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Quantitative Economics with Julia

Jesse Perla, Thomas J. Sargent, and John Stachurski

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Creative Commons License – This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International.

Contents

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. General Purpose Packages
8. Data and Statistics Packages
9. Solvers, Optimizers, and Automatic Differentiation

Software Engineering

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

Tools and Techniques

14. Geometric Series for Elementary Economics
15. Linear Algebra
16. Orthogonal Projections and Their Applications
17. LLN and CLT
18. Continuous State Markov Chains
19. Numerical Linear Algebra and Factorizations
20. Krylov Methods and Matrix Conditioning

Introduction to Dynamics

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

Dynamic Programming

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

Modeling in Continuous Time

44. Modeling COVID 19 with Differential Equations
45. Modeling Shocks in COVID 19 with Stochastic Differential Equations

Multiple Agent Models

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

Time Series Models

57. Covariance Stationary Processes
58. Estimation of Spectra
59. Additive Functionals
60. Multiplicative Functionals
61. Classical Control with Linear Algebra
62. Classical Filtering With Linear Algebra

Dynamic Programming Squared

63. Dynamic Stackelberg Problems
64. Optimal Taxation in an LQ Economy
65. Optimal Taxation with State-Contingent Debt
66. Optimal Taxation without State-Contingent Debt

Other

67. About these Lectures
68. Troubleshooting
69. References
70. Execution Statistics

QuantEcon

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