MACHINE LEARNING or STATISTICAL LEARNING
Department of Economics, University
of California - Davis Fall 2017
SLIDES: MACHINE LEARNING FOR MICROECONOMETRICS
A 35 minute presentation October 28 2017.
Presented over two
seminars at University of Sydney April 2017.
Based on class notes for ECN 240F in Spring 2016, in
turn based on the two statistical learning books by Hastie,
Tibsharani and coauthors.
Abstract: These slides attempt to explain machine
learning to empirical economists familiar with regression
methods. The slides cover standard machine learning methods for
prediction such as k-fold cross-validation, lasso, regression
trees and random forests. The slides conclude with some recent
econometrics research that incorporates machine learning methods
in causal models estimated using observational data,
specifically (1) IV with many instruments, (2) OLS in the
partial linear model with many controls, and (3) ATE in
heterogeneous effects model with many controls.
For statistical learning the main text used in 240F is an
undergraduate / masters level book
ISL: Gareth James, Daniela Witten, Trevor Hastie and
Robert Tibsharani (2013), An Introduction to Statistical
Learning: with Applications in R, Springer.
A free legal pdf is at http://www-bcf.usc.edu/~gareth/ISL/
and a $25 hardcopy can be obtained via
Supplementary material on statistical learning came from the
Ph.D. level book
A new book that ia good but I haven't used is
ESL: Trevor Hastie, Robert Tibsharani and Jerome
Friedman (2009), The Elements of Statistical Learning: Data
Mining, Inference and Prediction, Springer.
A free legal pdf is at
and a $25 hardcopy can be obtained via
Bradley Efron and Trevor Hastie (2016) Computer Age
Statistical Inference: Algorithms, Evidence and Data Science,
Cambridge University Press.
LEADERS IN ECONOMETRICS
Bringing established machine learning methods into
econometrics is currently an active area. The literature focuses
on valid statistical inference controlling for fist-stage data
mining, and causal inference. Leading econometricians include
Alex Belloni https://faculty.fuqua.duke.edu/~abn5/belloni-index.html
Christian Hansen http://faculty.chicagobooth.edu/christian.hansen/research/
Susan Athey https://www.gsb.stanford.edu/faculty-research/faculty/susan-athey
Guido Imbens https://www.gsb.stanford.edu/faculty-research/faculty/guido-w-imbens
Coursera has many courses https://www.coursera.org/browse/data-science/machine-learning?languages=en
REFERENCES FOR 240F Spring 2016 + one newer
This is a very active area: All the papers below were published in
2012 or later.
Partial Survey focused on using LASSO: A. Belloni, V. Chernozhukov
and C. Hansen: 54.
Methods and Inference on Treatment and Structural Effects in
Economics, " J. Economic Perspectives Spring 2014, pp.29-50
with Stata and Matlab programs here;
and Stata replication code here
Lasso and IV: A. Belloni, V. Chernozhukov, D.
Chen, and C. Hansen. "Sparse Models and Methods for Instrumental
Regression, with an Application to Eminent Domain", Arxiv 2010,
Econometrica 2012, pp.2369-2429.
Lasso and control function: A. Belloni, V.
Chernozhukov and C. Hansen: "Inference on Treatment
Effects After Selection Among High-Dimensional Controls," The Review
of Economic Studies 2014, p.608-650.
Lasso and Propensity score weighting: M. Farrell, "Robust Inference
on Average Treatment effects with possibly more Covariates than
Observations," Journal of Econometrics, 2015, vol.189, pp.1-23.
H. Varian Big
Data: New Tricks for Econometrics J.
Economic Perspectives Spring 2014, pp. 3-28.
Dataset can be obtained from https://www.aeaweb.org/articles.php?doi=10.1257/jep.28.2
S. Mullainathan and J. Spiess :Machine Learning: AN Applied
Econometric Approach", J. Economic Perspectives Spring 2017, pp.
Other papers by Chernozhukov and
coauthors on this topic are at http://www.mit.edu/~vchern/#veryhigh
G. Imbens and S. Athey "Machine Learning Methods
for Estimating Heterogeneous Causal Effects"
Brief overview paper by S. Athey "Machine Learning and Causal
Inference for Policy Evaluation" http://faculty-gsb.stanford.edu/athey/documents/AtheyKDDfinal.pdf
Other papers by Athey are at http://faculty-gsb.stanford.edu/athey/research.html#Econometric_Theory_%28Identification_and_E