The goal of this course is to give an introduction to Machine Learning methods in Econometrics. We will analyze methods for making prediction and methods for causal inference in economic settings where one wants to learn the effects of counterfactual policies (policy evaluation).
The machine learning methods that will be presented in the course are well suited to deal with datasets with many observations and/or many covariates. We will show that statistical methods based on machine learning do not allow to answer the causal questions of interest in economics and so specific econometrics methods based on machine learning have to be used.
All along the course, the different models will be illustrated through applications and case studies. The applications will be developed by using R as statistical software package.
- Teaching coordinator: Simoni Anna