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
- 42. Finite Markov Chains
- 43. Inventory Dynamics
- 44. Linear State Space Models
- 45. Samuelson Multiplier-Accelerator
- 46. The Acceleration Principle and the Nature of Business Cycles
- 47. Kesten Processes and Firm Dynamics
- 48. Wealth Distribution Dynamics
- 49. A First Look at the Kalman Filter
- 50. Another Look at the Kalman Filter
- 51. The Kalman Filter and Vector Autoregressions
- 52. Vector Autoregressions for Subsets of Variables
- 53. Organization Capital
- 54. Two Models of Measurements and the Investment Accelerator
Search
- 55. Job Search I: The McCall Search Model
- 56. Job Search II: Search and Separation
- 57. Job Search III: Search with Separation and Markov Wages
- 58. Job Search IV: Fitted Value Function Iteration
- 59. Job Search V: Risk-Sensitive Preferences
- 60. Job Search VI: Persistent and Transitory Wage Shocks
- 61. Job Search VII: Modeling Career Choice
- 62. Job Search VIII: On-the-Job Search
- 63. Job Search IX: Search with Learning
Reinforcement Learning
Introduction to Optimal Savings
Household Problems
- 73. The Income Fluctuation Problem I: Discretization and VFI
- 74. The Income Fluctuation Problem II: Optimistic Policy Iteration
- 75. The Income Fluctuation Problem III: The Endogenous Grid Method
- 76. The Income Fluctuation Problem IV: Transient Income Shocks
- 77. The Income Fluctuation Problem V: Stochastic Returns on Assets
LQ Control
- 78. LQ Control: Foundations
- 79. Lagrangian for LQ Control
- 80. Eliminating Cross Products
- 81. The Permanent Income Model
- 82. Permanent Income II: LQ Techniques
- 83. Robust Permanent Income and Pricing
- 84. Certainty Equivalence
- 85. Certainty Equivalence and Model Uncertainty
- 86. The LQ Permanent Income Model
- 87. Consumption Smoothing with Incomplete and Complete Markets
- 88. Robust Consumption Smoothing and Precautionary Savings
- 89. A Robust LQ Bewley Model
- 90. Production Smoothing via Inventories
Bounded Rationality in Macroeconomics
- 91. A Peculiar Definition of Bounded Rationality
- 92. Adaptive Agents in an Overlapping Generations Monetary Economy
- 93. Learning, Approximation, and Equilibrium Computation
- 94. Exchange Rate Indeterminacy, Learning, and Experiments
- 95. Networks, Genetic Algorithms, and Classifier Systems
- 96. Money as a Medium of Exchange among Artificially Intelligent Agents
- 97. 1993 Prospects for Bounded Rationality in Macroeconomics
Phillips Curve Tradeoffs
- 98. The Rise and Fall of U.S. Inflation
- 99. The Credibility Problem
- 100. Credible Government Policies
- 101. Adaptive Expectations and the Phelps Problem
- 102. Optimal Misspecified Beliefs
- 103. Self-Confirming Equilibria
- 104. Adaptive Learning and Escape Dynamics
- 105. Escaping Nash Inflation
- 106. Priors, Escapes, and Learning Cycles
- 107. Econometric Policy Evaluation
- 108. Drifts and Volatilities
- 109. Drifts and Volatilities after 2000
- 110. The Lost Conquest: Fed Policy in the 2020s
Optimal Growth
Multiple Agent Models
- 115. A Lake Model of Employment and Unemployment
- 116. Lake Model with an Endogenous Job Finding Rate
- 117. Rational Expectations Equilibrium
- 118. Investment Under Uncertainty
- 119. Equilibrium Search and Unemployment
- 120. Optimal Growth Under Uncertainty and Tobin’s q
- 121. Stability in Linear Rational Expectations Models
- 122. Markov Perfect Equilibrium
- 123. Uncertainty Traps
- 124. The Aiyagari Model
- 125. The Aiyagari Model with Endogenous Grid Method
- 126. Transitions in an Overlapping Generations Model
- 127. A Long-Lived, Heterogeneous Agents, Overlapping Generations Model
- 128. Two Computations to Fund Social Security
- 129. Social Security Trust Fund Depletion
- 130. Linear Quadratic Mean Field Games
- 131. Linear Quadratic Mean Field Games: Extensions
Asset Pricing and Finance
- 132. Asset Pricing: Finite State Models
- 133. Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns
- 134. Estimating Euler Equations by Generalized Method of Moments
- 135. Competitive Equilibria with Arrow Securities
- 136. Heterogeneous Beliefs and Bubbles
- 137. Speculative Behavior with Bayesian Learning
- 138. Rational Learning and Rational Expectations
- 139. Least Squares Learning in Self-Referential Models
- 140. Affine Models of Asset Prices
- 141. The Recovery Theorem
- 142. Long-term Risk: An Operator Approach
- 143. Misspecified Recovery
Data and Empirics