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CEMMAP Masterclass: Optimal Transport and Applications to Econometrics

CEMMAP Masterclass: Optimal Transport and Applications to Econometrics

Highlights

  • Delivered In-Person

Description

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)
https://www.math-econ-code.org/optimal-assignment

Part II OT and matching models (3h)
S3. Matching with Transferable Utility and random utility (1h30)
https://www.math-econ-code.org/regularized-optimal-transport

S4. Estimation of matching models (1h30)
https://www.math-econ-code.org/matching-estimation

Part III OT and quantiles (2h)
S5. 1D optimal transport and quantiles (1h)
https://www.math-econ-code.org/one-dimensional-assignment
S5. Connection with quantile regression (1h)
https://www.math-econ-code.org/quantile-regression

Dates

  • Delivered In-Person in London

    Free

Location

30 GORDON STREET, WC1H 0AX, United Kingdom, London

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