Advanced Econometrics with Machine Learning

Learning Outcomes

Transferable and Generic Skills

Having successfully completed this module you will be able to:

• use quantitative reasoning and analyse and interpret data using machine learning
• collaborate with others and recognise problems of and possible solutions for structuring team work in a data analysis project

Knowledge and Understanding

Having successfully completed this module, you will be able to demonstrate knowledge and understanding of:

• implementing machine learning techniques using adequate computational tools.
• fundamental machine learning methods for quantitative economic and econometric analysis.
• methods of machine learning and model selection.

Subject Specific Intellectual and Research Skills

Having successfully completed this module you will be able to:

• apply economic logical analysis to econometric models of machine learning for the identification of causal inference
• use data, including from large datasets, for statistical inference on the quantitative or qualitative workings of economic mechanisms and policies.
• use programming techniques from machine learning for data analysis
• use model selection methods to organise and analyse economic data in an informative manner.

After a brief review of the relevant fundamental econometric methodology the module will cover in depth various methods of model selection such as LASSO and random forests and give a thorough introduction to algorithmic model selection. The module will also cover key topics in causal inference. The methods will be applied to address economic policy questions, retrieving and manipulating large datasets from sources as necessary.

Teaching and learning methods

Lectures and (computer-based) Masterclasses

Resources & Reading list

Internet Resources

Lecture Notes on Blackboard.

Assessment strategy

Continuous assessment through three take-home data analysis assignments, supported by continuous formative assessment through data analysis exercises. There is no final exam. This is the same for an internal repeat. Assessment for external repeat and referral is through a single piece of coursework.

Summative

This is how we’ll formally assess what you have learned in this module.

Referral

This is how we’ll assess you if you don’t meet the criteria to pass this module.

Repeat

An internal repeat is where you take all of your modules again, including any you passed. An external repeat is where you only re-take the modules you failed.

Repeat Information

Repeat type: Internal & External