luna · 2020年10月13日

问一道题：NO.PZ2020031801000009 [ FRM II ]

1. FRM II
2. Current Issues

问题如下：

There are a number of areas where there would be opportunities for fruitful collaboration between econometrics and machine learning. Which of the following statements about collaboration between two methods is incorrect.

选项：

A.

An important insight from machine learning is that averaging over many small models tends to give better out-of-sample prediction than choosing a single model.

B.

Combining econometric tools with machine learning could prove to be a very meaningful collaboration.

C.

In this period of “big data,” we should focus on sampling uncertainty

D.

Econometricians have developed several tools for causal inference such as instrumental variables, regression discontinuity, difference-in-differences, and various forms of natural and designed experiments

解释：

C is correct.

C选项的表述有误，正确的表述为：In this period of “big data,” it seems strange to focus on sampling uncertainty, which tends to be small with large datasets, while completely ignoring model uncertainty, which may be quite large.

没太看懂C答案原文的意思，可以解释一下吗？

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品职答疑小助手雍 · 2020年10月14日

嗨，努力学习的PZer你好：

就是大数据时代，我们基本算是拥有了“全集”了，没必要再为抽样估计去费心了。

只有当我们只有“全集”中的一小部分数据的时候（以前），才需要去为sampling费心。

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努力的时光都是限量版，加油！

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