PcGets

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.


References in zbMATH (referenced in 32 articles , 1 standard article )

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  1. Bekaert, Geert; Hoerova, Marie: The VIX, the variance premium and stock market volatility (2014)
  2. Huang, Tao; Fildes, Robert; Soopramanien, Didier: The value of competitive information in forecasting FMCG retail product sales and the variable selection problem (2014)
  3. Castle, Jennifer L.; Clements, Michael P.; Hendry, David F.: Forecasting by factors, by variables, by both or neither? (2013)
  4. Savin, Ivan; Winker, Peter: Lasso-type and heuristic strategies in model selection and forecasting (2013)
  5. Savin, Ivan; Winker, Peter: Heuristic optimization methods for dynamic panel data model selection: application on the Russian innovative performance (2012)
  6. Caggiano, Giovanni; Kapetanios, George; Labhard, Vincent: Are more data always better for factor analysis? Results for the euro area, the six largest euro area countries and the UK (2011)
  7. Barhoumi, Karim; Darné, Olivier; Ferrara, Laurent: Are disaggregate data useful for factor analysis in forecasting French GDP? (2010)
  8. Bollerslev, Tim (ed.); Russell, Jeffrey R. (ed.); Watson, Mark W. (ed.): Volatility and time series econometrics. Essays in honor of Robert F. Engle (2010)
  9. Hassler, Uwe: Testing regression coefficients after model selection through sign restrictions (2010)
  10. Johansen, Søren; Nielsen, Bent: Discussion: The forward search: theory and data analysis (2010)
  11. Renfro, Charles G.: The practice of econometric theory. An examination of the characteristics of econometric computation (2009)
  12. Hsu, Nan-Jung; Hung, Hung-Lin; Chang, Ya-Mei: Subset selection for vector autoregressive processes using lasso (2008)
  13. Romano, Joseph P.; Shaikh, Azeem M.; Wolf, Michael: Formalized data snooping based on generalized error rates (2008)
  14. Santos, Carlos; Hendry, David F.; Johansen, Soren: Automatic selection of indicators in a fully saturated regression (2008)
  15. Fukuda, Kosei: Joint detection of unit roots and cointegration: data-based simulation (2007)
  16. Kapetanios, George: Variable selection in regression models using nonstandard optimisation of information criteria (2007)
  17. Juselius, Katarina: The cointegrated VAR model: Methodology and applications. (2006)
  18. Kapetanios, George: Choosing the optimal set of instruments from large instrument sets (2006)
  19. Ooms, Marius; Doomik, Jurgen A.: Econometric software development: past, present and future (2006)
  20. Granger, Clive W.J.; Hendry, David F.: A dialogue concerning a new instrument for econometric modeling (2005)

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