Publication: A flexible tool for model building: the relevant transformation of the imputs network approach
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2003
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Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)
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Abstract
A new method, called Relevant Transformation of the Inputs Network Approach (RETINA) is proposed as a tool for model building. It is designed around flexibility (with nonlinear transformations of the predictors of interest), selective search within the range of possible models, out-of-sample forecasting ability and computational simplicity. In tests on simulated data, it shows both a high rate of successful retrieval of the DGP which increases with the sample size and a good performance relative to other alternative procedures. A telephone service demand model is built to show how the procedure applies on real data.
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Econometría (Economía)
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5302 Econometría
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