April 2004

IZA DP No. 1108: Real Time Econometrics

published in: Econometric Theory, 2005, 21 (1), 212-231

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.