REAL-TIME ECONOMETRICS

M. Hashem Pesaran · Allan Timmermann

61 citations0/0 files storedEconometric Theory

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Forecasting Techniques and Applications Control Systems and Identification Statistical Methods and Inference

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.

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References

2002Macroeconomic Forecasting Using Diffusion Indexes 1986Forecasting With Bayesian Vector Autoregressions—Five Years of Experience 1995Predictability of Stock Returns: Robustness and Economic Significance 2001Model uncertainty in cross‐country growth regressions 2001A real-time data set for macroeconomists 1986Forecasting with Bayesian Vector Autoregressions: Five Years of Experience 2000Economic and statistical measures of forecast accuracy 2002Market timing and return prediction under model instability

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