Econometrics, Statistics and Empirical Economics

S415 Machine Learning in Econometrics

Lecturer Dr. Jantje Sönksen
Level

Master

Prerequisites

successful participation in either

S411 Advanced Time Series Analysis or

S422 Advanced Microeconometrics

Language English
Time and place Monday 08:10-09:50 E09, Mohlstr.36
Practical class

Thursday 16-19 c.t. PC-lab (19-04-2018)

Friday 09-12 c.t. PC-lab (20-04-2018)

Thursday 08-10 c.t. PC-lab (03-05-2018 onwards)

Exam

written exam
Credit points 6 ECTS
Start of lecture 16-04-2018
Limited Attendance 25 (application required, see below for details)

Application

Participation in the course requires prior application. The initial application deadline has passed but there are some seats available. If you are interested in taking the class, please apply by sending your current transcript of records to jantje.soenksenspam prevention@uni-tuebingen.de no later than April 12, 2018. Applicants will be informed on the outcome of their application on April 13, 2018.

Content

This module illustrates how machine learning techniques can be exploited in economic research and applications. It offers a thorough analysis of a variety of tools in machine learning and links them to econometric analysis. The class focuses on supervised machine learning algorithms such as: decision trees, (logistic) regressions, naïve Bayes, nearest neighbor, neural networks, and support vector machines. The lecture also covers feature selection and hyper-parameter tuning methods. A practical PC-Lab class using Matlab is an essential part of the module.

Practical class

Practical classes on April 19th an 20th deal with a general introduction to Matlab.

Starting week 3, the practical classes will deal with Machine Learning topics.

All students are expected to be present during these sessions.

Literature

will be announced in class