DP4402 Real Time Econometrics

Author(s): M Hashem Pesaran, Allan Timmermann
Publication Date: June 2004
Keyword(s): automated model selection, data snooping, recursive/sequential modelling, specification search
JEL(s): C51, C52, C53
Programme Areas: Financial Economics
Link to this Page: cepr.org/active/publications/discussion_papers/dp.php?dpno=4402

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.