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6 votes
5 answers

The relation between econometrics and machine learning

In my understanding the utility of econometrics versus machine learning is generally argued to be the research of causality. If I'm not wrong, when we put aside experimental economics, the golden ...
mobupu's user avatar
  • 161
3 votes
2 answers

Propensity Score Matching

Just for example: Say I am trying to measure the impact of pills, exercise, and vaccines on a dependent variable y. For simplicity, pills, exercise and vaccines are binomial so either 0 or 1. However, ...
GreenArrow's user avatar
2 votes
1 answer

How to use panel data for a time series machine learning problem?

I am trying to determine if machine learning models provide better predictions of stock market returns when a proxy for investor sentiment is included as factor in the explanatory data. I am using ...
Andrew's user avatar
  • 21
1 vote
2 answers

Big Data: New Tricks for Econometrics

I'm reading the paper "Big Data: New Tricks for Econometrics" by Hal R. Varian here. Can someone point out what does "p < 0.001 , p = 0.01" in Figure 4, Page 12 mean. They haven'...
Harry's user avatar
  • 21
1 vote
1 answer

Machine learning and Inflation forecasting

Is machine learning a good tool to use in order to forecast inflation for the short term (next 2 - 3 years on a monthly or quarterly basis)? I want to be able to forecast inflation for Canada for the ...
eddie's user avatar
  • 173
1 vote
0 answers

Correct procedure for Inference from the Lasso

Firstly, I'm from the more ML-y side of town so apologies for the naive questions. I have a situation with a treatment variable $D\in \{0,1\}$, covariates $X\in \mathbb{R}^p$ and a response variable $...
user40229's user avatar
0 votes
1 answer

Research in Applications of Machine Learning Techniques to Economics

I am a new graduate student in economics, and my advisor has recently focused on applying machine learning techniques to economics. It seems natural for me to take up this area, but I heard the rumors ...
zyy's user avatar
  • 111