A Comparison of Complementary Automatic Modeling Methods: RETINA and PcGets
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- Perez-Amaral, Teodosio & Gallo, Giampiero M. & White, Halbert, 2005. "A COMPARISON OF COMPLEMENTARY AUTOMATIC MODELING METHODS: RETINA AND PcGets," Econometric Theory, Cambridge University Press, vol. 21(1), pages 262-277, February.
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Cited by:
- 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.
- Antipa, P. & Barhoumi, K. & Brunhes-Lesage, V. & Darné, O., 2012. "Nowcasting German GDP: A comparison of bridge and factor models," Working papers 401, Banque de France.
- 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.
- 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.
- Phillips, Peter C.B., 2005.
"Automated Discovery In Econometrics,"
Econometric Theory, Cambridge University Press, vol. 21(1), pages 3-20, February.
- Peter C.B. Phillips, 2004. "Automated Discovery in Econometrics," Cowles Foundation Discussion Papers 1469, Cowles Foundation for Research in Economics, Yale University.
- Jennifer Castle & David Hendry, 2013. "Semi-automatic Non-linear Model selection," Economics Series Working Papers 654, University of Oxford, Department of Economics.
- 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.
- 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.
- Barhoumi, K. & Brunhes-Lesage, V. & Darné, 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.
- Giampiero M. Gallo, 2017. "Hendry, David F. and Doornik, Jurgen A.: Empirical model discovery and theory evaluation: automatic selection methods in econometrics," Journal of Economics, Springer, vol. 120(3), pages 279-281, April.
- Leonel Cerno & Teodosio Pérez Amaral, 2006. "Medición y Determinantes de la Brecha Tecnológica en España," Documentos de Trabajo del ICAE 0601, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Marcin Blazejowski & Pawel Kufel & Tadeusz Kufel, 2009. "Automatic Procedure of Building Congruent Dynamic Model in Gretl," EHUCHAPS, in: Ignacio Díaz-Emparanza & Petr Mariel & María Victoria Esteban (ed.), Econometrics with gretl. Proceedings of the gretl Conference 2009, edition 1, chapter 5, pages 75-89, Universidad del País Vasco - Facultad de Ciencias Económicas y Empresariales.
- Giuseppe Parigi & Roberto Golinelli, 2007. "The use of monthly indicators to forecast quarterly GDP in the short run: an application to the G7 countries," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(2), pages 77-94.
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Keywords
Model selection; cross-validation; flexible modelling; information criteria; forecasting.;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2005-05-23 (Econometrics)
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