Redirect the Probability Approach in Econometrics Towards PAC Learning, Part II

Duo Qin

No 256, Working Papers from Department of Economics, SOAS University of London, UK

Abstract: Infiltration of machine learning (ML) methods into econometrics has remained relatively slow, compared with their extensive applications in many other disciplines. The bottleneck is traced to two key factors – a communal nescience of the theoretical foundation of ML and an outdated probability foundation. The present study ventures on an overhaul of the probability approach by Haavelmo (1944) in light of ML theories of learnibility, centred upon the notion of probably approximately correct (PAC) learning. The study argues for a reorientation of the probability approach towards assisting decision making for model learning and selection purposes. The second part of the study comprises two chapters.

Keywords: probability; machine learning; hypothesis testing; estimation; model; generalisability (search for similar items in EconPapers)
JEL-codes: B40 C10 C18 (search for similar items in EconPapers)
Pages: 103
Date: 2023-03, Revised 2023-03
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