A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)

• Autores: Teodosio Pérez Amaral, Giampiero Gallo, Halbert White
• Localización: Oxford bulletin of economics and statistics, ISSN 0305-9049, Vol. 65, Nº. 6, 2003, págs. 821-838
• Idioma: inglés
• Texto completo no disponible (Saber más ...)
• Dialnet Métricas: 2 Citas
• Resumen

  • A 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.