Advanced Quantitative Economics with Python

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

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. Markov Jump Linear Quadratic Dynamic Programming
• 9. How to Pay for a War: Part 1
• 10. How to Pay for a War: Part 2
• 11. How to Pay for a War: Part 3
• 12. Optimal Taxation in an LQ Economy

Multiple Agent Models

• 13. Default Risk and Income Fluctuations
• 14. Globalization and Cycles
• 15. Coase’s Theory of the Firm
• 16. Composite Sorting

Dynamic Linear Economies

• 17. Recursive Models of Dynamic Linear Economies
• 18. Growth in Dynamic Linear Economies
• 19. Lucas Asset Pricing Using DLE
• 20. IRFs in Hall Models
• 21. Permanent Income Model using the DLE Class
• 22. Rosen Schooling Model
• 23. Cattle Cycles
• 24. Shock Non Invertibility

Risk, Model Uncertainty, and Robustness

• 25. Risk and Model Uncertainty
• 26. Etymology of Entropy
• 27. Robustness
• 28. Robust Markov Perfect Equilibrium

Time Series Models

• 29. Covariance Stationary Processes
• 30. Estimation of Spectra
• 31. Additive and Multiplicative Functionals
• 32. Classical Control with Linear Algebra
• 33. Classical Prediction and Filtering With Linear Algebra
• 34. Knowing the Forecasts of Others

Asset Pricing and Finance

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

Dynamic Programming Squared

• 40. Optimal Unemployment Insurance
• 41. Stackelberg Plans
• 42. Machine Learning a Ramsey Plan
• 43. Time Inconsistency of Ramsey Plans
• 44. Sustainable Plans for a Calvo Model
• 45. Optimal Taxation with State-Contingent Debt
• 46. Optimal Taxation without State-Contingent Debt
• 47. Fluctuating Interest Rates Deliver Fiscal Insurance
• 48. Fiscal Risk and Government Debt
• 49. Competitive Equilibria of a Model of Chang
• 50. Credible Government Policies in a Model of Chang

Other

• 51. Troubleshooting
• 52. References
• 53. Execution Statistics