Econometrics and Big Data

Thanks to Dave Giles at Econometrics Beat for pointing out Hal Varian's paper. Big Data: New Tricks for Econometrics

"I believe that these methods have a lot to offer and should be more widely known and used by economists. In fact, my standard advice to graduate students these days is “go to the computer science department and take a class in machine learning.” There have been very fruitful collaborations between computer scientists and statisticians in the last decade or so, and I expect collaborations between computer scientists and econometricians will also be productive in the future."

See also Economists as Data Scientists.