An Auditable AI Agent Loop for Empirical Economics: A Case Study in Forecast Combination

Abstract: AI coding agents make empirical specification search fast and cheap, but they also widen hidden researcher degrees of freedom. Building on an open-source agent-loop architecture, this paper recasts a minimal coding loop as a transparent protocol for empirical economics. In a forecast-combination illustration, multiple independent agent runs outperform standard benchmarks in the original rolling evaluation, but not all continue to do so on a post-search holdout. Logged search and holdout evaluation together make adaptive specification search visible and help distinguish robust improvements from sample-specific discoveries.