Econometrics, Quantitative Economics, Data Science



TRaME: Transportation Methods for Econometrics
TraME (Transportation Methods for Econometrics) is a library for for solving problems of equilibrium computation and estimation in consumer demand and matching frameworks using optimal and equilibrium transport tools. Test version: no documentation is available yet. The TraME website is here, and sources are available on GitHub here.

Vector Quantile Regression
This code implements Carlier, Chernozhukov and Galichon’s “Vector Quantile Regression” (VQR) (Annals of Statistics, 2016) in R and in Matlab. VQR is a multivariate version of the Quantile Regression procedure of Koenker and Bassett (1978). It relies on a multivariate extension of the notion of quantile via optimal transportation, and a representation of Conditional Vector Quantiles by a variational problem. The paper can be found here.

Programming examples for Optimal Transport Methods in Economics.
These R programs are the programming examples described in Optimal Transport Methods in Economics.

Alfred Galichon’s github profile.