Machine Learning for Econometrics

Machine Learning for Econometrics is a book for economists seeking to grasp modern machine learning techniques - from their predictive performance to the revolutionary handling of unstructured data - in order to establish causal relationships from data.The volume covers automatic variable selection in various high-dimensional contexts, estimation of treatment effect heterogeneity, natural language processing (NLP) techniques, as well as synthetic control and macroeconomic forecasting.The foundations of machine learning methods are introduced to provide both a thorough theoretical treatment of how they can be used in econometrics and numerous economic applications, and each chapter contains a series of empirical examples, programs, and exercises to facilitate the reader's adoption and implementation of the techniques.