Intermediate Quantitative Economics with Python

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

Tools and Techniques

• 1. Modeling COVID 19
• 2. Linear Algebra
• 3. QR Decomposition
• 4. Circulant Matrices
• 5. Singular Value Decomposition (SVD)
• 6. VARs and DMDs
• 7. Using Newton’s Method to Solve Economic Models

Elementary Statistics

• 8. Elementary Probability with Matrices
• 9. Some Probability Distributions
• 10. LLN and CLT
• 11. Two Meanings of Probability
• 12. Multivariate Hypergeometric Distribution
• 13. Multivariate Normal Distribution
• 14. Fault Tree Uncertainties
• 15. Introduction to Artificial Neural Networks
• 16. Randomized Response Surveys
• 17. Expected Utilities of Random Responses

Bayes Law

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

Statistics and Information

• 21. Likelihood Ratio Processes
• 22. Mean of a Likelihood Ratio Process
• 23. A Problem that Stumped Milton Friedman
• 24. A Bayesian Formulation of Friedman and Wald’s Problem
• 25. Exchangeability and Bayesian Updating
• 26. Likelihood Ratio Processes and Bayesian Learning
• 27. Incorrect Models
• 28. Bayesian versus Frequentist Decision Rules

Linear Programming

• 29. Optimal Transport
• 30. Von Neumann Growth Model (and a Generalization)

Introduction to Dynamics

• 31. Finite Markov Chains
• 32. Inventory Dynamics
• 33. Linear State Space Models
• 34. Samuelson Multiplier-Accelerator
• 35. Kesten Processes and Firm Dynamics
• 36. Wealth Distribution Dynamics
• 37. A First Look at the Kalman Filter
• 38. Another Look at the Kalman Filter

Search

• 39. Job Search I: The McCall Search Model
• 40. Job Search II: Search and Separation
• 41. Job Search III: Fitted Value Function Iteration
• 42. Job Search IV: Correlated Wage Offers
• 43. Job Search V: Modeling Career Choice
• 44. Job Search VI: On-the-Job Search
• 45. Job Search VII: A McCall Worker Q-Learns
• 46. Job Search VII: Search with Learning

Consumption, Savings and Capital

• 47. Cass-Koopmans Model
• 48. Cass-Koopmans Competitive Equilibrium
• 49. Cass-Koopmans Model with Distorting Taxes
• 50. Two-Country Model with Distorting Taxes
• 51. Transitions in an Overlapping Generations Model
• 52. Cake Eating I: Introduction to Optimal Saving
• 53. Cake Eating II: Numerical Methods
• 54. Optimal Growth I: The Stochastic Optimal Growth Model
• 55. Optimal Growth II: Accelerating the Code with Numba
• 56. Optimal Growth III: Time Iteration
• 57. Optimal Growth IV: The Endogenous Grid Method
• 58. The Income Fluctuation Problem I: Basic Model
• 59. The Income Fluctuation Problem II: Stochastic Returns on Assets

LQ Control

• 60. LQ Control: Foundations
• 61. Lagrangian for LQ Control
• 62. Eliminating Cross Products
• 63. The Permanent Income Model
• 64. Permanent Income II: LQ Techniques
• 65. Production Smoothing via Inventories

Multiple Agent Models

• 66. A Lake Model of Employment and Unemployment
• 67. Rational Expectations Equilibrium
• 68. Stability in Linear Rational Expectations Models
• 69. Markov Perfect Equilibrium
• 70. Uncertainty Traps
• 71. The Aiyagari Model

Asset Pricing and Finance

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

Data and Empirics

• 75. Pandas for Panel Data
• 76. Linear Regression in Python
• 77. Maximum Likelihood Estimation

Auctions

• 78. First-Price and Second-Price Auctions
• 79. Multiple Good Allocation Mechanisms

Other

• 80. Troubleshooting
• 81. References
• 82. Execution Statistics