A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)
AbstractA new method, called Relevant Transformation of the Inputs Network Approach 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 data generating process, 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. Copyright 2003 Blackwell Publishing Ltd.
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Bibliographic InfoArticle provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics & Statistics.
Volume (Year): 65 (2003)
Issue (Month): s1 (December)
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0305-9049
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Other versions of this item:
- Teodosio Perez-Amaral & Giampiero M. Gallo & Halbert L. White, 2003. "A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)," Econometrics Working Papers Archive wp2003_04, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Halbert L. White & Giampiero M. Gallo & Teodosio Pérez Amaral, 2002. "A flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)," Documentos del Instituto Complutense de AnÃ¡lisis EconÃ³mico 0201, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Teodosio Perez-Amaral & Giampiero M. Gallo & Halbert White, 2003. "Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)," Documentos del Instituto Complutense de AnÃ¡lisis EconÃ³mico 0309, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
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