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

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

Tempered Particle Filter

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

Model Constructors

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