Working Paper: CEPR ID: DP4402
Authors: M. Hashem Pesaran; Allan G. Timmermann
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.
Keywords: automated model selection; data snooping; recursive-sequential modelling; specification search
JEL Codes: C51; C52; C53
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| automated systems (L63) | better decision-making outcomes (D91) |
| automated systems (L63) | data snooping effects (C52) |
| decision actions (D70) | underlying economic conditions (E66) |