Description
With data sets becoming larger, there is an increasing need to master new statistical and econometric methods that predict variables while achieving dimension reduction and/or trading model complexity with model fit. The goal of this course is to give an applied, hands-on introduction to these methods, using as illustration the large microeconomic dataset PSID (panel study of income dynamics)
Trevor Hastie, Robert Tibshirani and Jerome Friedman (2009). The Elements of Statistical Learning: Data Mining, Inference and Prediction. Springer: New York.
READING: Chapters 3-7.
COURSE FILES
Slides.pdf : course slides - print or bring electronic copy
Small PSID: description of the variables extracted from PSID - print or bring electronic copy
SmallPSID.R: R code for all slides
Bringing a laptop is recommended
SCHEDULE