Econometrics and Machine Learning

I will be in London, UK, at the Centre for Central Banking Studies, invited as a keynote speaker for a major conference. For my talk, on Econometric Models and Statistical Learning Techniques, the agenda is the follownig

  • introduction on High Dimensional Data and Modeling
  • foundations of econometric models, and probabilistic aspects
  • machine learning techniques, with a discussion on boosting, cross validation
  • classification, from the logistic regression to trees and random forest
  • machine learning tools that can be used in econometrics, such as bootstrap, principal component analysis / partial least squares, and instrumental variables and variable selection

Slides are avaible (as usual, the pdf version is more informative than the one on slideshare where animations are missing)


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