Last week my research group discussed Hal Varian’s interesting new paper on “Big data: new tricks for econometrics”, Journal of Economic Perspectives, 28(2): 3-28. It’s a nice introduction to trees, bagging and forests, plus a very brief entree to the LASSO and the elastic net, and to slab and spike regression. Not enough to be able to use them, but ok if you’ve no idea what they are. It was more disappointing on boosting (completely ignoring the fact that boosting can be applied in a regression context as well as a classification context), and his comments on …