Quantitative Economics with Python

This website presents a set of lectures on quantitative economic modeling, designed and written by Thomas J. Sargent and John Stachurski.

For an overview of the series, see this page

Tools and Techniques

• 1. Geometric Series for Elementary Economics
• 2. Multivariate Hypergeometric Distribution
• 3. Modeling COVID 19
• 4. Linear Algebra
• 5. QR Decomposition
• 6. Singular Value Decomposition (SVD)
• 7. Complex Numbers and Trigonometry
• 8. LLN and CLT
• 9. Two Meanings of Probability
• 10. Heavy-Tailed Distributions
• 11. Multivariate Normal Distribution
• 12. Univariate Time Series with Matrix Algebra

Linear Programming

• 13. Linear Programming
• 14. Optimal Transport
• 15. Von Neumann Growth Model (and a Generalization)

Introduction to Dynamics

• 16. Dynamics in One Dimension
• 17. AR1 Processes
• 18. Finite Markov Chains
• 19. Inventory Dynamics
• 20. Linear State Space Models
• 21. Application: The Samuelson Multiplier-Accelerator
• 22. Kesten Processes and Firm Dynamics
• 23. Wealth Distribution Dynamics
• 24. A First Look at the Kalman Filter
• 25. Shortest Paths
• 26. Cass-Koopmans Planning Problem
• 27. Cass-Koopmans Competitive Equilibrium

Search

• 28. Job Search I: The McCall Search Model
• 29. Job Search II: Search and Separation
• 30. Job Search III: Fitted Value Function Iteration
• 31. Job Search IV: Correlated Wage Offers
• 32. Job Search V: Modeling Career Choice
• 33. Job Search VI: On-the-Job Search

Consumption, Savings and Growth

• 34. Cake Eating I: Introduction to Optimal Saving
• 35. Cake Eating II: Numerical Methods
• 36. Optimal Growth I: The Stochastic Optimal Growth Model
• 37. Optimal Growth II: Accelerating the Code with Numba
• 38. Optimal Growth III: Time Iteration
• 39. Optimal Growth IV: The Endogenous Grid Method
• 40. The Income Fluctuation Problem I: Basic Model
• 41. The Income Fluctuation Problem II: Stochastic Returns on Assets

Information

• 42. Job Search VII: Search with Learning
• 43. Likelihood Ratio Processes
• 44. Computing Mean of a Likelihood Ratio Process
• 45. A Problem that Stumped Milton Friedman
• 46. Exchangeability and Bayesian Updating
• 47. Likelihood Ratio Processes and Bayesian Learning
• 48. Bayesian versus Frequentist Decision Rules

LQ Control

• 49. LQ Control: Foundations
• 50. Lagrangian for LQ Control
• 51. Eliminating Cross Products
• 52. The Permanent Income Model
• 53. Permanent Income II: LQ Techniques
• 54. Production Smoothing via Inventories

Multiple Agent Models

• 55. Schelling’s Segregation Model
• 56. A Lake Model of Employment and Unemployment
• 57. Rational Expectations Equilibrium
• 58. Stability in Linear Rational Expectations Models
• 59. Markov Perfect Equilibrium
• 60. Uncertainty Traps
• 61. The Aiyagari Model

Asset Pricing and Finance

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

Data and Empirics

• 65. Pandas for Panel Data
• 66. Linear Regression in Python
• 67. Maximum Likelihood Estimation

Other

• 68. Troubleshooting
• 69. References
• 70. Execution Statistics

Previous website

While this new site will receive all future updates, you may still view the old site here for the next month.