Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/20343
Authors: 
Pesaran, Mohammad Hashem
Timmermann, Allan
Year of Publication: 
2004
Series/Report no.: 
IZA Discussion paper series 1108
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.
Subjects: 
specification search
data snooping
recursive/sequential modelling
automated model selection
JEL: 
C52
C53
C51
Document Type: 
Working Paper

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