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Quantitative Economics with Python using JAX

Thomas J. Sargent and John Stachurski

Index

F | K | L | M

F

Fixed Point Theory

K

Kesten processes
- heavy tails

L

Linear State Space Models
Lucas Model

M

Markov process, inventory

Models
- Lucas Asset Pricing

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

Contents

Introduction

1. About
2. An Introduction to JAX
3. Adventures with Autodiff
4. Newton’s Method via JAX

Simulation

5. Inventory Dynamics
6. Kesten Processes and Firm Dynamics
7. Wealth Distribution Dynamics

Asset Pricing

8. Asset Pricing: The Lucas Asset Pricing Model
9. An Asset Pricing Problem

Dynamic Programming

10. Job Search
11. Optimal Savings I: Value Function Iteration
12. Optimal Savings II: Alternative Algorithms
13. Shortest Paths
14. Optimal Investment
15. Inventory Management Model
16. Endogenous Grid Method

Macroeconomic Models

17. Default Risk and Income Fluctuations
18. The Aiyagari Model
19. The Hopenhayn Entry-Exit Model
20. Bianchi Overborrowing Model

Data and Empirics

21. Maximum Likelihood Estimation
22. Simple Neural Network Regression with Keras and JAX

Other

23. Troubleshooting
24. References
25. Execution Statistics

QuantEcon

Lecture (PDF)
Book (PDF)

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