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

Halbert White, Giampiero M. Gallo () and Teodosio Pérez Amaral ()
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Teodosio Pérez Amaral: Departamento de Analisis Economico, Universidad Complutense de Madrid

Documentos del Instituto Complutense de Análisis Económico from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales

Abstract: A new method, called relevant transformation of the inputs network approach (RETINA) is proposed as a tool for model building and selection. It is designed to improve some of the shortcomings of neural networks. It has the flexibility of neural network models, the concavity of the likelihood in the weights of the usual likelihood models, and the ability to identify a parsimonious set of attributes that are likely to be relevant for predicting out of sample outcomes. RETINA expands the range of models by considering transformations of the original inputs; splits the sample in three disjoint subsamples, sorts the candidate regressors by a saliency feature, chooses the models in subsample 1, uses subsample 2 for parameter estimation and subsample 3 for cross-validation. It is modular, can be used as a data exploratory tool and is computationally feasible in personal computers. In tests on simulated data, it achieves high rates of successes when the sample size or the R2 are large enough. As our experiments show, it is superior to alternative procedures such as the non negative garrote and forward and backward stepwise regression.

New Economics Papers: this item is included in nep-ecm
Date: 2002

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Related works:
Working Paper: Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA) (2003)
Working Paper: A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA) (2003)
Journal Article: A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA) (2003)
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Persistent link: http://EconPapers.repec.org/RePEc:ucm:doicae:0201

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