High-dimensional statistical learning: New methods to advance economic and sustainability policies

Austrian Academy of Sciences

Austrian Science Fund

We aim to investigate how the largely separate research streams of Bayesian econometrics, statistical model checking, and machine learning can be combined and integrated to create innovative and powerful tools for the analysis of big data in economics and other social sciences. Thereby, we pay special attention to properly incorporating relevant sources of uncertainty. Albeit crucial for thorough empirical analyses, this aspect is often overlooked in traditional machine learning techniques which have mainly been centered on producing point forecasts for key quantities of interest only. In contrast, Bayesian statistics and econometrics are based on designing algorithms to carry out exact posterior inference which in turn allows for density forecasts. Our contributions are twofold: From a methodological perspective, we develop cutting-edge methods that enable fully probabilistic inference of dynamic models in vast dimensions. In terms of empirical advances, we apply these methods to highly complex datasets that comprise situations where either the number of observations, the number of potential time series and/or the number of variables included is large. More specifically, empirical applications center on four topical issues in the realm of sustainable development and socioeconomic policy to answer questions such as: How do market and economic uncertainty affect income inequality? What are the relationships between greenhouse gas emissions and macroeconomic indicators? Which role do tweets play in the evolution of the prices of crypto-currencies? Which policy measures are most effective to foster sustainable urban mobility patterns? The team constitutes a genuinely collaborative partnership of five young high-potential researchers composed of statisticians, machine learning experts, macro- and regional economists as well as social and computer scientists. Together, the group has the methodological, empirical, and theoretical expertise required for this project.