Econometrics, economics, finance, random rants.

Econometrics, economics, finance, random rants...

Monday, March 25, 2019

Ensemble Methods for Causal Prediction

Great to see ensemble learning methods (i.e., forecast combination) moving into areas of econometrics beyond time series / macro-econometrics, where they have thrived ever since Bates and Granger (1969), generating a massive and vibrant literature.  (For a recent contribution, including historical references, see Diebold and Shin, 2019.)  In particular, the micro-econometric / panel / causal literature is coming on board.  See for example this new and interesting paper by Susan Athey et al.

No comments:

Post a Comment

Note: Only a member of this blog may post a comment.