swMATH ID: 1937
Software Authors: Perez-Amaral, Teodosio; Gallo, Giampiero M.; White, Halbert
Description: A comparison of complementary automatic modeling methods: RETINA and PcGets. The authors [Oxford Bull. Econom. Stat. 65, Suppl. 1, 821–838 (2003)] proposed an automatic predictive modeling tool called relevant transformation of the inputs network approach (RETINA). It is designed to embody flexibility (using nonlinear transformations of the predictors of interest), selective search within the range of possible models, control of collinearity, out-of-sample forecasting ability, and computational simplicity. Here they compare the characteristics of RETINA with PcGets, a well-known automatic modeling method proposed by D. Hendry. We point out similarities, differences, and complementarities of the two methods. In an example using U.S. telecommunications demand data they find that RETINA can improve both in- and out-of-sample over the usual linear regression model and over some models like PcGets. Thus, both methods are useful components of the modern applied econometric automated modeling tool chest.
Homepage: http://journals.cambridge.org/action/displayAbstract?fromPage=online&aid=281024
Keywords: econometric modeling
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Cited in: 46 Documents

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