006"},{"key":"S0266466612000461_ref2","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1007\/BF02419243","article-title":"Sur les Fonctions de Variables R\u00e9elles (th\u00e8se)","volume":"3","author":"Baire","year":"1899","journal-title":"Annali di Matematica Pura ed Applicata"},{"key":"S0266466612000461_ref5","unstructured":"Elliott, G. , Komunjer, I. , & Timmermann, A. (2003) Estimating Loss Function Parameters. 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(2005) Testable Implications of Forecast Optimality. Working paper, Department of Economics, London School of Economics and Political Science.","DOI":"10.2139\/ssrn.688861"}],"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466612000461","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2020,12,11]],"date-time":"2020-12-11T22:59:51Z","timestamp":1607727591000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466612000461\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2012,11,12]]},"references-count":14,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2013,6]]}},"alternative-id":["S0266466612000461"],"URL":"https:\/\/doi.org\/10.1017\/s0266466612000461","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2012,11,12]]}}}