REAL-TIME ECONOMETRICS
Copyright policy )REAL-TIME ECONOMETRICS
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.
- University of California, San Diego United States
- University of California System United States
- University of Cambridge United Kingdom
- Centre for Economic Policy Research United Kingdom
model selection, Statistical decision theory, Management decision making, including multiple objectives, Zeit, feedback effects, finance, Decision theory, cross-validation, C51, specification search, C52, Ökonometrie, C53, Applications of statistics to economics, ddc:330, model averaging, prediction, specification search, data snooping, recursive/sequential modelling, automated model selection, data snooping, recursive/sequential modelling, automated model selection; data snooping; recursive/sequential modelling; specification search, automated model selection, Theorie, Management-Informationssystem, jel: jel:C52, jel: jel:C53, jel: jel:C51
model selection, Statistical decision theory, Management decision making, including multiple objectives, Zeit, feedback effects, finance, Decision theory, cross-validation, C51, specification search, C52, Ökonometrie, C53, Applications of statistics to economics, ddc:330, model averaging, prediction, specification search, data snooping, recursive/sequential modelling, automated model selection, data snooping, recursive/sequential modelling, automated model selection; data snooping; recursive/sequential modelling; specification search, automated model selection, Theorie, Management-Informationssystem, jel: jel:C52, jel: jel:C53, jel: jel:C51
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