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

Bayes Law

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

Statistics and Information

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

Linear Programming

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

Introduction to Dynamics

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

Search

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

Consumption, Savings and Capital

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

LQ Control

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

Multiple Agent Models

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

Asset Pricing and Finance

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

Data and Empirics

• 73. Pandas for Panel Data
• 74. Linear Regression in Python
• 75. Maximum Likelihood Estimation

Auctions

• 76. First-Price and Second-Price Auctions
• 77. Multiple Good Allocation Mechanisms

Other

• 78. Troubleshooting
• 79. References
• 80. Execution Statistics