Applied microeconometrics

PhD Course, NYU Economics

Spring 2025

Alfred Galichon

This course will revisit some classical topics in microeconometrics (such as random utility models, dynamic discrete choice, demand estimation, matching models, and bundle choice problems) though the lenses of advanced computational methods (large scale optimization and machine learning). An important part of the course is dedicated to gaining familiarity with computational libraries such as scikit-learn, pytorch, openAI gym, chatGPT, gurobi, and others.

Lectures are delivered under a mix of in-person and online format. The language used is Python. Students not familiar with Python should contact the instructor to be provided a crash course before the start of classes.

Part 1. Random utility models

Content:
Poisson regression and logistic regression as generalized Linear Models, Lasso and Elastic Net, Min-Max Regret. Computation using Scikit-learn and TensorFlow.

Lectures:

• L1
• L2
• L3
• L4

References:

• An Introduction to Statistical Learning with applications in Python with by James, Witten, Hastie, Tibshirani and Taylor
• The Elements of Statistical Learning by Hastie, Tibshirani, and Friedman.
• Generalized Linear Models by McCullagh and Nelder.

Applications:

• housing prices https://www.kaggle.com/datasets/yasserh/housing-prices-dataset

• choice of transportation mode https://www.kaggle.com/datasets/thedevastator/california-commuting-mode-choice-from-2000-2010

Part 2. Dynamic discrete choice models
Content:
Rust, Markov Decision Processes, Multi-armed bandits, Q-Learning. Computation using OpenAI Gym.

Lectures:

• L5
• L6
• L7
• L8

References:

• Rust, J. (1987). Optimal Replacement of GMC Bus Engines: An Empirical Model of Harold Zurcher. Econometrica.
• Dynamic Programming and Optimal Control by Dimitri P. Bertsekas.
• Reinforcement Learning: An Introduction by Richard S. Sutton and Andrew G. Barto.

Applications:

• optimal maintenance decisions:  http://qed.econ.queensu.ca/jae/datasets/blevins001/
• career decisions https://respy.readthedocs.io/en/latest/projects/estimating-keane-and-wolpin-1997-msm.html
• tbd, taken from http://individual.utoronto.ca/vaguirre/wpapers/program_code_survey_joe_2008.html

Part 3. Characteristics models
Content:
Pure characteristics model, random coefficient logit model, Power diagrams, matching models. Berry, Levinsohn, Pakes. Simulation (Probit, GHK), stochastic GD. Computation using pyopt package, pyBLP, pyTorch.

Lectures:

• L9
• L10
• L11
• L12

References:

• Deep Learning by Aaron Courville, Ian Goodfellow, and Yoshua Bengio.
• Train, K. (2009). Discrete Choice Methods with Simulation.
• Galichon, A. (2016). Optimal Transport Methods in Economics.

Applications:

* automotive pricing https://www.kaggle.com/code/rkamath1/exploratory-analysis-tests-regression/input

https://pyblp.readthedocs.io/en/stable/_notebooks/tutorial/blp.html

* marriage market: https://github.com/TraME-Project/TraME-Datasets/