Rescuing Econometrics: From the Probability Approach to Probably Approximately Correct Learning

Haavelmo’s 1944 monograph, The Probability Approach in Econometrics, is widely acclaimed as the manifesto of econometrics. This book challenges Haavelmo’s probability approach, shows how its use is delivering defective and inefficient results, and argues for a paradigm shift in econometrics towards a full embrace of machine learning, with its attendant benefits.

Machine learning has only come into existence over recent decades, whereas the universally accepted and current form of econometric...