Advanced Quantitative Economics with Python
Advanced Quantitative Economics with Python
Advanced Quantitative Economics with Python¶
This website presents a set of advanced lectures on quantitative economic modeling, designed and written by Thomas J. Sargent and John Stachurski.
For an overview of the series, see this page
Tools and Techniques
- 1. Orthogonal Projections and Their Applications
- 2. Continuous State Markov Chains
- 3. Reverse Engineering a la Muth
- 4. Discrete State Dynamic Programming
LQ Control
- 5. Information and Consumption Smoothing
- 6. Consumption Smoothing with Complete and Incomplete Markets
- 7. Tax Smoothing with Complete and Incomplete Markets
- 8. Robustness
- 9. Markov Jump Linear Quadratic Dynamic Programming
- 10. How to Pay for a War: Part 1
- 11. How to Pay for a War: Part 2
- 12. How to Pay for a War: Part 3
- 13. Optimal Taxation in an LQ Economy
Multiple Agent Models
- 14. Robust Markov Perfect Equilibrium
- 15. Default Risk and Income Fluctuations
- 16. Globalization and Cycles
- 17. Coase’s Theory of the Firm
Dynamic Linear Economies
- 18. Recursive Models of Dynamic Linear Economies
- 19. Growth in Dynamic Linear Economies
- 20. Lucas Asset Pricing Using DLE
- 21. IRFs in Hall Models
- 22. Permanent Income Model using the DLE Class
- 23. Rosen Schooling Model
- 24. Cattle Cycles
- 25. Shock Non Invertibility
Classic Linear Models
Time Series Models
- 27. Covariance Stationary Processes
- 28. Estimation of Spectra
- 29. Additive and Multiplicative Functionals
- 30. Classical Control with Linear Algebra
- 31. Classical Prediction and Filtering With Linear Algebra
- 32. Knowing the Forecasts of Others
Asset Pricing and Finance
- 33. Asset Pricing II: The Lucas Asset Pricing Model
- 34. Two Modifications of Mean-Variance Portfolio Theory
- 35. Irrelevance of Capital Structure with Complete Markets
- 36. Equilibrium Capital Structures with Incomplete Markets
Dynamic Programming Squared
- 37. Stackelberg Plans
- 38. Ramsey Plans, Time Inconsistency, Sustainable Plans
- 39. Optimal Taxation with State-Contingent Debt
- 40. Optimal Taxation without State-Contingent Debt
- 41. Fluctuating Interest Rates Deliver Fiscal Insurance
- 42. Fiscal Risk and Government Debt
- 43. Competitive Equilibria of a Model of Chang
- 44. Credible Government Policies in a Model of Chang
Other