Machine Learning for Economics

Last updated on Oct 1, 2021

Welcome to my notes for the Machine Learning for Economic Analysis course by Damian Kozbur @UZH!

The exercise sessions are entirely coded in Python on Jupyter Notebooks. The examples heavily borrow from An Introduction to Statistical Learning by James, Witten, Tibshirani, Friedman and its advanced version Elements of Statistical Learning by Hastie, Tibshirani, Friedman. Other recommended free resources are the documentation of the Python library scikit-learn and Bruce Hansen’s Econometrics book.

You can find all the Jupyter Notebooks on my Github page HERE.

Please, if you find any typos or mistakes, open a new issue. Or even better, fork the repo and submit a pull request. I am happy to share my work and I am even happier if it can be useful.

Content

  1. OLS Regression

    • ISLR, chapter 3
    • ESL, chapter 3
    • Econometrics, chapters 3 and 4

  2. Instrumental Variables

    • Econometrics, chapter 12.1-12.12

  3. Nonparametric Regression

    • ISLR, chapter 7
    • ESL, chapter 5
    • Econometrics, chapters 19 and 20

  4. Cross-validation

    • ISLR, chapter 5
    • ESL, chapter 7

  5. Lasso and Forward Regression

    • ISLR, chapter 6
    • ESL, chapters 3 and 18
    • Econometrics, chapter 29.2-29.5

  6. Convexity and Optimization

  7. Trees and Forests

    • ISLR, chapter 8
    • ESL, chapters 9, 10, 15, 16
    • Econometrics, chapter 29.6-29.9

  8. Neural Networks

    • ESL, chapter 11

  9. Post-Double Selection

    • Econometrics, chapter 3.18
    • Belloni, Chen, Chernozhukov, Hansen (2012)
    • Belloni, Chernozhukov, Hansen (2014)
    • Chernozhukov, Chetverikov, Demirer, Duflo, Hansen, Newey, Robins (2018)

  10. Unsupervised Learning

    • ISLR, chapter 10
    • ESL, chapter 14

Pre-requisites

Students should be familiar with the following concepts:

  • Matrix Algebra
    • Econometrics, appendix A.1-A.10
  • Conditional Expectation and Projection
    • Econometrics, chapter 2.1-2.25
  • Large Sample Asymptotics
    • Econometrics, chapter 6.1-6.5
  • Python basics

Readings

  • Athey, S., & Imbens, G. W. (n.d.). Machine Learning Methods Economists Should Know About. 62.
  • Belloni, A., Chen, H., Chernozhukov, V., & Hansen, C. B. (2012). Sparse Models and Methods for Optimal Instruments With an Application to Eminent Domain. Econometrica, 80(6), 2369–2429. https://doi.org/10.3982/ECTA9626
  • Belloni, A., Chernozhukov, V., & Hansen, C. (2014). Inference on Treatment Effects after Selection among High-Dimensional Controls. The Review of Economic Studies, 81(2), 608–650. https://doi.org/10.1093/restud/rdt044
  • Chernozhukov, V., Chetverikov, D., Demirer, M., Duflo, E., Hansen, C., Newey, W., & Robins, J. (2018). Double/debiased machine learning for treatment and structural parameters. The Econometrics Journal, 21(1), C1–C68. https://doi.org/10.1111/ectj.12097
  • Franks, A., Miller, A., Bornn, L., & Goldsberry, K. (2015). Characterizing the spatial structure of defensive skill in professional basketball. The Annals of Applied Statistics, 9(1), 94–121. https://doi.org/10.1214/14-AOAS799
  • Gentzkow, M., Shapiro, J. M., & Taddy, M. (2019). Measuring Group Differences in High‐Dimensional Choices: Method and Application to Congressional Speech. Econometrica, 87(4), 1307–1340. https://doi.org/10.3982/ECTA16566
  • Kleinberg, J., Lakkaraju, H., Leskovec, J., Ludwig, J., & Mullainathan, S. (2017). Human Decisions and Machine Predictions. The Quarterly Journal of Economics. https://doi.org/10.1093/qje/qjx032
  • Kleinberg, J., Ludwig, J., Mullainathan, S., & Obermeyer, Z. (2015). Prediction Policy Problems. American Economic Review, 105(5), 491–495. https://doi.org/10.1257/aer.p20151023
  • Mullainathan, S., & Spiess, J. (2017). Machine Learning: An Applied Econometric Approach. Journal of Economic Perspectives, 31(2), 87–106. https://doi.org/10.1257/jep.31.2.87
  • Wager, S., & Athey, S. (2018). Estimation and Inference of Heterogeneous Treatment Effects using Random Forests. Journal of the American Statistical Association, 113(523), 1228–1242. https://doi.org/10.1080/01621459.2017.1319839

Sources

These exercise sessions heavily borrow from

tutorial economics programming julia