Year-Long Learning Plan for Econometrics, Machine Learning, and
Bayesian Methods
Step 1: Strengthening Mathematical Foundations (2 months)
Focus: Build a solid base in key areas required for advanced econometrics and ML.
Topics to Cover
• Linear Algebra (Advanced)
– Matrix decompositions (SVD, QR, Cholesky) — Strang Ch. 5
– Eigenvalues/eigenvectors and their economic interpretations — Strang Ch. 6
– Projection matrices and their role in regression — Greene Ch. 4
• Probability and Statistics (Advanced)
– Bayesian inference fundamentals — Casella & Berger Ch. 10
– Maximum likelihood estimation (MLE) and method of moments — Casella & Berger Ch. 6-7
– Information theory concepts like KL divergence and entropy — Casella & Berger Ch. 3
• Optimization Techniques
– Gradient descent (batch, stochastic, mini-batch) — Hastie et al. Ch. 5
– Convex optimization and Lagrangian methods — Greene Ch. 5
Recommended Resources
• “Mathematical Statistics” by Casella & Berger
• “Linear Algebra and Its Applications” by Gilbert Strang
• Coding practice in R (matrix, MASS) and Python (numpy, scipy).
Step 2: Core Econometrics + Bayesian Methods (2-3 months)
Focus: Master key econometric models while introducing Bayesian thinking.
Topics to Cover
• OLS and GLS (Generalized Least Squares)
1
– Variance-covariance matrix structure — Greene Ch. 4
– Multicollinearity, heteroskedasticity, and autocorrelation — Greene Ch. 5
• Bayesian Methods
– Bayesian linear regression — Gelman et al. Ch. 5
– Conjugate priors and posterior inference — Gelman et al. Ch. 3
– Gibbs sampling and MCMC techniques — Gelman et al. Ch. 11
• Time Series Analysis
– ARIMA, GARCH models for financial time series — Greene Ch. 14
– Bayesian structural time series models — Gelman et al. Ch. 13
Recommended Resources
• “Econometric Analysis” by William Greene
• “Bayesian Data Analysis” by Gelman et al.
• R: lm(), plm(), brms, forecast
• Python: statsmodels, pymc3
Step 3: Machine Learning for Regression and Classification (3-4 months)
Focus: Introduce practical ML techniques that expand traditional regression.
Topics to Cover
• Regularization Techniques
– LASSO, Ridge, and Elastic Net for high-dimensional data — Hastie et al. Ch. 3
• Tree-Based Models
– Decision trees, Random Forests, and XGBoost — Hastie et al. Ch. 9
• Softmax Regression and Neural Networks
– Logistic regression as a base case — Hastie et al. Ch. 4
– Multilayer perceptrons (MLPs) for prediction tasks — Hastie et al. Ch. 11
• Clustering Techniques
– K-means, hierarchical clustering, and DBSCAN — Hastie et al. Ch. 13
– Applications in customer segmentation, risk profiling, etc.
2
Recommended Resources
• “The Elements of Statistical Learning” by Hastie, Tibshirani, & Friedman
• R: glmnet, randomForest, xgboost
• Python: scikit-learn, tensorflow, pytorch
Step 4: Advanced Topics + Building Your Handbook (3-4 months)
Focus: Develop practical methods for economics, finance, and demographics.
Topics to Cover
• Causal Inference and Policy Evaluation
– Difference-in-differences (DiD) — Cunningham Ch. 5
– Instrumental variables (IV) — Greene Ch. 8
– Synthetic control methods — Cunningham Ch. 9
• Bayesian Time Series and State Space Models
– Dynamic linear models (DLM) — Gelman et al. Ch. 13
– Kalman filters for time-varying parameters — Greene Ch. 14
• Ensemble Methods for Forecasting
– Combining traditional econometric models with ML (e.g., hybrid ARIMA-XGBoost models) —
Hastie et al. Ch. 10
Recommended Resources
• “Causal Inference: The Mixtape” by Scott Cunningham
• R: causalimpact, bsts, tidyverse
• Python: causalml, dowhy
Step 5: Hands-On Project Development (Ongoing)
Focus: Build practical, reproducible examples for your handbook.
• Replicate famous economic papers using both OLS and ML models.
• Develop interactive Shiny dashboards or Python visualizations.
3
• Construct case studies on financial markets, demographic shifts, or policy analysis.
• Build a GitHub repository to document your code and insights.
Weekly Learning Structure
Table 1: Weekly Learning Structure
Week Focus_Area Book_Reference
1-4 Probability & Linear Algebra Casella & Berger (Ch. 1-3), Strang (Ch. 1-3, 5)
5-8 OLS, GLS, and MLE Greene (Ch. 2-5), Casella & Berger (Ch. 6-7)
9-12 Bayesian Methods Gelman (Ch. 1-5, 11), Casella & Berger (Ch. 10)
13-16 Time Series & Financial Data Greene (Ch. 14), Gelman (DLM concepts)
17-20 ML Models (LASSO, Trees) Hastie et al. (Ch. 3-9)
21-24 Advanced ML + Handbook Writing Hastie et al. (Ch. 10-13) + Coding Practice
Suggested Data Sources for Practice
• Macroeconomic Data: FRED (Federal Reserve Economic Data)
• Financial Data: Yahoo Finance API, Alpha Vantage
• Demographics: World Bank, OECD
• Open Datasets: Kaggle for ML experimentation
This plan is structured to balance theory with hands-on practice. By following this approach, you’ll develop
a strong foundation in both classical econometrics and modern machine learning techniques with practical
coding experience.
