This paper studies the following problem. An agent takes actions based on a possibly misspecified model. The agent is 'large', in the sense that his actions influence the model he is trying to learn about. The agent is aware of potential model misspecification and tries to detect it, in...

The authors consider the following scenario: Two agents construct models of an endogenous price process. One agent thinks the data are stationary, the other thinks the data are nonstationary. A policymaker combines forecasts from the two models using a recursive Bayesian model averaging...