Machine Learning For Econometrics

By (author) Gaillac, Christophe; By (author) L'Hour, Jérémy
Short description/annotation:
Machine Learning for Econometrics is a book for economists seeking to grasp modern machine learning techniques - from their predictive performance to the revolutionary handling of unstructured data - in order to establish causal relationships from data.
Description:
Machine Learning for Econometrics is a book for economists seeking to grasp modern machine learning techniques - from their predictive performance to the revolutionary handling of unstructured data - in order to establish causal relationships from data. The volume covers automatic variable selection in various high-dimensional contexts, estimation of treatment effect heterogeneity, natural language processing (NLP) techniques, as well as synthetic control and macroeconomic forecasting. The foundations of machine learning methods are introduced to provide both a thorough theoretical treatment of how they can be used in econometrics and numerous economic applications, and each chapter contains a series of empirical examples, programs, and exercises to facilitate the reader''s adoption and implementation of the techniques.
Biographical note:
Christophe Gaillac is an Associate Professor at the University of Geneva, GSEM. He was a postdoctoral prize research fellow at Oxford University and Nuffield College, and received his PhD in Economics from the Toulouse School of Economics. Jérémy L''Hour is a quantitative researcher at Capital Fund Management (CFM), a Paris-based systematic hedge fund. He received his PhD in Economics from Université Paris-Saclay.
Publisher’s notice:
Christophe Gaillac is an Associate Professor at the University of Geneva, GSEM. He was a postdoctoral prize research fellow at Oxford University and Nuffield College, and received his PhD in Economics from the Toulouse School of Economics. Jérémy L''Hour is a quantitative researcher at Capital Fund Management (CFM), a Paris-based systematic hedge fund. He received his PhD in Economics from Université Paris-Saclay.
Version history:
Bridges the gap between econometric methods and modern ML techniques, providing a comprehensive understanding of how ML tools can be used in econometrics Emphasizes the predictive capabilities of machine learning, while also addressing how these methods can be used to infer causal relationships from data with greater credibility Provides a thorough theoretical treatment of machine learning methods and their application in economics and econometrics