tag:blogger.com,1999:blog-2474498300859593807.post9001415368453635366..comments2024-03-08T02:53:17.969-05:00Comments on Econometric Sense: Econometrics, Math, and Machine Learning...what?Matt Bogardhttp://www.blogger.com/profile/10510725993509264716noreply@blogger.comBlogger5125tag:blogger.com,1999:blog-2474498300859593807.post-80913892161239709872015-09-11T14:17:55.958-04:002015-09-11T14:17:55.958-04:00Fantastic post, Matt!
I'm an accounting acad...Fantastic post, Matt! <br /><br />I'm an accounting academic who does a lot of applied econometric work, and I've started reading up on the machine learning literature. As you and Noah Smith note, the focus is on prediction rather than estimating the effect of a particular predictor.<br /><br />Aside from some basic terminology differences--e.g. I'd never heard of training vs. testing samples until I started reading ML books--I've found most of the techniques quite accessible. And it was heartening to see that deep connections have been established between bread-and-butter econometric techniques like logistic regression and SVM methods. <br /><br />The only parts of ML that I'm still trying to get comfortable with are methods that might yield better prediction, but whose outputs aren't as readily interpretable, such as tree-based boosting. It seems like you'd have to feel quite confident that the underlying relationships are stable over time if you're going to use these more less interpretable methods, no?<br /><br />But I should already be thankful for ML methods, as they brought me to your blog...I found out about it through a suggested LinkedIn connection, a match developed via a ML-based algorithm. :)<br /><br />Best,<br />George BattaGeorge Battahttps://www.cmc.edu/academic/faculty/profile/george-battanoreply@blogger.comtag:blogger.com,1999:blog-2474498300859593807.post-47353636189780229502015-09-09T23:05:07.440-04:002015-09-09T23:05:07.440-04:00Thanks Matt.
Here's the post by Kling on math...Thanks Matt.<br /><br />Here's the post by Kling on math in the profession:<br /><br />http://www.econlib.org/library/Columns/y2015/Klingmit.htmlLevi Russellhttp://www.farmerhayek.comnoreply@blogger.comtag:blogger.com,1999:blog-2474498300859593807.post-45076646726497995432015-09-09T21:57:06.462-04:002015-09-09T21:57:06.462-04:00Thanks. I really think Levi Russell above does a g...Thanks. I really think Levi Russell above does a great job covering this in his comments. I'm still thinking about it, but I really like his stuff over at the Farmer Hayek blog and was kind of hoping he would to a post on this as well. Matt Bogardhttps://www.blogger.com/profile/10510725993509264716noreply@blogger.comtag:blogger.com,1999:blog-2474498300859593807.post-13869685309463128142015-09-09T01:26:51.791-04:002015-09-09T01:26:51.791-04:00Thanks for the shout-out! :-)
to many economists,...Thanks for the shout-out! :-)<br /><br /><i>to many economists, causality is a theory driven phenomenon, and can never truly be determined by data. I won't expand on this any further.</i><br /><br />I would love to read a follow-up post about this...Noah Smithhttps://www.blogger.com/profile/09093917601641588575noreply@blogger.comtag:blogger.com,1999:blog-2474498300859593807.post-28453668057486171702015-09-05T20:23:46.161-04:002015-09-05T20:23:46.161-04:00While I'm certainly glad that we have more/bet...While I'm certainly glad that we have more/better data and methods for analyzing it, I don't think we should ever forget the lessons from masters of the past. A lot of their work is increasingly relevant as we are increasingly incentivized to think we can engineer policy (whether private or public) using data analysis. Ultimately the things we analyze as economists are too complex for data to deliver what some seem to expect of it (see Hayek). <br /><br />I recently read Ronald Coase's paper "The Marginal Cost Controversy." This paper isn't emphasized in grad programs but it serves as a warning: what Coase calls "blackboard economics" can lead us to say things with confidence that are not so certain.<br /><br />His interview in 2012 with Russ Roberts is definitely illuminating. <br />http://www.econtalk.org/archives/2012/05/coase_on_extern.html<br /><br />Arnold Kling, a graduate of MIT, has some interesting thoughts about the mathematization of the profession that's really at the heart of this "data revolution."<br /><br />I have some posts on this subject on the blog. Type "blackboard economics" into the search bar on the Farmer Hayek blog and you'll get a few of them!Levi Russellhttp://www.farmerhayek.comnoreply@blogger.com