Are Machine Learning and Big Data Changing Econometrics?

What's the difference between econometrics and statistics? Well, there's certainly a lot of overlap between econometrics and statistics. These two disciplines evolved together. Statisticians are mostly concerned with statistical inference. The problem of statistical inference is how to learn about some underlying population -- maybe the population of the United States -- from a particular sample which is much smaller. Then you recognize that there's randomness in your sample and that different samples would produce different results. Econometricians are often -- or most often I would say -- concerned with causal inference. We certainly have sampling uncertainty. We have problems of statistical inference. We're trying to extract statements, reliable statements about counterfactual states of the world -- what would happen if the world were changed in some way? And there's a limit to what data alone can tell us so we rely on a set of tools and modeling methods in an effort to kind of learn this fundamentally unknowable thing, what would happen in a parallel universe or a counterfactual state of the world. Ready to master econometrics? Click here to embark on an educational journey with Josh Angrist, a.k.a. Master Joshway. Or, if you'd like to watch more from this interview series, click here.