My idiosyncratic notes on computational economics.

Code for "The Race Between Asset Supply and Asset Demand"

This repository contains the files to implement panel local projections inference as proposed in “Micro Responses to Macro Shocks” (M. Almuzara and V. Sancibrián)

Resources about time series forecasting and deep learning.

Econ 6905 "Topics in Trade" PhD class at Columbia University

Probabilistic time series modeling in Python

Denoising Diffusion Probabilistic Models

Autoregressive Denoising Diffusion Models for Multivariate Probabilistic Time Series to benchmark datasets from different domains

Official PyTorch implementation of TSDiff models presented in the NeurIPS 2023 paper "Predict, Refine, Synthesize: Self-Guiding Diffusion Models for Probabilistic Time Series Forecasting"

PyTorch based Probabilistic Time Series forecasting framework based on GluonTS backend

Connecting Julia to the Tax Calculator of the National Bureau of Economic Research (NBER)

Differential-Independence Mixture Ensemble (DIME) MCMC sampling for Julia

OIPD computes the market's expectations about the probable future prices of an asset, based on information contained in options data.

Codes for "CSDI: Conditional Score-based Diffusion Models for Probabilistic Time Series Imputation"

The SSJ.jl package is based on the toolkit from the paper "Using the Sequence-Space Jacobian to Solve and Estimate Heterogeneous-Agent Models" by Auclert et al. (2021). This Julia implementation re…

Ambrogio Cesa-Bianchi's VAR Toolbox

code for numerical experiment of Learning to Simulate Sequentially-Generated Data via Neural Networks and Wasserstein Training

Solve and estimate Dynamic Stochastic General Equilibrium models (including the New York Fed DSGE)

Python code for Robust Identification of Investor Beliefs

The New York Fed Staff Nowcast model produces a “nowcast” of real GDP growth, incorporating a wide range of macroeconomic data as they become available.

Summer School on Deep Learning in Economics and Finance

Public code and demonstration on sequence space Jacobians of life cycle models

Macros and functions to work with DSGE models.

ikan: many kan variants for every body

[ICLR2025] Kolmogorov-Arnold Transformer