Machine Learning for Econometrics

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Christophe Gaillac (Associate Professor, Associate Professor, University of Geneva) Jérémy L'Hour (Quantitative researcher, Quantitative researcher, Capital Fund Management)

Machine Learning for Econometrics

Christophe Gaillac (Associate Professor, Associate Professor, University of Geneva), Jérémy L'Hour (Quantitative researcher, Quantitative researcher, Capital Fund Management)

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English

Oxford University Press
06 June 2025

Economics; Microeconomics; Industry & industrial studies

Machine Learning for Econometrics is a book for economists seeking to grasp modern machine learning techniques - from their predictive performance to the revolutionary handling of unstructured data - in order to establish causal relationships from data. The volume covers automatic variable selection in various high-dimensional contexts, estimation of treatment effect heterogeneity, natural language processing (NLP) techniques, as well as synthetic control and macroeconomic forecasting. The foundations of machine learning methods are introduced to provide both a thorough theoretical treatment of how they can be used in econometrics and numerous economic applications, and each chapter contains a series of empirical examples, programs, and exercises to facilitate the reader's adoption and implementation of the techniques.

By: Christophe Gaillac (Associate Professor Associate Professor University of Geneva), Jérémy L'Hour (Quantitative researcher, Quantitative researcher, Capital Fund Management)
Imprint: Oxford University Press
Country of Publication: United Kingdom
Dimensions: Height: 246mm, Width: 170mm, Spine: 20mm
Weight: 605g
ISBN: 9780198918837
ISBN 10: 0198918836
Pages: 352
Publication Date: 06 June 2025
Audience: Professional and scholarly , Undergraduate
Format: Paperback
Publisher's Status: Active

Christophe Gaillac is an Associate Professor at the University of Geneva, GSEM. He was a postdoctoral prize research fellow at Oxford University and Nuffield College, and received his PhD in Economics from the Toulouse School of Economics. Jérémy L'Hour is a quantitative researcher at Capital Fund Management (CFM), a Paris-based systematic hedge fund. He received his PhD in Economics from Université Paris-Saclay.