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Real Time Econometrics
M. Hashem Pesaran 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 - Department of Economics; Centre for Economic Policy Research (CEPR) June 2004 CEPR Discussion Paper No. 4402 Abstract: The Paper considers the problems facing decision-makers using econometric models in real time. It identifies the key stages involved and highlights the role 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.
Keywords: Specification search, data snooping, recursive/sequential modelling, automated model selection JEL Classifications: C51, C52, C53 Working Paper SeriesDate posted: July 01, 2004 ; Last revised: October 13, 2004Suggested CitationContact Information
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