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Erscheinungsjahr: 
2004
Schriftenreihe/Nr.: 
CESifo Working Paper No. 1169
Verlag: 
Center for Economic Studies and ifo Institute (CESifo), Munich
Zusammenfassung: 
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.
Schlagwörter: 
specification search
data snooping
recursive/sequential modelling
automated model selection
Dokumentart: 
Working Paper
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