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REAL-TIME ECONOMETRICS

Published online by Cambridge University Press:  08 February 2005

Hashem Pesaran  and
Allan Timmermann
Hashem Pesaran
Affiliation:
Cambridge University and University of Southern California
Allan Timmermann
Affiliation:
University of California, San Diego
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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.

Type
Research Article
Information
Econometric Theory , Volume 21 , Issue 1 , February 2005 , pp. 212 - 231
Copyright
© 2005 Cambridge University Press

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