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. Markov Chain Monte Carlo
• 4. Reverse Engineering a la Muth
• 5. Discrete State Dynamic Programming

LQ Control

• 6. Information and Consumption Smoothing
• 7. Consumption Smoothing with Complete and Incomplete Markets
• 8. Tax Smoothing with Complete and Incomplete Markets
• 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. Default Risk and Income Fluctuations
• 15. Globalization and Cycles
• 16. Coase’s Theory of the Firm
• 17. Composite Sorting

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. Gorman Aggregation
• 24. Rosen Schooling Model
• 25. Cattle Cycles
• 26. Shock Non Invertibility

Risk, Model Uncertainty, and Robustness

• 27. Risk and Model Uncertainty
• 28. Etymology of Entropy
• 29. Robustness
• 30. Survey Data and Subjective Beliefs in Business Cycle Models
• 31. Robust Markov Perfect Equilibrium

Time Series Models

• 32. Covariance Stationary Processes
• 33. Estimation of Spectra
• 34. Additive and Multiplicative Functionals
• 35. Classical Control with Linear Algebra
• 36. Classical Prediction and Filtering With Linear Algebra
• 37. Knowing the Forecasts of Others
• 38. Demand for Money during Hyperinflations under Rational Expectations
• 39. Hyperinflation and Information Projection

Asset Pricing and Finance

• 40. Asset Pricing II: The Lucas Asset Pricing Model
• 41. Elementary Asset Pricing Theory
• 42. The Role of Conditioning Information in Asset Pricing
• 43. The Hansen-Jagannathan Bound
• 44. Two Modifications of Mean-Variance Portfolio Theory
• 45. Doubts or Variability?
• 46. Risk Aversion or Mistaken Beliefs?
• 47. Irrelevance of Capital Structures with Complete Markets
• 48. Equilibrium Capital Structures with Incomplete Markets

Dynamic Programming Squared

• 49. Optimal Unemployment Insurance
• 50. Stackelberg Plans
• 51. Machine Learning a Ramsey Plan
• 52. Time Inconsistency of Ramsey Plans
• 53. Sustainable Plans for a Calvo Model
• 54. Optimal Taxation with State-Contingent Debt
• 55. Optimal Taxation without State-Contingent Debt
• 56. Fluctuating Interest Rates Deliver Fiscal Insurance
• 57. Fiscal Risk and Government Debt
• 58. Competitive Equilibria of a Model of Chang
• 59. Credible Government Policies in a Model of Chang
• 60. Repeated Moral Hazard
• 61. International Lending with Moral Hazard and Risk of Repudiation
• 62. Capital Flows Under Moral Hazard
• 63. Accounting for Monetary and Fiscal Policy

Other

• 64. Troubleshooting
• 65. References
• 66. Execution Statistics