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Eco-RETINA: a green flexible algorithm for model building

Author

Listed:
  • Capilla, Javier

    (Instituto Complutense de Análisis Económico (ICAE), Universidad Complutense de Madrid (Spain).)

  • Alcaraz, Alba

    (Instituto Complutense de Análisis Económico (ICAE), Universidad Complutense de Madrid (Spain).)

  • Valarezo, Ã ngel

    (Instituto Complutense de Análisis Económico (ICAE), Universidad Complutense de Madrid (Spain).)

  • García-Hiernaux, Alfredo

    (Instituto Complutense de Análisis Económico (ICAE), Universidad Complutense de Madrid (Spain).)

  • Pérez Amaral, Teodosio

    (Instituto Complutense de Análisis Económico (ICAE), Universidad Complutense de Madrid (Spain).)

Abstract

Eco-RETINA is an innovative and eco-friendly algorithm explicitly designed for out-of-sample prediction. Functioning as a regression-based flexible approximator, it is linear in parameters but nonlinear in inputs, employing a selective model search to optimize performance. The algorithm adeptly manages multicollinearity while emphasizing speed, accuracy, and environmental sustainability. Its modular and transparent structure facilitates easy interpretation and modification, making it an invaluable tool for researchers in developing explicit models for out-of-sample forecasting. The algorithm generates outputs such as a list of relevant transformed inputs, coefficients, standard deviations, and confidence intervals, enhancing its interpretability.

Suggested Citation

  • Capilla, Javier & Alcaraz, Alba & Valarezo, à ngel & García-Hiernaux, Alfredo & Pérez Amaral, Teodosio, 2025. "Eco-RETINA: a green flexible algorithm for model building," Documentos de Trabajo del ICAE 2025-01, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    • Handle: RePEc:ucm:doicae:2501
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    File URL: https://hdl.handle.net/20.500.14352/117836
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    References listed on IDEAS

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    1. Teodosio Perez‐Amaral & Giampiero M. Gallo & Halbert White, 2003. "A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(s1), pages 821-838, December.
    2. 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.
    3. Hal R. Varian, 2014. "Big Data: New Tricks for Econometrics," Journal of Economic Perspectives, American Economic Association, vol. 28(2), pages 3-28, Spring.
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    More about this item

    Keywords

    Eco-RETINA; Out-of-sample prediction.;

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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