A Comparison of Complementary Automatic Modeling Methods: Retina and Pcgets

Posted: 26 Mar 2006

See all articles by Teodosio Perez Amaral

Teodosio Perez Amaral

Complutense University of Madrid - Facultad de Económicas y Empresariales

Giampiero M. Gallo

Corte dei Conti - Italian Court of Audits; University of Bologna - Rimini Center for Economic Analysis (RCEA); CRENoS

Halbert L. White, Jr.

University of California, San Diego (UCSD) - Department of Economics

Abstract

In Perez-Amaral, Gallo, and White (2003), the authors proposed an automatic predictive modelling 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. In this paper we compare the characteristics of RETINA with PcGets, a well-known automatic modeling method proposed by David Hendry. We point out similarities, differences, and complementarities of the two methods. In an example using US telecommunications demand data we find that RETINA can improve both in- and out-of-sample over the usual linear regression model, and over some models suggested by PcGets. Thus, both methods are useful components of the modern applied econometrician's automated modelling tool chest.

Suggested Citation

Perez Amaral, Teodosio and Gallo, Giampiero M. and White, Halbert L., A Comparison of Complementary Automatic Modeling Methods: Retina and Pcgets. Econometric Theory, Vol. 21, No. 1, pp. 262-277, February 1, 2005 , Available at SSRN: https://ssrn.com/abstract=892016

Teodosio Perez Amaral

Complutense University of Madrid - Facultad de Económicas y Empresariales ( email )

Madrid, 28223
Spain

Giampiero M. Gallo (Contact Author)

Corte dei Conti - Italian Court of Audits ( email )

viale Mazzini
Roma, Roma 00195
Italy

University of Bologna - Rimini Center for Economic Analysis (RCEA) ( email )

Via Patara, 3
Rimini (RN), RN 47900
Italy

CRENoS ( email )

V. S. Ignazio 78
Cagliari, 09124
ITALY

Halbert L. White

University of California, San Diego (UCSD) - Department of Economics ( email )

9500 Gilman Drive
La Jolla, CA 92093-0508
United States
858-534-3502 (Phone)
858-534-7040 (Fax)

HOME PAGE: http://www.econ.ucsd.edu/~mbacci/white/

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