Advanced Quantitative Economics with Python
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Thomas J. Sargent
John Stachurski
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Tools and Techniques
Tools and Techniques
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Lectures
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Orthogonal Projections and Their Applications
Overview
Key Definitions
The Orthogonal Projection Theorem
Orthonormal Basis
Projection Using Matrix Algebra
Least Squares Regression
Orthogonalization and Decomposition
Exercises
Solutions
Continuous State Markov Chains
Overview
The Density Case
Beyond Densities
Stability
Exercises
Solutions
Appendix
Reverse Engineering a la Muth
Friedman (1956) and Muth (1960)
Discrete State Dynamic Programming
Overview
Discrete DPs
Solving Discrete DPs
Example: A Growth Model
Exercises
Solutions
Appendix: Algorithms
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