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Quantitative Economics with Julia

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  • Jesse Perla
  • Thomas J. Sargent
  • John Stachurski
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  • Time Series Models
QuantEcon

Time Series Models¶

These lectures look at important concepts in time series that are used in economics.

Lectures¶

  • Covariance Stationary Processes
    • Overview
    • Introduction
    • Spectral Analysis
    • Implementation
  • Estimation of Spectra
    • Overview
    • Periodograms
    • Smoothing
    • Exercises
    • Solutions
  • Additive Functionals
    • Overview
    • A Particular Additive Functional
    • Dynamics
    • Code
  • Multiplicative Functionals
    • Overview
    • A Log-Likelihood Process
    • Benefits from Reduced Aggregate Fluctuations
  • Classical Control with Linear Algebra
    • Overview
    • A Control Problem
    • Finite Horizon Theory
    • The Infinite Horizon Limit
    • Undiscounted Problems
    • Implementation
    • Exercises
  • Classical Filtering With Linear Algebra
    • Overview
    • Infinite Horizon Prediction and Filtering Problems
    • Finite Dimensional Prediction
    • Combined Finite Dimensional Control and Prediction
    • Exercises

Creative Commons License

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

© Copyright 2019, Jesse Perla, Thomas J. Sargent and John Stachurski. Created using Jupinx, hosted with AWS.

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