Real Time Econometrics
M. Hashem Pesaran
University of Southern California; Cambridge University - Faculty of Economics; CESifo (Center for Economic Studies and Ifo Institute for Economic Research); Institute for the Study of Labor (IZA)
Allan G. Timmermann
University of California, San Diego (UCSD) - Department of Economics; Centre for Economic Policy Research (CEPR)
IZA Discussion Paper No. 1108; CESifo Working Paper Series No. 1169
This paper considers the problems facing decision-makers using econometric models in real time. It identifies the key stages involved and highlights the role of automated systems in reducing the effect of data snooping. It sets out many choices that researchers face in construction of automated systems and discusses some of the possible ways advanced in the literature for dealing with them. The role of feedbacks from the decision-maker's actions to the data generating process is also discussed and highlighted through an example.
Number of Pages in PDF File: 22
Keywords: specification search, data snooping, recursive/sequential modelling, automated model selection
JEL Classification: C51, C52, C53working papers series
Date posted: April 22, 2004
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