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.

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. Ramsey Plans, Time Inconsistency, Sustainable Plans
• 42. Optimal Taxation with State-Contingent Debt
• 43. Optimal Taxation without State-Contingent Debt
• 44. Fluctuating Interest Rates Deliver Fiscal Insurance
• 45. Fiscal Risk and Government Debt
• 46. Competitive Equilibria of a Model of Chang
• 47. Credible Government Policies in a Model of Chang

Other

• 48. Troubleshooting
• 49. References
• 50. Execution Statistics