The course is equivalent to 3 ECTS in the European system.
The Department of Economics, Management and Quantitative Methods (DEMM) of the University of Milan is organising a summer school in Machine Learning for Econometricians on the week June 29-July 3, 2020. The course is targeted especially to Ph.D. students and early career researchers, but is open to anyone with an interest in Machine Learning.
There are no course fees. The course is fully funded by DEMM through the "Department of Excellence" grant awarded by the Italian Ministry of Education, University and Research (MIUR), which resulted in establishing the Centre of Excellence in Economics and Data Science.
Deadline for applications: April 20, 2020. Candidates will be informed of the outcome of their application by May 1st, 2020.
This course has been conceived by econometricians for econometricians. The sessions proceed step by step, recalling the fundamental statistical concepts at the heart of modern learning techniques. Their relative merits are illustrated by means of practical exercises and applications in R.
The course will introduce students to supervised Machine Learning techniques. During the course, you will:
• Build knowledge of concepts intensively used in the Machine Learning literature such as cross-validation, resampling, optimization routines
• Become familiar with popular machine learning techniques such as bagging, random forests, boosting, SVM, neural nets and deep learning
• Gain exposure on how to evaluate their usefulness in econometrics for misspecification detection and causal inference.
Monday, June 29th
Crash Course in R (optional but recommended)
Tuesday, June 30th
Introduction, Optimization, Overfitting, Cross-Validation
Wednesday, July 1st
CART, Bagging, Random Forests, Boosting
Thursday, July 2nd
SVM, Neural Networks, Deep Learning
Friday, July 3rd
Misspecification detection and Causal Inference
Days 2-5 will consist of a morning lecture and a hands-on practical session in the afternoon.