REAL-TIME ECONOMETRICS

Mohammad Pesaran and Allan Timmermann

Econometric Theory, 2005, vol. 21, issue 1, 212-231

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.

Date: 2005
References: Add references at CitEc
Citations: View citations in EconPapers (22)

Downloads: (external link)
https://www.cambridge.org/core/product/identifier/ ... type/journal_article link to article abstract page (text/html)

Related works:
Working Paper: Real Time Econometrics (2004)
Working Paper: Real Time Econometrics (2004)
Working Paper: Real Time Econometrics (2004)
Working Paper: Real Time Econometrics (2004)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:21:y:2005:i:01:p:212-231_05

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Kirk Stebbing ().