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Home | Events Archive | Random Forests: An Introduction from an Econometrics Perspective
MPhil thesis defense

Random Forests: An Introduction from an Econometrics Perspective


  • Location
    Room 1.60
    Amsterdam
  • Date and time

    August 23, 2019
    10:30 - 11:30

The overlap between Econometrics and Machine Learning is still at its infancy. This paper contributes to connecting the two fields by providing an overview which explains the Random Forests algorithm and its performance combined with highlighted results on the asymptotic properties and the implications of these results for econometric research. The conclusion is that Random Forests performs well in prediction problems, so the algorithm is useful when econometric problems can be fitted into a prediction type framework. However, estimating standard errors, confirming theoretic asymptotic properties and doing inference are not straightforward and still contain a lot of open questions.