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A Super-Learning Machine for Predicting Economic Outcomes

Author

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  • Cerulli, Giovanni

Abstract

We present a Super-Learning Machine (SLM) to predict economic outcomes which improves prediction (i) by cross-validated optimal tuning, (ii) by comparing/combining results from different learners. Our application to a labor economics dataset shows that different learners may behave differently. However, combining learners into one singleton super-learner proves to preserve good predictive accuracy lowering the variance more than stand-alone approaches.

Suggested Citation

  • Cerulli, Giovanni, 2020. "A Super-Learning Machine for Predicting Economic Outcomes," MPRA Paper 99111, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:99111
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    References listed on IDEAS

    as
    1. Joshua D. Angrist & Jörn-Steffen Pischke, 2010. "The Credibility Revolution in Empirical Economics: How Better Research Design Is Taking the Con out of Econometrics," Journal of Economic Perspectives, American Economic Association, vol. 24(2), pages 3-30, Spring.
    2. Alexandre Belloni & Victor Chernozhukov & Christian Hansen, 2014. "High-Dimensional Methods and Inference on Structural and Treatment Effects," Journal of Economic Perspectives, American Economic Association, vol. 28(2), pages 29-50, Spring.
    3. Escanciano, Juan Carlos & Jacho-Chávez, David T. & Lewbel, Arthur, 2014. "Uniform convergence of weighted sums of non and semiparametric residuals for estimation and testing," Journal of Econometrics, Elsevier, vol. 178(P3), pages 426-443.
    4. Susan Athey & Guido W. Imbens, 2017. "The State of Applied Econometrics: Causality and Policy Evaluation," Journal of Economic Perspectives, American Economic Association, vol. 31(2), pages 3-32, Spring.
    5. Hal R. Varian, 2014. "Big Data: New Tricks for Econometrics," Journal of Economic Perspectives, American Economic Association, vol. 28(2), pages 3-28, Spring.
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    More about this item

    Keywords

    Machine learning; Ensemble methods; Optimal prediction;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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