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Assistant Professor Daniel Dench
dench@gatech.edu
Summary Sentence: School of Economics Seminar Series presents: Max Farrell from University of Chicago
Full Summary: No summary paragraph submitted.
Spring 2022 Seminar Speaker Series: Max FarrellPlease join us Friday, March 4, at 2 pm for the first event in our Spring 2022 Seminar Speaker Series!
Max Farrell, associate professor of econometrics and statistics at the University of Chicago, will present: "Deep Learning for Individual Heterogeneity: An Automatic Inference Framework."
This event will be hybrid online and in person. Join us in person at the Old CE Building room G-10. To join virtually, please use the Zoom link below with passcode 898239.
https://gatech.zoom.us/j/98433356881?pwd=RlVvb3Y0UlVNbXc0bjI0TGNLSXY2QT09
We develop methodology for estimation and inference using machine learning to enrich economic models. Our framework takes a standard economic model and recasts the parameters as fully flexible nonparametric functions, to capture the rich heterogeneity based on potentially high dimensional or complex observable characteristics. These "parameter functions" retain the interpretability, economic meaning, and discipline of classical parameters. Deep learning is particularly well-suited to structured modeling of heterogeneity in economics. We show how to design the network architecture to match the structure of the economic model, delivering novel methodology that moves deep learning beyond prediction. We prove convergence rates for the estimated parameter functions. These functions are the key inputs into the finite-dimensional parameter of inferential interest. We obtain inference based on a novel influence function calculation that covers any second-stage parameter and any machine-learning-enriched model that uses a smooth per-observation loss function. No additional derivations are required. The score can be taken directly to data, using automatic differentiation if needed. The researcher need only define the original model and define the parameter of interest. A key insight is that we need not write down the influence function in order to evaluate it on the data. Our framework gives new results for a host of contexts, covering such diverse examples as price elasticities, willingness-to-pay, and surplus measures in binary or multinomial choice models, effects of continuous treatment variables, fractional outcome models, count data, heterogeneous production functions, and more. We apply our methodology to a large scale advertising experiment for short-term loans. We show how economically meaningful estimates and inferences can be made that would be unavailable without our results.
