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Real Time EconometricsM. Hashem PesaranUniversity 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. TimmermannUniversity of California, San Diego (UCSD) - Department of Economics; Centre for Economic Policy Research (CEPR) April 2004 IZA Discussion Paper No. 1108; CESifo Working Paper Series No. 1169 Abstract: 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, C53 working papers seriesDate posted: April 22, 2004Suggested CitationContact Information
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