TVP

# 当计量经济学遇上机器学习

What is the Significance of Combining Econometrics with Machine Learning?

Yong Tan

Idea 1: Integration of machine learning and econometrics will be of great value.

Idea 2: Technical integration will be a substantialintegration.

Paulo Goes

Idea 1: Machine learning is predictive, while econometrics is explanatory.

Idea 2: Combination of machine learning and econometrics is achievable and challenging.

①使用机器学习模型输入计量经济学模型所需变量

②借用计量经济学基本理论优化机器学习算法

③借用机器学习技术优化计量经济学模型

④最有趣的方式是用二者解释同一现象。

Ramnath Chellappa

Idea 1: Machine learning and econometrics are different in perception and understanding of problems.

Idea 2: Econometrics is theoretical foundation, while machine learning is technical assistance.

D. J. Wu

Susan Athey已经证明这两个学科之间确实有密切联系。

①机器学习擅长交叉验证，可用于评估模型在实践中的表现。而这对计量经济学来说是非常困难的。

②计量经济学可以揭示基本的底层过程，有助于把握经济结构。因此，研究人员在利用计算机处理变化和新问题时，必须了解其基本过程和基本关系，从而有助于模拟、假设分析和决策效应分析，进而优化决策。

Michael Shaw

Idea: Econometrics and machine learning depend on each other.

When do Econometrics and Machine Learning Need each other?

Paulo Goes

Idea: Machine learning and econometrics can be beneficial to each other.

①利用机器学习结果组成计量经济学模式。如Michael所说，机器学习的分类结果可以作为计量经济学模型的变量；

②用机器学习技术优化计量经济学模型，或者两个领域互补互益。比如，机器学习的交叉验证有助于开发计量经济模型；计量经济学模型有助于处理机器学习的过度拟合问题。

③同时使用机器学习和计量经济学，全面了解某一现象。

Yong Tan

Idea 1: Deep learning is a good approach for revealing the correlation between endogenous variables and instrumental variables.

Idea 2: Exploitation and exploration are essential to each other.

Ramnath Chellappa

Idea: We need to know both what and why.

①用来生成预测模型的数据与未来生成的数据不一致。

②该理论不适用。

D.J. Wu

Idea: Why do machine learning and econometrics need each other?

Michael Shaw

Idea: A cocktail approach can be used in the combination of machine learning and econometrics.

How to Get Prepared for the Combination ofEconometrics and Machine Learning as Researchers?

Olivia Sheng

Idea: It is necessary to master domain knowledge and use tools skillfully.

①若要结合二者的优点，就必须深入学习每一个工具。

②根据研究目的，选择合适的工具和方法。

③对问题本身、数据、方法和过程了如指掌，进行大量的评估和尝试。

④不满足于预测的既得结果，要广泛学习相关领域知识，结合各种训练、方法和背景知识做出正确解释。

Alok Gupta

Idea: It is important to choose appropriate methodologies for problems.

• 发表于:
• 原文链接http://kuaibao.qq.com/s/20180424G1M1Y300?refer=cp_1026
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