TY  - RPRT
        AU  - Pesaran, M. Hashem
AU  - Timmermann, Allan
        TI  - Real Time Econometrics
        PY  - 2004/Apr/
        PB  - Institute of Labor Economics (IZA)
        CY  - Bonn
        T2  - IZA Discussion Paper
        IS  - 1108
        UR  - https://www.iza.org/publications/dp1108
        AB  - 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.
        KW  - recursive/sequential modelling
KW  - data snooping
KW  - specification search
KW  - automated model selection
        ER  -