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