ENSAE Paris - École d'ingénieurs pour l'économie, la data science, la finance et l'actuariat

Machine Learning for Econometrics



Department: Economics


Lecture notes are available online at https://sites.google.com/site/jeremylhour/courses.

There are no required textbooks but general references are:

Angrist, J.D. Pischke, J.S. (2008) “Mostly Harmless Econometrics”, Princeton University Press.

Imbens, G. and Rubin, D. (2015) “Causal Inference for Statistics, Social and Biomedical Sciences”, Cambridge University Press.

Mullainathan, S. and Spiess, J. (2017). “Machine Learning: An Applied Econometric Approach”, Journal of Economic Perspectives, Vol. 31, No. 2.

Wooldridge, J.M. (2010), “Econometric Analysis of Cross Section and Panel Data”, second edition, MIT Press.