Chapter 16: Comments on “An Econometrician’s Perspective on Big Data” by Cheng Hsiao

Cheng Hsiao is to be congratulated for this thought-provoking contribution in which he critically assesses the links between econometrics and Big Data (BD). In a few pages, he stresses important points and raises a number of key concerns which infuse a healthy dose of skepticism to those embracing BD too wholeheartedly. Indeed, if until recently most econometricians were rather doubtful about the reliability and representativeness of such huge datasets, it must now be acknowledged that the econometrics of BD has become a burgeoning field. In view of this fad, Cheng Hsiao invites us to take a step back and to critically appraise the extent to which artificial intelligence and machine learning (ML) may help solve old and still relevant econometric problems. I, for one, am perhaps over-enthusiastic about ML and BD (which is the essence of ML). Unfortunately, I can safely claim that I do not have the same wisdom as Cheng Hsiao. Consequently, my comments will focus on some specific issues he raises which I believe foretell a certain convergence between econometrics and BD.