Projects

Correlated Equilibria in Extensive Form Games

Python package to represent extensive form games and compute various correlated equilibrium concepts via reinforcement learning algorithms.

Sequential Monte Carlo

A Julia implementation of the sequential Monte Carlo algorithm for approximation of posterior distributions.

Tempered Particle Filter

Implemented self-tuning tempered particle filter from Herbst and Schorfheide (2017) for likelihood evaluation of non-linear models with non-Gaussian innovations. Integrated code into the NY Fed's package of filtering and smoothing routines for state-space models, StateSpaceRoutines.jl.

Model Constructors

A Julia package to build custom model types for simulation and estimation exercises.