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Advanced Quantitative Economics with Python

Thomas J. Sargent and John Stachurski

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Creative Commons License – This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International.

Contents

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

Dynamic Linear Economies

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

Risk, Model Uncertainty, and Robustness

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

Time Series Models

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

Asset Pricing and Finance

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

Dynamic Programming Squared

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

Other

50. Troubleshooting
51. References
52. Execution Statistics

QuantEcon

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