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Evaluating PcGets and RETINA as Automatic Model Selection Algorithms

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  • Jennifer L. Castle

Abstract

The paper describes two automatic model selection algorithms, RETINA and PcGets, briefly discussing how the algorithms work and what their performance claims are. RETINA's Matlab implementation of the code is explained, then the program is compared with PcGets on the data in Perez‐Amaral, Gallo and White (2005, Econometric Theory, Vol. 21, pp. 262–277), ‘A Comparison of Complementary Automatic Modelling Methods: RETINA and PcGets’, and Hoover and Perez (1999, Econometrics Journal, Vol. 2, pp. 167–191), ‘Data Mining Reconsidered: Encompassing and the General‐to‐specific Approach to Specification Search’. Monte Carlo simulation results assess the null and non‐null rejection frequencies of the RETINA and PcGets model selection algorithms in the presence of nonlinear functions.

Suggested Citation

  • Jennifer L. Castle, 2005. "Evaluating PcGets and RETINA as Automatic Model Selection Algorithms," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(s1), pages 837-880, December.
    • Handle: RePEc:bla:obuest:v:67:y:2005:i:s1:p:837-880
    DOI: 10.1111/j.1468-0084.2005.00143.x
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    1. Clements,Michael & Hendry,David, 1998. "Forecasting Economic Time Series," Cambridge Books, Cambridge University Press, number 9780521634809, November.
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    1. Antipa, Pamfili & Barhoumi, Karim & Brunhes-Lesage, Véronique & Darné, Olivier, 2012. "Nowcasting German GDP: A comparison of bridge and factor models," Journal of Policy Modeling, Elsevier, vol. 34(6), pages 864-878.
    2. Olivier Darne & Amelie Charles, 2020. "Nowcasting GDP growth using data reduction methods: Evidence for the French economy," Economics Bulletin, AccessEcon, vol. 40(3), pages 2431-2439.
    3. Jennifer Castle & David Hendry, 2013. "Semi-automatic Non-linear Model selection," Economics Series Working Papers 654, University of Oxford, Department of Economics.
    4. Amélie Charles & Olivier Darné, 2022. "Backcasting world trade growth using data reduction methods," The World Economy, Wiley Blackwell, vol. 45(10), pages 3169-3191, October.
    5. Darné, O. & Brunhes-Lesage, V., 2007. "L’indicateur synthétique mensuel d’activité (ISMA) : une révision," Bulletin de la Banque de France, Banque de France, issue 162, pages 21-36.
    6. David F. Hendry & Hans‐Martin Krolzig, 2004. "We Ran One Regression," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 66(5), pages 799-810, December.
    7. Golinelli, Roberto & Parigi, Giuseppe, 2008. "Real-time squared: A real-time data set for real-time GDP forecasting," International Journal of Forecasting, Elsevier, vol. 24(3), pages 368-385.
    8. Camila Epprecht & Dominique Guegan & Álvaro Veiga, 2013. "Comparing variable selection techniques for linear regression: LASSO and Autometrics," Documents de travail du Centre d'Economie de la Sorbonne 13080, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    9. Camila Epprecht & Dominique Guegan & Álvaro Veiga & Joel Correa da Rosa, 2017. "Variable selection and forecasting via automated methods for linear models: LASSO/adaLASSO and Autometrics," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00917797, HAL.
    10. Santos, Carlos, 2008. "Impulse saturation break tests," Economics Letters, Elsevier, vol. 98(2), pages 136-143, February.
    11. Amélie Charles & Olivier Darné, 2022. "Backcasting world trade growth using data reduction methods," Post-Print hal-04027843, HAL.
    12. Brunhes-Lesage, Véronique & Darné, Olivier, 2012. "Nowcasting the French index of industrial production: A comparison from bridge and factor models," Economic Modelling, Elsevier, vol. 29(6), pages 2174-2182.
    13. Jennifer Castle & David Hendry, 2010. "Automatic Selection for Non-linear Models," Economics Series Working Papers 473, University of Oxford, Department of Economics.
    14. Barhoumi, K. & Brunhes-Lesage, V. & Darn , O. & Ferrara, L. & Pluyaud, B. & Rouvreau, B., 2008. "Monthly forecasting of French GDP: A revised version of the OPTIM model," Working papers 222, Banque de France.

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