Victor Chernozhukov

Code and Notebooks

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Replication codes for published papers are available via journal websites. Please check those out before requesting code. Some links to other useful code is available here:

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  • Python Code for Optimal Lockdown Planning in Multi-Group SIR

  • Auto DML R Code

  • DML Github R code

  • DML Github Python in EconML by Microsoft

  • Package HDM in R, available in CRAN and via Github

  • IVQR code in R by Yu-Chang Chen

  • IVQR code in Matlab

  • Double Lasso etc in Stata

  • Lasso QR R Code (also see Koenker's Quanreg R package)

  • Root Lasso Matlab Code

  • Counterfactual/Distribution Regression Package in R

  • Counterfactual/Distribution Regression in Stata

  • Inference on Discrete Quantiles in R

  • Sorted Effects Package in R

  • Rearrangement Package in R

  • Censored IVQR Code in Stata

  • Fast QR Process Inference in Stata

  • Extremal Quantile Regression Code  (aslo see Koenker's Quantreg Package in R)

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