BooST: Boosting Smooth Trees for Partial Effect Estimation in Nonlinear Regressions

08/10/2018

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by   Yuri Fonseca, et al.

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In this paper we introduce a new machine learning (ML) model for nonlinear regression called Boosting Smooth Transition Regression Tree (BooST). The main advantage of the BooST is that it estimates the derivatives (partial effects) of very general nonlinear models, providing more interpretation than other tree based models concerning the mapping between the covariates and the dependent variable. We provide some asymptotic theory that shows consistency of the partial derivatives and we present some examples on simulated and empirical data.