Real Time Econometrics

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: IZA Discussion Papers ; No. 1108

Classification and Topics

• Classification: Wirtschaft ; Model Evaluation, Validation, and Selection ; Forecasting Models; Simulation Methods ; Model Construction and Estimation
• Subject: specification search ; data snooping ; recursive/sequential modelling ; automated model selection ; Ökonometrie ; Zeit ; Management-Informationssystem ; Theorie

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Pesaran, Mohammad Hashem ; Timmermann, Allan
• Event: Veröffentlichung
• (who): Institute for the Study of Labor (IZA)
• (where): Bonn
• (when): 2004

Further information

• Handle: http://hdl.handle.net/10419/20343
• Last update: 10.03.2025, 11:43 AM CET