TEODOSIO PEREZ-AMARAL () (Departamento de Analisis Economico, Universidad Complutense de Madrid. 28223 Madrid, Spain) GIAMPIERO M. GALLO () (Dipartimento di Statistica “G. Parenti”, Università di Firenze, Viale G.B.Morgagni, 59 50134 Firenze, Italy) HALBERT WHITE () (* Department of Economics, University of California, San Diego, 9500 Gilman Drive. La Jolla, CA, 92093-0508, USA)
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A new method, called Relevant Transformation of the Inputs Network Approach (RETINA) isproposed 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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