30 Ways to Be an Economist is INET's grantee interview series - INET grantees talk about how they do their work, and how they came to be doing it. This week: Cosma Shalizi - Why Economics Needs Data Mining.
Cosma Shalizi urges economists to stop doing what they are doing: Fitting large complex models to a small set of highly correlated time series data. Once you add enough variables, parameters, bells and whistles, your model can fit past data very well, and yet fail miserably in the future. Shalizi tells us how to separate the wheat from the chaff, how to compensate for overfitting and prevent models from memorizing noise. He introduces techniques from data mining and machine learning to economics -- this is new economic thinking.
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