Athey and Imbens (2019) エコノミストが知っておくべき機械学習の方法

Annual Reviewでのレビュー.機械学習の基礎が解説されており,経済学でどのように応用されているかについても少しだけ触れている.

Athey, Susan and Imbens, Guido W.  2019. "Machine Learning Methods That Economists Should Know About" Annual Review of Economics 11(1): 685-725.


Why has the acceptance of ML methods been so much slower in economics compared to the broader statistics community? A large part of it may be the culture as Breiman refers to it. Economics journals emphasize the use of methods with formal properties of a type that many of the ML methods do not naturally deliver. This includes large sample properties of estimators and tests, including consistency, normality, and efficiency. In contrast, the focus in the ML literature is often on working properties of algorithms in specific settings, with the formal results being of a different type, e.g., guarantees of error rates. There are typically fewer theoretical results of the type traditionally reported in econometrics papers, although recently there have been some major advances in this area (Wager & Athey 2017, Farrell et al. 2018). There are no formal results that show that, for supervised learning problems, deep learning or neural net methods are uniformly superior to regression trees or random forests, and it appears unlikely that general results for such comparisons will soon be available, if ever.