Machine learning (ML) is a novel method that has applications in asset pricing and that fits well within the problem of measurement in economics. Unlike econometrics, ML models are not designed for parameter estimation and inference, but similar to econometrics, they address, and may be better...

Predictive power has always been the main research focus of learning algorithms with the goal of minimizing the test error for supervised classification and regression problems. While the general approach for these algorithms is to consider all possible attributes in a dataset to best predict...