Econometrics, Quantitative Economics, Data Science

Code/Patents

Code

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.

Codes for Vector Quantile Regression
This R program implements Carlier, Chernozhukov and Galichon’s “Vector Quantile Regression” (VQR) (Annals of Statistics, 2016). 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.

Patents

“Systems and Methods for Matching with Affinity Learning” (2017). U.S. Prov. Pat. App. No. 62/500940.