» Econometrics
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Conditional Moment Restrictions" Journal
of Econometrics 34 305-334. ... cesses"
Chapter 45 in Handbook of Econometrics
Volume IV R. Engle and ...
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Real Time Econometrics
Source: rady.ucsd.edu
Topic: Econometrics
Sort Desciption: opment of real-time econometrics and the dialog between Granger and Hendry ...... The challenge facing real time econometrics is to provide insight into ...
Content Inside: Real Time Econometrics Hashem Pesaran Cambridge University and USC Allan Timmermann University of California San Diego March 28 2004 Abstract This paper considers the problems facing decision makers using econo- metric 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 makers actions to the data generating process is also discussed and highlighted through an example. JEL Classification: C51 C52 C53. Key Words: Specification Search Data Snooping Recursive/Sequential Modelling Automated Model Selection. 1 Introduction The focus of econometric analysis has predominantly been on retrospectively estimating and interpreting economic relationships. However in many uses of econometric models by businesses governments central banks and traders in financial markets the focus is on making decisions in real time and hence there is an urgent need to develop robust interactive systems that use econometric mod- els to guide decisions in real time. This use of econometric methods is of course not without precursors and is closely related to the development of sequential analysis pioneered by Wald (1947) and recursive estimation methods proposed by Brown Durbin and Evans (1975) for use in real time quality control. 1 We are grateful to Peter Phillips Clive Granger Ron Smith Steven Durlauf Mardi Dungey and an anonymous referee for their helpful comments. Hashem Pesaran is particularly grateful to Bahram Pesaran for his help with practicing some of the ideas discussed in this paper. 1 Sequential or recursive techniques have also been used extensively in biomedical research and engineering. Dawid (1984) has been advocating the use of probability forecasting in sequent ...
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