Nonlinear Models

Use this for suggestions about improvements in RATS

Nonlinear Models

Unread postby Ken-Cogger » Thu Aug 08, 2013 9:38 am

I know there is a neural nets option in RATS, but are there any procedures for Multivariate Adaptive Regression Splines (MARS)
or Hinging Hyperplanes (HHP) which have become reasonable alternatives?
MARS was introduced by Friedman (1991) Annals of Statistics, vol 19, pp 1-141.
HHP was introduced by Breiman (1993) IEEE Transactions on Information Theory, vol 39, pp 999-1013.

Both can be represented as tree structures similar to neural nets, but their basis functions are piecewise linear,
affording greater ease of interpretation in econometric applications. Have these been implemented in RATS or
are there plans to do so? (I am familiar with the Bai-Perron procedure in RATS, but it is limited in scope.)
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