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Machine Learning & Econometrics

Thu, 21 Feb 2019 10:01:59 GMT

What is Machine Learning (ML), and how does it differ from Statistics (and hence, implicitly, from Econometrics)? Those are big questions, but I think that they're ones that econometricians should be thinking about. And if I were starting out in Econometrics today, I'd take a long, hard look at what's going on in ML. Here's a very rough answer - it comes from a post by Larry Wasserman on his (now defunct) blog, Normal Deviate:"The short answer is: None. They are both concerned with the same...