期刊名称：Cambridge Working Papers in Economics / Faculty of Economics ; Department of Applied Economics
出版年度：2004
卷号：1
出版社：Cambridge University
摘要：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抯 actions to the data generating process is also discussed and highlighted through an example.
关键词：specification search, data snooping, recursive/sequential modelling, automated model selection
