Quantitative Economics with Julia

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

Getting Started with Julia

• 1. Setting up Your Julia Environment
• 2. Introductory Examples
• 3. Julia Essentials
• 4. Arrays, Tuples, Ranges, and Other Fundamental Types
• 5. Introduction to Types and Generic Programming

Package Ecosystem

• 6. Generic Programming
• 7. Automatic Differentiation
• 8. Quadrature and Interpolation
• 9. General, Data, and Statistics Packages
• 10. Optimization and Nonlinear Solvers

Software Engineering

• 11. Visual Studio Code and Other Tools
• 12. GitHub, Version Control and Collaboration
• 13. Packages, Testing, and Continuous Integration
• 14. The Need for Speed

Tools and Techniques

• 15. Geometric Series for Elementary Economics
• 16. Linear Algebra
• 17. Orthogonal Projections and Their Applications
• 18. LLN and CLT
• 19. Continuous State Markov Chains
• 20. Numerical Linear Algebra and Factorizations
• 21. Krylov Methods and Matrix Conditioning
• 22. Differentiating Models of Economic Dynamics

Introduction to Dynamics

• 23. Dynamics in One Dimension
• 24. AR1 Processes
• 25. Finite Markov Chains
• 26. Linear State Space Models
• 27. Wealth Distribution Dynamics
• 28. A First Look at the Kalman Filter
• 29. Shortest Paths

Dynamic Programming

• 30. Job Search I: The McCall Search Model
• 31. Job Search II: Search and Separation
• 32. A Problem that Stumped Milton Friedman
• 33. Job Search III: Search with Learning
• 34. Job Search IV: Modeling Career Choice
• 35. Job Search V: On-the-Job Search
• 36. Optimal Growth I: The Stochastic Optimal Growth Model
• 37. Optimal Growth II: Time Iteration
• 38. Optimal Growth III: The Endogenous Grid Method
• 39. LQ Dynamic Programming Problems
• 40. Optimal Savings I: The Permanent Income Model
• 41. Optimal Savings II: LQ Techniques
• 42. Consumption and Tax Smoothing with Complete and Incomplete Markets
• 43. Optimal Savings III: Occasionally Binding Constraints
• 44. Robustness
• 45. Discrete State Dynamic Programming

Modeling in Continuous Time

• 46. Modeling COVID 19 with Differential Equations
• 47. Modeling Shocks in COVID 19 with Stochastic Differential Equations

Multiple Agent Models

• 48. Schelling’s Segregation Model
• 49. A Lake Model of Employment and Unemployment
• 50. Rational Expectations Equilibrium
• 51. Markov Perfect Equilibrium
• 52. Asset Pricing I: Finite State Models
• 53. Asset Pricing II: The Lucas Asset Pricing Model
• 54. Asset Pricing III: Incomplete Markets
• 55. Uncertainty Traps
• 56. The Aiyagari Model
• 57. Default Risk and Income Fluctuations
• 58. Globalization and Cycles

Other

• 59. About these Lectures
• 60. Troubleshooting
• 61. References
• 62. Execution Statistics