Machine learning using Stata/Python

We present two related Stata modules, r_ml_stata and c_ml_stata, for fitting popular machine learning (ML) methods in both regression and classification settings. Using the recent Stata/Python integration platform (sfi) of Stata 16, these commands provide hyperparameters' optimal tuning via K-fold cross-validation using greed search. More specifically, they make use of the Python Scikit-learn API to carry out both cross-validation and outcome/label prediction.