Zapata, Hector O.; Mukhopadhyay, Supratik - In: Journal of Risk and Financial Management 15 (2022) 11, pp. 1-17
measurement in economics. Unlike econometrics, ML models are not designed for parameter estimation and inference, but similar to … econometrics, they address, and may be better suited for, problems of prediction. While some ML methods have been applied in … econometrics for decades, their success in prediction has been limited, and examples of this abound in the asset pricing literature …