Intermediate Quantitative Economics with Python#
This website presents a set of lectures on quantitative economic modeling.
Tools and Techniques
Elementary Statistics
- 8. Elementary Probability with Matrices
- 9. Some Probability Distributions
- 10. LLN and CLT
- 11. Two Meanings of Probability
- 12. Multivariate Hypergeometric Distribution
- 13. Multivariate Normal Distribution
- 14. Fault Tree Uncertainties
- 15. Introduction to Artificial Neural Networks
- 16. Randomized Response Surveys
- 17. Expected Utilities of Random Responses
Bayes Law
Statistics and Information
- 21. Statistical Divergence Measures
- 22. Likelihood Ratio Processes
- 23. Heterogeneous Beliefs and Financial Markets
- 24. Likelihood Processes For VAR Models
- 25. Mean of a Likelihood Ratio Process
- 26. A Problem that Stumped Milton Friedman
- 27. A Bayesian Formulation of Friedman and Wald’s Problem
- 28. Exchangeability and Bayesian Updating
- 29. Likelihood Ratio Processes and Bayesian Learning
- 30. Blackwell’s Theorem on Comparing Experiments
- 31. Incentives for Information Transfer
- 32. Information and Market Equilibrium
- 33. Incorrect Models
- 34. Bayesian versus Frequentist Decision Rules
- 35. Merging of Opinions: The Blackwell–Dubins Theorem
- 36. Survival and Long-Run Dynamics under Recursive Preferences
- 37. The Design and Price of Information
- 38. Market Diffusion with Two-Sided Learning
- 39. Which Moments to Match?
Linear Programming
Introduction to Dynamics
- 43. Finite Markov Chains
- 44. Inventory Dynamics
- 45. Linear State Space Models
- 46. Samuelson Multiplier-Accelerator
- 47. The Acceleration Principle and the Nature of Business Cycles
- 48. Kesten Processes and Firm Dynamics
- 49. Wealth Distribution Dynamics
- 50. A First Look at the Kalman Filter
- 51. Another Look at the Kalman Filter
- 52. The Kalman Filter and Vector Autoregressions
- 53. Vector Autoregressions for Subsets of Variables
- 54. Organization Capital
- 55. Two Models of Measurements and the Investment Accelerator
Search
- 56. Job Search I: The McCall Search Model
- 57. Job Search II: Search and Separation
- 58. Job Search III: Search with Separation and Markov Wages
- 59. Job Search IV: Fitted Value Function Iteration
- 60. Job Search V: Risk-Sensitive Preferences
- 61. Job Search VI: Persistent and Transitory Wage Shocks
- 62. Job Search VII: Modeling Career Choice
- 63. Job Search VIII: On-the-Job Search
- 64. Job Search IX: Search with Learning
Reinforcement Learning
Introduction to Optimal Savings
Household Problems
- 74. The Income Fluctuation Problem I: Discretization and VFI
- 75. The Income Fluctuation Problem II: Optimistic Policy Iteration
- 76. The Income Fluctuation Problem III: The Endogenous Grid Method
- 77. The Income Fluctuation Problem IV: Transient Income Shocks
- 78. The Income Fluctuation Problem V: Stochastic Returns on Assets
LQ Control
- 79. LQ Control: Foundations
- 80. Lagrangian for LQ Control
- 81. Eliminating Cross Products
- 82. The Permanent Income Model
- 83. Permanent Income II: LQ Techniques
- 84. Robust Permanent Income and Pricing
- 85. Certainty Equivalence
- 86. Certainty Equivalence and Model Uncertainty
- 87. The LQ Permanent Income Model
- 88. Consumption Smoothing with Incomplete and Complete Markets
- 89. Robust Consumption Smoothing and Precautionary Savings
- 90. A Robust LQ Bewley Model
- 91. Production Smoothing via Inventories
Bounded Rationality in Macroeconomics
- 92. A Peculiar Definition of Bounded Rationality
- 93. Adaptive Agents in an Overlapping Generations Monetary Economy
- 94. Learning, Approximation, and Equilibrium Computation
- 95. Exchange Rate Indeterminacy, Learning, and Experiments
- 96. Networks, Genetic Algorithms, and Classifier Systems
- 97. Money as a Medium of Exchange among Artificially Intelligent Agents
- 98. 1993 Prospects for Bounded Rationality in Macroeconomics
Phillips Curve Tradeoffs
- 99. The Rise and Fall of U.S. Inflation
- 100. The Credibility Problem
- 101. Credible Government Policies
- 102. Adaptive Expectations and the Phelps Problem
- 103. Optimal Misspecified Beliefs
- 104. Self-Confirming Equilibria
- 105. Adaptive Learning and Escape Dynamics
- 106. Escaping Nash Inflation
- 107. Priors, Escapes, and Learning Cycles
- 108. Econometric Policy Evaluation
- 109. Drifts and Volatilities
- 110. Drifts and Volatilities after 2000
- 111. The Lost Conquest: Fed Policy in the 2020s
Optimal Growth
Multiple Agent Models
- 116. A Lake Model of Employment and Unemployment
- 117. Lake Model with an Endogenous Job Finding Rate
- 118. Rational Expectations Equilibrium
- 119. Investment Under Uncertainty
- 120. Equilibrium Search and Unemployment
- 121. Optimal Growth Under Uncertainty and Tobin’s q
- 122. Stability in Linear Rational Expectations Models
- 123. Markov Perfect Equilibrium
- 124. Uncertainty Traps
- 125. The Aiyagari Model
- 126. The Aiyagari Model with Endogenous Grid Method
- 127. Transitions in an Overlapping Generations Model
- 128. A Long-Lived, Heterogeneous Agents, Overlapping Generations Model
- 129. Two Computations to Fund Social Security
- 130. Social Security Trust Fund Depletion
- 131. Linear Quadratic Mean Field Games
- 132. Linear Quadratic Mean Field Games: Extensions
Asset Pricing and Finance
- 133. Asset Pricing: Finite State Models
- 134. Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns
- 135. Estimating Euler Equations by Generalized Method of Moments
- 136. Competitive Equilibria with Arrow Securities
- 137. Heterogeneous Beliefs and Bubbles
- 138. Speculative Behavior with Bayesian Learning
- 139. Rational Learning and Rational Expectations
- 140. Least Squares Learning in Self-Referential Models
- 141. Affine Models of Asset Prices
- 142. The Recovery Theorem
- 143. Long-term Risk: An Operator Approach
- 144. Misspecified Recovery
Data and Empirics