Advanced Quantitative Economics with Python¶

This website presents a set of advanced lectures on quantitative economic modeling.

Tools and Techniques¶

• Orthogonal Projections and Their Applications
• Continuous State Markov Chains
• Reverse Engineering a la Muth
• Discrete State Dynamic Programming

LQ Control¶

• Information and Consumption Smoothing
• Consumption Smoothing with Complete and Incomplete Markets
• Tax Smoothing with Complete and Incomplete Markets
• Markov Jump Linear Quadratic Dynamic Programming
• How to Pay for a War: Part 1
• How to Pay for a War: Part 2
• How to Pay for a War: Part 3
• Optimal Taxation in an LQ Economy

Multiple Agent Models¶

• Default Risk and Income Fluctuations
• Globalization and Cycles
• Coase’s Theory of the Firm

Dynamic Linear Economies¶

• Recursive Models of Dynamic Linear Economies
• Growth in Dynamic Linear Economies
• Lucas Asset Pricing Using DLE
• IRFs in Hall Models
• Permanent Income Model using the DLE Class
• Rosen Schooling Model
• Cattle Cycles
• Shock Non Invertibility

Risk, Model Uncertainty, and Robustness¶

• Risk and Model Uncertainty
• Etymology of Entropy
• Robustness
• Robust Markov Perfect Equilibrium

Time Series Models¶

• Covariance Stationary Processes
• Estimation of Spectra
• Additive and Multiplicative Functionals
• Classical Control with Linear Algebra
• Classical Prediction and Filtering With Linear Algebra
• Knowing the Forecasts of Others

Asset Pricing and Finance¶

• Asset Pricing II: The Lucas Asset Pricing Model
• Elementary Asset Pricing Theory
• Two Modifications of Mean-Variance Portfolio Theory
• Irrelevance of Capital Structures with Complete Markets
• Equilibrium Capital Structures with Incomplete Markets

Dynamic Programming Squared¶

• Optimal Unemployment Insurance
• Stackelberg Plans
• Ramsey Plans, Time Inconsistency, Sustainable Plans
• Optimal Taxation with State-Contingent Debt
• Optimal Taxation without State-Contingent Debt
• Fluctuating Interest Rates Deliver Fiscal Insurance
• Fiscal Risk and Government Debt
• Competitive Equilibria of a Model of Chang
• Credible Government Policies in a Model of Chang

Other¶

• Troubleshooting
• References
• Execution Statistics