Course Syllabus - Colin Cameron
Course Syllabus - Colin Cameron
Course outline
Tuesday: Machine learning: Overview, terminology.
Selection of regressors using goodness-of-fit or cross-validation.
Regression for prediction: shrinkage methods(ridge, lasso, elastic net),
Wednesday: Applications for prediction.
Causal inference for partial linear regression model using lasso.
mus203mepsmedexp.dta
mus228ajr.dta
ML_2022_part1.txt
ML_2022_part2.txt
ML_2022_part3.txt
ML_2022_part4.txt
ML_2022_part5.txt
ML_2022_part6.txt
Chapter 28 "Machine Learning for prediction and inference" in A. Colin Cameron and Pravin
K. Trrivedi, Microeconometrics using Stata, Second edition, forthcoming.
Posted as Cameron_Trivedi_MUS2_chapter_28.pdf
ISL2: Gareth James, Daniela Witten, Trevor Hastie and Robert Tibsharani (2021), An
Introduction to Statistical Learning: with Applications in R, Second Edition, Springer.
A free legal pdf is at https://www.statlearning.com/
Alex Belloni, Victor Chernozhukov and Christian Hansen (2014), "High-dimensional methods
and inference on structural and treatment effects," Journal of Economic Perspectives,
Spring, 29-50.
Victor Chernozhukov, Denis Chetverikov, Mert Demirer, Esther Duflo, Christian Hansen,
Whitney Newey and James Robins (2018), "Double/debiased machine learning for treatment
and structural parameters," The Econometrics Journal, 21, C1-C68.
Other suggested readings include (not posted)
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 http://statweb.stanford.edu/~tibs/ElemStatLearn/index.html
Bradley Efron and Trevor Hastie (2016), Computer Age Statistical Inference: Algorithms,
Evidence and Data Science, Cambridge University Press.
Achim Ahrens, Christian Hansen, Mark Schaffer (2019), "lassopack: Model selection and
prediction with regularized regression in Stata," arXiv:1901.05397
Susan Athey and Guido Imbens (2019), "Machine Learning Methods Economists Should
Know About."
Alex Belloni, Victor Chernozhukov and Christian Hansen (2011), "Inference Methods for
High-Dimensional Sparse Econometric Models," Advances in Economics and Econometrics,
ES World Congress 2010, ArXiv 2011.
Alex Belloni, D. Chen, Victor Chernozhukov and Christian Hansen (2012), "Sparse Models
and Methods for Optimal Instruments with an Application to Eminent Domain",
Econometrica, Vol. 80, 2369-2429.
Alex Belloni, Victor Chernozhukov, Ivan Fernandez-Val and Christian Hansen (2017),
"Program Evaluation and Causal Inference with High-Dimensional Data," Econometrica,
233-299.
Max Farrell (2015), "Robust Estimation of Average Treatment Effect with Possibly more
Covariates than Observations", Journal of Econometrics, 189, 1-23.
Max Farrell, Tengyuan Liang and Sanjog Misra (2021), "Deep Neural Networks for
Estimation and Inference: Application to Causal Effects and Other Semiparametric
Estimands," Econometrica, 89(1), 181-213.
Jon Kleinberg, H. Lakkaraju, Jure Leskovec, Jens Ludwig, Sendhil Mullainathan (2018),
"Human decisions and Machine Predictions", Quarterly Journal of Economics, 237-293.
Hal Varian (2014), "Big Data: New Tricks for Econometrics", Journal of Economic
Perspectives, Spring, 3-28.
Stefan Wager and Susan Athey (2018), "Estimation and Inference of Heterogeneous
Treatment Effects using Random Forests," JASA, 1228-1242.