A flexible tool for model building:the relevant transformation of the imputs network approach

  1. Pérez Amaral, Teodosio
  2. Gallo, Giampiero
  3. White, Halbert
Aldizkaria:
Documentos de Trabajo (ICAE)

ISSN: 2341-2356

Argitalpen urtea: 2003

Zenbakia: 9

Mota: Laneko dokumentua

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Beste argitalpen batzuk: Documentos de Trabajo (ICAE)

Laburpena

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.

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