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Machine Learning Methods

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  • Thomas Persson

Abstract

In high-dimensional regression settings with low signal-to-noise ratios, selecting an appropriate machine learning method is crucial for achieving reliable predictive performance. This study systematically evaluates several prevalent machine learning approaches, including regularised regression techniques (such as Lasso and Ridge), tree-based ensemble methods (such as Random Forest and Gradient Boosting), and neural networks. Through extensive simulations and real-world datasets, we assess their predictive accuracy, robustness to noise, and computational efficiency. Our findings provide insights into the relative strengths and weaknesses of these methods, offering practical guidelines for practitioners working with complex, high-dimensional data characterized by low signal-to-noise ratios.

Suggested Citation

  • Thomas Persson, 2025. "Machine Learning Methods," Journal of Economics and Econometrics, Economics and Econometrics Society, vol. 68(2), pages 106-129.
  • Handle: RePEc:eei:journl:v:68:y:2025:i:2:p:106-129
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    More about this item

    Keywords

    Machine learning; Lasso and Ridge; Random Forest; Gradient Boosting;
    All these keywords.

    JEL classification:

    • C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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