Dave Giles shares some thoughts on how machine learning and econometrics relate:
What is Machine Learning (ML), and how does it differ from Statistics (and hence, implicitly, from Econometrics)?
Those are big questions, but I think that they’re ones that econometricians should be thinking about. And if I were starting out in Econometrics today, I’d take a long, hard look at what’s going on in ML.
Click through for some quick thoughts and several resources on the topic.