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When you write novels, Andrew O’Hagan says, “you take it for granted that the imagination is sovereign. But what happens when you are writing a reported story? Isn’t it dictated by matters of fact and therefore outside the imagination?” These may seem like unpromisingly earnest words—of the kind uttered by a J-school professor at the start of his Reporting 101 class. But they are the key to a riveting book that is, in places, deeply moving.

“The Secret Life” is a reported triptych: three short narrations “from the wild west…