Random thoughts on econometric models with (pure) random features
For my lectures on applied linear models, I wanted to illustrate the fact that the is never a good measure of the goodness of the model, since it’s quite easy to improve it. Consider the following dataset n=100 df=data.frame(matrix(rnorm(n*n),n,n)) names(df)=c("Y",paste("X",1:99,sep=""))n=100 df=data.frame(matrix(rnorm(n*n),n,n)) names(df)=c("Y",paste("X",1:99,sep="")) with one variable of interest , and 99 features . All of them … Continue reading Random thoughts on econometric models with (pure) random features