Real Time Econometrics

Mohammad Pesaran and Allan Timmermann

No 1108, IZA Discussion Papers from Institute of Labor Economics (IZA)

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.

Keywords: recursive/sequential modelling; data snooping; specification search; automated model selection (search for similar items in EconPapers)
JEL-codes: C51 C52 C53 (search for similar items in EconPapers)
Pages: 22 pages
Date: 2004-04
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-hpe
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Published - published in: Econometric Theory, 2005, 21 (1), 212-231

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https://docs.iza.org/dp1108.pdf (application/pdf)

Related works:
Journal Article: REAL-TIME ECONOMETRICS (2005)
Working Paper: Real Time Econometrics (2004)
Working Paper: Real Time Econometrics (2004)
Working Paper: Real Time Econometrics (2004)
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