Automated discovery in econometrics

Show simple item record Phillips, P.C.B. en 2009-09-07T01:20:59Z en 2009-09-07T01:20:59Z en 2005 en
dc.identifier.citation Econometric Theory 21 (1), 3-20. 2005 en
dc.identifier.issn 0266-4666 en
dc.identifier.other eid=2-s2.0-15744405732 en
dc.identifier.uri en
dc.description An open access copy of this article is available and complies with the copyright holder/publisher conditions. en
dc.description.abstract Our subject is the notion of automated discovery in econometrics. Advances in computer power, electronic communication, and data collection processes have all changed the way econometrics is conducted. These advances have helped to elevate the status of empirical research within the economics profession in recent years, and they now open up new possibilities for empirical econometric practice. Of particular significance is the ability to build econometric models in an automated way according to an algorithm of decision rules that allow for (what we call here) heteroskedastic and autocorrelation robust (HAR) inference. Computerized search algorithms may be implemented to seek out suitable models, thousands of regressions and model evaluations may be performed in seconds, statistical inference may be automated according to the properties of the data, and policy decisions can be made and adjusted in real time with the arrival of new data. We discuss some aspects and implications of these exciting, emergent trends in econometrics. en
dc.publisher Cambridge University Press en
dc.relation.ispartofseries Econometric Theory en
dc.rights Items in ResearchSpace are protected by copyright, with all rights reserved, unless otherwise indicated. Previously published items are made available in accordance with the copyright policy of the publisher. Details obtained from en
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dc.title Automated discovery in econometrics en
dc.type Journal Article en
dc.identifier.doi 10.1017/S0266466605050024 en
pubs.issue 1 en
pubs.begin-page 3 en
pubs.volume 21 en
dc.description.version VoR - Version of Record en
dc.rights.holder Copyright: Cambridge University Press. en
pubs.end-page 20 en
dc.rights.accessrights en

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