Automated Discovery in Econometrics

22 Pages Posted: 27 Jul 2004

See all articles by Peter C. B. Phillips

Peter C. B. Phillips

Yale University - Cowles Foundation; University of Auckland; University of Southampton; Singapore Management University - School of Economics

Date Written: July 2004

Abstract

Our subject is the notion of automated discovery in econometrics. Advances in computer power, electronic communication, and data collection processes have all changed the way econometrics is conducted. These advances have helped to elevate the status of empirical research within the economics profession in recent years and they now open up new possibilities for empirical econometric practice. Of particular significance is the ability to build econometric models in an automated way according to an algorithm of decision rules that allow for (what we call here) heteroskedastic and autocorrelation robust (HAR) inference. Computerized search algorithms may be implemented to seek out suitable models, thousands of regressions and model evaluations may be performed in seconds, statistical inference may be automated according to the properties of the data, and policy decisions can be made and adjusted in real time with the arrival of new data. We discuss some aspects and implications of these exciting, emergent trends in econometrics.

Keywords: Automation, discovery, HAC estimation, HAR inference, model building, online econometrics, policy analysis, prediction, trends

JEL Classification: C32, C10, C50, C87

Suggested Citation

Phillips, Peter C. B., Automated Discovery in Econometrics (July 2004). Available at SSRN: https://ssrn.com/abstract=569301

Peter C. B. Phillips (Contact Author)

Yale University - Cowles Foundation ( email )

Box 208281
New Haven, CT 06520-8281
United States
203-432-3695 (Phone)
203-432-5429 (Fax)

University of Auckland ( email )

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Auckland
New Zealand
+64 9 373 7599 x7596 (Phone)

University of Southampton

Southampton, SO17 1BJ
United Kingdom

Singapore Management University - School of Economics

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178903
Singapore

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