ML for Macroeconomics #1

Variable Selection with Random Forests in low-quality data

While Machine Learning (ML) has taken many applied sciences by storm, economics’ emphasis on causality has rendered it difficult to find relevant applications. Over the past years, Susan Athey has successfully pioneered various applications in Microeconomics, however, students of Macroeconomics have yet to find similar role models to emulate. That is why with this article, I want to use the issue of variable selection to illustrate …

economics lasso-regression machine learning ml random-forest