Happy 4th of July!!
One area of intergration of ML and econometrics is providing inference after variable selection (Post selection Inference) #rstats #econtwitter #Rladies #ML #econometrics 1/n

Most popular technique in economics is the 'Double LASSO' which provides inference on the treatment effect after variable selection using LASSO. Check out the R package 'hdm'. cran.r-project.org/web/packages/h…
#rstats #econtwitter 2/n

We are often interested in conducting inference on other selected covariates (controls) as well. Check out R package 'selectiveInference' which conducts inference on multiple covariates. cran.r-project.org/web/packages/s…
#rstats #econtwitter 3/n

Another interesting R package is 'hdi' which allows us to implement multiple approaches to inference including sample-splitting. cran.r-project.org/web/packages/h… Also check out a nice comparison with other techniques here. arxiv.org/pdf/1408.4026.…
#rstats #econtwitter 4/n

We may be interested in conducting inference after employing other kinds of variable selection (not only LASSO). Check out R package 'PoSI' that allows inference for linear LS even after arbitrary model selection. cran.r-project.org/web/packages/P…
#rstats #econtwitter n/n