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IZA
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Real Time Econometrics
by
M. Hashem Pesaran, Allan Timmermann
(April 2004)
published in: Econometric Theory, 2005, 21 (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.
Text: See Discussion Paper No. 1108 
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