Prof. Matteo Barigozzi

Argomenti del programma: Introduction and Overview of Statistical Learning Cross-Validation Ridge, Lasso, Principal Component Regression and Factor Models Lasso for causal inference Dynamic factor models for causal inference Regression Splines, Smoothing Splines Tree-based Methods and Neural Networks

Argomenti del programma: ools - cross-validation - lasso, ridge - principal components regression and factor models - time series methods Applications - analysis of financial data - coincident indicators of economic activity - assessment of monetary policies - forecasting of economic activity Pre-requisites: Econometrics at the level of 2nd year EPOS course and Programming in R or Python