Econometrics, Quantitative Economics, Data Science


Cemmap masterclass, June 3-4, 2024

These lectures will introduce the optimal transport (OT) toolbox, with two applications in econometrics. The first one will pertain to the estimation of matching models. We start by introducing the discrete OT problem and its entropic regularization, and inverse OT, as well as its estimation using generalized linear models. The second application will deal with quantile methods. The one-dimensional OT problem will be discussed as well as its connections with the notions of quantile and rank is then covered. Connection with quantile regression will be discussed and the ‘vector quantile regression’ problem will then be introduced.

Part I Introduction (3h)
S1. Monge-Kantorovich duality (1h30)

S2. Computational optimal transport (1h30)

Part II OT and matching models (3h)
S3. Matching with Transferable Utility and random utility (1h30)

S4. Estimation of matching models (1h30)

Part III OT and quantiles (2h)
S5. 1D optimal transport and quantiles (1h)

S5. Connection with quantile regression (1h)