Related papers: A hybrid econometric-machine learning approach for…

We discuss the relevance of the recent Machine Learning (ML) literature for economics and econometrics. First we discuss the differences in goals, methods and settings between the ML literature and the traditional econometrics and…

Empirical researchers increasingly use upstream machine-learning (ML) methods to construct proxies for latent target variables from complex, unstructured data. A naive plug-in use of such proxies in downstream econometric models, however,…

Variable importance plays a pivotal role in interpretable machine learning as it helps measure the impact of factors on the output of the prediction model. Model agnostic methods based on the generation of "null" features via permutation…

In this paper, we argue that the prevailing approach to training and evaluating machine learning models often fails to consider their real-world application within organizational or societal contexts, where they are intended to create…

In the era of "big data", it is becoming more of a challenge to not only build state-of-the-art predictive models, but also gain an understanding of what's really going on in the data. For example, it is often of interest to know which, if…

This paper contributes to the literature on parametric demand estimation by using deep learning to model consumer preferences. Traditional econometric methods often struggle with limited within-product price variation, a challenge addressed…

Variable importance is one of the most widely used measures for interpreting machine learning with significant interest from both statistics and machine learning communities. Recently, increasing attention has been directed toward…

Algorithmic predictions are increasingly used to inform the allocations of goods and interventions in the public sphere. In these domains, predictions serve as a means to an end. They provide stakeholders with insights into likelihood of…

To understand and predict the performance of scientific applications, several analytical and machine learning approaches have been proposed, each having its advantages and disadvantages. In this paper, we propose and validate a hybrid…

Feature-importance methods show promise in transforming machine learning models from predictive engines into tools for scientific discovery. However, due to data sampling and algorithmic stochasticity, expressive models can be unstable,…

A number of machine learning algorithms are using a metric, or a distance, in order to compare individuals. The Euclidean distance is usually employed, but it may be more efficient to learn a parametric distance such as Mahalanobis metric.…

Driven by applications in telecommunication networks, we explore the simulation task of estimating rare event probabilities for tandem queues in their steady state. Existing literature has recognized that importance sampling methods can be…

When machine learning supports decision-making in safety-critical systems, it is important to verify and understand the reasons why a particular output is produced. Although feature importance calculation approaches assist in…

Econometrics and machine learning seem to have one common goal: to construct a predictive model, for a variable of interest, using explanatory variables (or features). However, these two fields developed in parallel, thus creating two…

Importance sampling is a central idea underlying off-policy prediction in reinforcement learning. It provides a strategy for re-weighting samples from a distribution to obtain unbiased estimates under another distribution. However,…

Variable importance is central to scientific studies, including the social sciences and causal inference, healthcare, and other domains. However, current notions of variable importance are often tied to a specific predictive model. This is…

In machine learning, metric elicitation refers to the selection of performance metrics that best reflect an individual's implicit preferences for a given application. Currently, metric elicitation methods only consider metrics that depend…

Bias in datasets can be very detrimental for appropriate statistical estimation. In response to this problem, importance weighting methods have been developed to match any biased distribution to its corresponding target unbiased…

Machine Learning explainability techniques have been proposed as a means of `explaining' or interrogating a model in order to understand why a particular decision or prediction has been made. Such an ability is especially important at a…

The conventional linear Phillips curve model, while widely used in policymaking, often struggles to deliver accurate forecasts in the presence of structural breaks and inherent nonlinearities. This paper addresses these limitations by…