Introduction to Machine Learning

Learning Objectives

We assume you have some background in econometrics. After working through this topic, you should be able to:

• describe the main differences between econometrics and machine learning

• list the machine learning terminology corresponding to the econometrics terminology

• describe some core concepts of machine learning

  • the importance of holdout samples

  • hyperparameters

Materials

Video:

Download the slides.

Very good intro to ML from the perspective of econometrics: Machine Learning: An Applied Econometric Approach, Sendhil Mullainathan & Jann Spiess, JEP 2017 (differences of ML / econometrics, overview of ML methods, what we can(not) learn with ML, list of potential applications in econ).