Intermediate Quantitative Economics with Python¶

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

Tools and Techniques¶

• Geometric Series for Elementary Economics
• Modeling COVID 19
• Linear Algebra
• QR Decomposition
• Complex Numbers and Trigonometry
• Circulant Matrices
• Singular Value Decomposition (SVD)
• VARs and DMDs
• Using Newton’s Method to Solve Economic Models

Elementary Statistics¶

• Elementary Probability with Matrices
• LLN and CLT
• Two Meanings of Probability
• Multivariate Hypergeometric Distribution
• Multivariate Normal Distribution
• Heavy-Tailed Distributions
• Fault Tree Uncertainties
• Introduction to Artificial Neural Networks
• Randomized Response Surveys
• Expected Utilities of Random Responses

Linear Programming¶

• Linear Programming
• Optimal Transport
• Von Neumann Growth Model (and a Generalization)

Introduction to Dynamics¶

• Dynamics in One Dimension
• Finite Markov Chains
• Inventory Dynamics
• Linear State Space Models
• Samuelson Multiplier-Accelerator
• Kesten Processes and Firm Dynamics
• Wealth Distribution Dynamics
• A First Look at the Kalman Filter
• Another Look at the Kalman Filter
• Shortest Paths

Search¶

• Job Search I: The McCall Search Model
• Job Search II: Search and Separation
• Job Search III: Fitted Value Function Iteration
• Job Search IV: Correlated Wage Offers
• Job Search V: Modeling Career Choice
• Job Search VI: On-the-Job Search
• Job Search VII: A McCall Worker Q-Learns

Consumption, Savings and Capital¶

• Cass-Koopmans Model
• Cass-Koopmans Competitive Equilibrium
• Cake Eating I: Introduction to Optimal Saving
• Cake Eating II: Numerical Methods
• Optimal Growth I: The Stochastic Optimal Growth Model
• Optimal Growth II: Accelerating the Code with Numba
• Optimal Growth III: Time Iteration
• Optimal Growth IV: The Endogenous Grid Method
• The Income Fluctuation Problem I: Basic Model
• The Income Fluctuation Problem II: Stochastic Returns on Assets

Bayes Law¶

• Non-Conjugate Priors
• Posterior Distributions for AR(1) Parameters
• Forecasting an AR(1) Process

Information¶

• Job Search VII: Search with Learning
• Likelihood Ratio Processes
• Computing Mean of a Likelihood Ratio Process
• A Problem that Stumped Milton Friedman
• Exchangeability and Bayesian Updating
• Likelihood Ratio Processes and Bayesian Learning
• Incorrect Models
• Bayesian versus Frequentist Decision Rules

LQ Control¶

• LQ Control: Foundations
• Lagrangian for LQ Control
• Eliminating Cross Products
• The Permanent Income Model
• Permanent Income II: LQ Techniques
• Production Smoothing via Inventories

Multiple Agent Models¶

• Schelling’s Segregation Model
• A Lake Model of Employment and Unemployment
• Rational Expectations Equilibrium
• Stability in Linear Rational Expectations Models
• Markov Perfect Equilibrium
• Uncertainty Traps
• The Aiyagari Model

Asset Pricing and Finance¶

• Asset Pricing: Finite State Models
• Competitive Equilibria with Arrow Securities
• Heterogeneous Beliefs and Bubbles

Data and Empirics¶

• Pandas for Panel Data
• Linear Regression in Python
• Maximum Likelihood Estimation

Auctions¶

• First-Price and Second-Price Auctions
• Multiple Good Allocation Mechanisms

Other¶

• Troubleshooting
• References
• Execution Statistics