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. Complex Numbers and Trigonometry
• 6. LLN and CLT
• 7. Heavy-Tailed Distributions
• 8. Multivariate Normal Distribution
• 9. Univariate Time Series with Matrix Algebra

Introduction to Dynamics

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

Search

• 22. Job Search I: The McCall Search Model
• 23. Job Search II: Search and Separation
• 24. Job Search III: Fitted Value Function Iteration
• 25. Job Search IV: Correlated Wage Offers
• 26. Job Search V: Modeling Career Choice
• 27. Job Search VI: On-the-Job Search

Consumption, Savings and Growth

• 28. Cake Eating I: Introduction to Optimal Saving
• 29. Cake Eating II: Numerical Methods
• 30. Optimal Growth I: The Stochastic Optimal Growth Model
• 31. Optimal Growth II: Accelerating the Code with Numba
• 32. Optimal Growth III: Time Iteration
• 33. Optimal Growth IV: The Endogenous Grid Method
• 34. The Income Fluctuation Problem I: Basic Model
• 35. The Income Fluctuation Problem II: Stochastic Returns on Assets

Information

• 36. Job Search VII: Search with Learning
• 37. Likelihood Ratio Processes
• 38. A Problem that Stumped Milton Friedman
• 39. Exchangeability and Bayesian Updating
• 40. Likelihood Ratio Processes and Bayesian Learning
• 41. Bayesian versus Frequentist Decision Rules

LQ Control

• 42. LQ Control: Foundations
• 43. The Permanent Income Model
• 44. Permanent Income II: LQ Techniques
• 45. Production Smoothing via Inventories

Multiple Agent Models

• 46. Schelling’s Segregation Model
• 47. A Lake Model of Employment and Unemployment
• 48. Rational Expectations Equilibrium
• 49. Stability in Linear Rational Expectations Models
• 50. Markov Perfect Equilibrium
• 51. Uncertainty Traps
• 52. The Aiyagari Model

Asset Pricing and Finance

• 53. Asset Pricing: Finite State Models
• 54. Competitive equilibria with Arrow securities
• 55. Heterogeneous Beliefs and Bubbles

Data and Empirics

• 56. Pandas for Panel Data
• 57. Linear Regression in Python
• 58. Maximum Likelihood Estimation

Other

• 59. Troubleshooting
• 60. References
• 61. 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.