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Pérez-Amaral, Teodosio and Gallo, Giampiero M. and White, Halbert (2003) A flexible tool for model building: the relevant transformation of the imputs network approach. [ Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 09, 2003, ]
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Official URL: http://eprints.ucm.es/7689/
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.
Item Type: | Working Paper or Technical Report |
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Uncontrolled Keywords: | Relevant Transformation of the Inputs Network Approach (RETINA). Economics models |
Subjects: | Social sciences > Economics > Econometrics |
Series Name: | Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE) |
Volume: | 2003 |
Number: | 09 |
ID Code: | 7689 |
Deposited On: | 10 Mar 2008 |
Last Modified: | 15 Jan 2021 09:23 |
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