Advanced Quantitative Economics with Python#
This website presents a set of advanced lectures on quantitative economic modeling.
Tools and Techniques
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
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
- 27. Dynamic Supply and Demand Curves
Risk, Model Uncertainty, and Robustness
Time Series Models
- 33. Covariance Stationary Processes
- 34. Estimation of Spectra
- 35. Additive and Multiplicative Functionals
- 36. Classical Control with Linear Algebra
- 37. Classical Prediction and Filtering With Linear Algebra
- 38. Knowing the Forecasts of Others
- 39. Demand for Money during Hyperinflations under Rational Expectations
- 40. Hyperinflation and Information Projection
Asset Pricing and Finance
- 41. Asset Pricing II: The Lucas Asset Pricing Model
- 42. Elementary Asset Pricing Theory
- 43. The Role of Conditioning Information in Asset Pricing
- 44. The Hansen-Jagannathan Bound
- 45. Two Modifications of Mean-Variance Portfolio Theory
- 46. Doubts or Variability?
- 47. Risk Aversion or Mistaken Beliefs?
- 48. Irrelevance of Capital Structures with Complete Markets
- 49. Equilibrium Capital Structures with Incomplete Markets
Dynamic Programming Squared
- 50. Optimal Unemployment Insurance
- 51. Stackelberg Plans
- 52. Machine Learning a Ramsey Plan
- 53. Time Inconsistency of Ramsey Plans
- 54. Sustainable Plans for a Calvo Model
- 55. Optimal Taxation with State-Contingent Debt
- 56. Optimal Taxation without State-Contingent Debt
- 57. Fluctuating Interest Rates Deliver Fiscal Insurance
- 58. Fiscal Risk and Government Debt
- 59. Competitive Equilibria of a Model of Chang
- 60. Credible Government Policies in a Model of Chang
- 61. Repeated Moral Hazard
- 62. International Lending with Moral Hazard and Risk of Repudiation
- 63. Capital Flows Under Moral Hazard
- 64. Accounting for Monetary and Fiscal Policy