Econometrics, Quantitative Economics, Data Science

Software

Software

TRaME: Transportation Methods for Econometrics (test version)
TraME (Transportation Methods for Econometrics) is an R package for for solving problems of equilibrium computation and estimation in consumer demand and matching frameworks via the Mass Transportation Approach. Test version: no documentation is available yet. Sources are available from 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.