diff --git a/.github/dependabot.yml b/.github/dependabot.yml new file mode 100644 index 0000000..7809c2a --- /dev/null +++ b/.github/dependabot.yml @@ -0,0 +1,13 @@ +# To get started with Dependabot version updates, you'll need to specify which +# package ecosystems to update and where the package manifests are located. +# Please see the documentation for all configuration options: +# https://docs.github.com/code-security/dependabot/dependabot-version-updates/configuration-options-for-the-dependabot.yml-file + +version: 2 +updates: + - package-ecosystem: github-actions + directory: / + commit-message: + prefix: ⬆️ + schedule: + interval: weekly diff --git a/.github/workflows/cache.yml b/.github/workflows/cache.yml new file mode 100644 index 0000000..f968aa6 --- /dev/null +++ b/.github/workflows/cache.yml @@ -0,0 +1,51 @@ +name: Build Cache [using jupyter-book] +on: + push: + branches: + - main +jobs: + tests: + runs-on: ubuntu-latest + steps: + - name: Checkout + uses: actions/checkout@v4 + - name: Setup Anaconda + uses: conda-incubator/setup-miniconda@v3 + with: + auto-update-conda: true + auto-activate-base: true + miniconda-version: 'latest' + python-version: "3.11" + environment-file: environment.yml + activate-environment: quantecon + - name: graphviz Support # TODO: required? + run: | + sudo apt-get -qq update && sudo apt-get install -y graphviz + - name: Install latex dependencies + run: | + sudo apt-get -qq update + sudo apt-get install -y \ + texlive-latex-recommended \ + texlive-latex-extra \ + texlive-fonts-recommended \ + texlive-fonts-extra \ + texlive-xetex \ + latexmk \ + xindy \ + dvipng \ + cm-super + - name: Build HTML + shell: bash -l {0} + run: | + jb build lectures --path-output ./ -W --keep-going + - name: Upload Execution Reports (HTML) + uses: actions/upload-artifact@v4 + if: failure() + with: + name: execution-reports + path: _build/html/reports + - name: Upload "_build" folder (cache) + uses: actions/upload-artifact@v4 + with: + name: build-cache + path: _build \ No newline at end of file diff --git a/.github/workflows/ci.yml b/.github/workflows/ci.yml new file mode 100644 index 0000000..638eac2 --- /dev/null +++ b/.github/workflows/ci.yml @@ -0,0 +1,89 @@ +name: Build HTML [using jupyter-book] +on: [pull_request] +jobs: + preview: + runs-on: ubuntu-latest + steps: + - name: Checkout + uses: actions/checkout@v4 + - name: Setup Anaconda + uses: conda-incubator/setup-miniconda@v3 + with: + auto-update-conda: true + auto-activate-base: true + miniconda-version: 'latest' + python-version: "3.11" + environment-file: environment.yml + activate-environment: quantecon + - name: Graphics Support #TODO: Review if graphviz is needed + run: | + sudo apt-get -qq update && sudo apt-get install -y graphviz + - name: Install latex dependencies + run: | + sudo apt-get -qq update + sudo apt-get install -y \ + texlive-latex-recommended \ + texlive-latex-extra \ + texlive-fonts-recommended \ + texlive-fonts-extra \ + texlive-xetex \ + latexmk \ + xindy \ + dvipng \ + cm-super + - name: Display Conda Environment Versions + shell: bash -l {0} + run: conda list + - name: Display Pip Versions + shell: bash -l {0} + run: pip list + - name: Download "build" folder (cache) + uses: dawidd6/action-download-artifact@v6 + with: + workflow: cache.yml + branch: main + name: build-cache + path: _build + # Build Assets (Download Notebooks and PDF via LaTeX) + - name: Build PDF from LaTeX + shell: bash -l {0} + run: | + jb build lectures --builder pdflatex --path-output ./ -n --keep-going + mkdir -p _build/html/_pdf + cp -u _build/latex/*.pdf _build/html/_pdf + - name: Upload Execution Reports (LaTeX) + uses: actions/upload-artifact@v4 + if: failure() + with: + name: execution-reports + path: _build/latex/reports + - name: Build Download Notebooks (sphinx-tojupyter) + shell: bash -l {0} + run: | + jb build lectures --path-output ./ --builder=custom --custom-builder=jupyter + mkdir -p _build/html/_notebooks + cp -u _build/jupyter/*.ipynb _build/html/_notebooks + # Build HTML (Website) + # BUG: rm .doctress to remove `sphinx` rendering issues for ipywidget mimetypes + # and clear the sphinx cache for building final HTML documents. + - name: Build HTML + shell: bash -l {0} + run: | + rm -r _build/.doctrees + jb build lectures --path-output ./ -nW --keep-going + - name: Upload Execution Reports (HTML) + uses: actions/upload-artifact@v4 + if: failure() + with: + name: execution-reports + path: _build/html/reports + - name: Preview Deploy to Netlify + uses: nwtgck/actions-netlify@v3.0 + with: + publish-dir: '_build/html/' + production-branch: main + github-token: ${{ secrets.GITHUB_TOKEN }} + deploy-message: "Preview Deploy from GitHub Actions" + env: + NETLIFY_AUTH_TOKEN: ${{ secrets.NETLIFY_AUTH_TOKEN }} + NETLIFY_SITE_ID: ${{ secrets.NETLIFY_SITE_ID }} diff --git a/.github/workflows/collab.yml b/.github/workflows/collab.yml new file mode 100644 index 0000000..e6e3a9a --- /dev/null +++ b/.github/workflows/collab.yml @@ -0,0 +1,54 @@ +name: Build Project on Google Collab (Execution) +on: [pull_request] + +jobs: + test: + runs-on: ubuntu-latest-m + container: + image: us-docker.pkg.dev/colab-images/public/runtime:latest + steps: + - uses: actions/checkout@v4 + with: + ref: ${{ github.event.pull_request.head.sha }} + - name: Check for dockerenv file + run: (ls /.dockerenv && echo Found dockerenv) || (echo No dockerenv) + - name: Check python version + shell: bash -l {0} + run: | + python --version + - name: Display Pip Versions + shell: bash -l {0} + run: pip list + - name: Download "build" folder (cache) + uses: dawidd6/action-download-artifact@v6 + with: + workflow: cache.yml + branch: main + name: build-cache + path: _build + # Install build software + - name: Install Build Software + shell: bash -l {0} + run: | + pip install jupyter-book==0.15.1 docutils==0.17.1 quantecon-book-theme==0.7.2 sphinx-tojupyter==0.3.0 sphinxext-rediraffe==0.2.7 sphinx-exercise==0.4.1 sphinxcontrib-youtube==1.1.0 sphinx-togglebutton==0.3.1 arviz==0.13.0 sphinx_proof==0.2.0 + # Build of HTML (Execution Testing) + - name: Build HTML + shell: bash -l {0} + run: | + jb build lectures --path-output ./ -n -W --keep-going + - name: Upload Execution Reports + uses: actions/upload-artifact@v4 + if: failure() + with: + name: execution-reports + path: _build/html/reports + - name: Preview Deploy to Netlify + uses: nwtgck/actions-netlify@v3.0 + with: + publish-dir: '_build/html/' + production-branch: main + github-token: ${{ secrets.GITHUB_TOKEN }} + deploy-message: "Preview Deploy from GitHub Actions" + env: + NETLIFY_AUTH_TOKEN: ${{ secrets.NETLIFY_AUTH_TOKEN }} + NETLIFY_SITE_ID: ${{ secrets.NETLIFY_SITE_ID }} diff --git a/.github/workflows/linkcheck.yml b/.github/workflows/linkcheck.yml new file mode 100644 index 0000000..2756bf1 --- /dev/null +++ b/.github/workflows/linkcheck.yml @@ -0,0 +1,44 @@ +name: Link Checker [Anaconda, Linux] +on: + pull_request: + types: [opened, reopened] + schedule: + # UTC 12:00 is early morning in Australia + - cron: '0 12 * * *' +jobs: + link-check-linux: + name: Link Checking (${{ matrix.python-version }}, ${{ matrix.os }}) + runs-on: ${{ matrix.os }} + strategy: + fail-fast: false + matrix: + os: ["ubuntu-latest"] + python-version: ["3.11"] + steps: + - name: Checkout + uses: actions/checkout@v4 + - name: Setup Anaconda + uses: conda-incubator/setup-miniconda@v3 + with: + auto-update-conda: true + auto-activate-base: true + miniconda-version: 'latest' + python-version: "3.11" + environment-file: environment.yml + activate-environment: quantecon + - name: Download "build" folder (cache) + uses: dawidd6/action-download-artifact@v6 + with: + workflow: cache.yml + branch: main + name: build-cache + path: _build + - name: Link Checker + shell: bash -l {0} + run: jb build lectures --path-output=./ --builder=custom --custom-builder=linkcheck + - name: Upload Link Checker Reports + uses: actions/upload-artifact@v4 + if: failure() + with: + name: linkcheck-reports + path: _build/linkcheck \ No newline at end of file diff --git a/.gitignore b/.gitignore new file mode 100644 index 0000000..f94768a --- /dev/null +++ b/.gitignore @@ -0,0 +1,5 @@ +.DS_Store +lectures/_build +.ipynb_checkpoints/ +.virtual_documents/ +_build/* diff --git a/lectures/_config.yml b/lectures/_config.yml index 348a188..68673fc 100644 --- a/lectures/_config.yml +++ b/lectures/_config.yml @@ -105,8 +105,8 @@ sphinx: index_toc.md: intro.md tojupyter_static_file_path: ["_static"] tojupyter_target_html: true - tojupyter_urlpath: "https://intro.quantecon.org/" - tojupyter_image_urlpath: "https://intro.quantecon.org/_static/" + tojupyter_urlpath: "https://intro.quantecon.org/" #TODO: update + tojupyter_image_urlpath: "https://intro.quantecon.org/_static/" #TODO: update tojupyter_lang_synonyms: ["ipython", "ipython3", "python"] tojupyter_kernels: python3: diff --git a/lectures/_static/lecture_specific/long_run_growth/tooze_ch1_graph.png b/lectures/_static/lecture_specific/long_run_growth/tooze_ch1_graph.png new file mode 100644 index 0000000..3ae6891 Binary files /dev/null and b/lectures/_static/lecture_specific/long_run_growth/tooze_ch1_graph.png differ diff --git a/lectures/_static/lecture_specific/troubleshooting/launch.png b/lectures/_static/lecture_specific/troubleshooting/launch.png new file mode 100644 index 0000000..ac536f4 Binary files /dev/null and b/lectures/_static/lecture_specific/troubleshooting/launch.png differ diff --git a/lectures/_static/lectures-favicon.ico b/lectures/_static/lectures-favicon.ico new file mode 100644 index 0000000..2b8b7a4 Binary files /dev/null and b/lectures/_static/lectures-favicon.ico differ diff --git a/lectures/_static/qe-logo.png b/lectures/_static/qe-logo.png new file mode 100644 index 0000000..4e231ed Binary files /dev/null and b/lectures/_static/qe-logo.png differ diff --git a/lectures/_static/quant-econ.bib b/lectures/_static/quant-econ.bib new file mode 100644 index 0000000..61f867e --- /dev/null +++ b/lectures/_static/quant-econ.bib @@ -0,0 +1,2919 @@ +### +QuantEcon Bibliography File used in conjuction with sphinxcontrib-bibtex package +Note: Extended Information (like abstracts, doi, url's etc.) can be found in quant-econ-extendedinfo.bib file in _static/ +### + + +@book{russell2004history, + title={History of western philosophy}, + author={Russell, Bertrand}, + year={2004}, + publisher={Routledge} +} + +@article{north1989, + title={Constitutions and commitment: the evolution of institutions governing public choice in seventeenth-century England}, + author={North, Douglass C and Weingast, Barry R}, + journal={The journal of economic history}, + volume={49}, + number={4}, + pages={803--832}, + year={1989}, + publisher={Cambridge University Press} +} + +@incollection{keynes1940pay, + title={How to Pay for the War}, + author={Keynes, John Maynard}, + booktitle={Essays in persuasion}, + pages={367--439}, + year={1940}, + publisher={Springer} +} + +@article{bryant1984price, + title={A price discrimination analysis of monetary policy}, + author={Bryant, John and Wallace, Neil}, + journal={The Review of Economic Studies}, + volume={51}, + number={2}, + pages={279--288}, + year={1984}, + publisher={Wiley-Blackwell} +} + + +@article{levitt2019did, + title={Why did ancient states collapse?: the dysfunctional state}, + author={Levitt, Malcolm}, + journal={Why Did Ancient States Collapse?}, + pages={1--56}, + year={2019}, + publisher={Archaeopress} +} + + +@book{Burns_2023, + title={Milton Friedman: The Last Conservative by Jennifer Burns}, + author={Burns, Jennifer}, + year={2023}, + publisher={Farrar, Straus, and Giroux}, + address = {New York} +} + +@article{kuznets1939incomes, + title={Incomes from independent professional practice, 1929-1936}, + author={Kuznets, Simon and Friedman, Milton}, + journal={National Bureau of Economic Research Bulletin}, + number = {72-23}, + year={1939}, + publisher={National Bureau of Economic Research} +} + +@book{friedman1954incomes, + title={Income from Independent Professional Practice}, + author={Friedman, Milton and Kuznets, Simon}, + year={1945}, + publisher={National Bureau of Economic Research}, + address = {New York} +} + +@book{smith2010wealth, + title = {The Wealth of Nations: An inquiry into the nature and causes of the Wealth of Nations}, + author = {Smith, Adam}, + year = {2010}, + publisher = {Harriman House Limited} +} + + +@book{sargent2002big, + title = {The Big Problem of Small Change}, + author = {Sargent, Thomas J and Velde, Fran{\c{c}}ois R}, + year = {2002}, + publisher = {Princeton University Press}, + address = {Princeton, New Jersey} +} + +@book{sargent2013rational, + title = {Rational Expectations and Inflation}, + author = {Sargent, Thomas J}, + year = {2013}, + publisher = {Princeton University Press}, + address = {Princeton, New Jersey} +} + + + +@book{cochrane2023fiscal, + title = {The Fiscal Theory of the Price Level}, + author = {Cochrane, John H}, + year = {2023}, + publisher = {Princeton University Press}, + address = {Princeton, New Jersey} +} + +@incollection{sargent1982ends, + title = {The ends of four big inflations}, + author = {Sargent, Thomas J}, + booktitle = {Inflation: Causes and effects}, + editor = {Hall, Robert E}, + pages = {41--98}, + year = {1982}, + publisher = {University of Chicago Press} +} + +@misc{Tooze_2014, + title = {The Deluge: The Great War, America and the Remaking of the Global Order, 1916--1931}, + author = {Adam Tooze}, + address = {New York}, + publisher = {Viking}, + year = {2014} +} + + + +@article{chambers1996theory, + title = {A theory of commodity price fluctuations}, + author = {Chambers, Marcus J and Bailey, Roy E}, + journal = {Journal of Political Economy}, + volume = {104}, + number = {5}, + pages = {924--957}, + year = {1996}, + publisher = {The University of Chicago Press} +} + +@article{deaton1996competitive, + title = {Competitive storage and commodity price dynamics}, + author = {Deaton, Angus and Laroque, Guy}, + journal = {Journal of Political Economy}, + volume = {104}, + number = {5}, + pages = {896--923}, + year = {1996} +} + + +@article{deaton1992on, + title = {On the behavior of commodity prices}, + author = {Deaton, Angus and Laroque, Guy}, + journal = {The Review of Economic Studies}, + year = {1992}, + volume = {59}, + pages = {1--23} +} + +@article{scheinkman1983simple, + title = {A simple competitive model with production and storage}, + author = {Scheinkman, Jose A and Schechtman, Jack}, + journal = {The Review of Economic Studies}, + volume = {50}, + number = {3}, + pages = {427--441}, + year = {1983}, + publisher = {Wiley-Blackwell} +} + +@article{wright1982economic, + title = {The economic role of commodity storage}, + author = {Wright, Brian D and Williams, Jeffrey C}, + journal = {The Economic Journal}, + volume = {92}, + number = {367}, + pages = {596--614}, + year = {1982}, + publisher = {JSTOR} +} + +@article{samuelson1971stochastic, + title = {Stochastic speculative price}, + author = {Samuelson, Paul A}, + journal = {Proceedings of the National Academy of Sciences}, + volume = {68}, + number = {2}, + pages = {335--337}, + year = {1971}, + publisher = {National Acad Sciences} +} + +@article{samuelson1958exact, + title = {An exact consumption-loan model of interest with or without the social contrivance of money}, + author = {Samuelson, Paul A}, + journal = {Journal of political economy}, + volume = {66}, + number = {6}, + pages = {467--482}, + year = {1958}, + publisher = {The University of Chicago Press} +} + + +@article{sargent2023economic, + title = {Economic Networks: Theory and Computation}, + author = {Sargent, Thomas J and Stachurski, John}, + journal = {arXiv preprint arXiv:2203.11972}, + year = {2023} +} + + +@article{Orcutt_Winokur_69, + author = {Guy H. Orcutt and Herbert S. Winokur}, + journal = {Econometrica}, + number = {1}, + pages = {1--14}, + publisher = {[Wiley, Econometric Society]}, + title = {First Order Autoregression: Inference, Estimation, and Prediction}, + urldate = {2022-06-25}, + volume = {37}, + year = {1969} +} + +@article{hurwicz1950least, + title = {Least squares bias in time series}, + author = {Hurwicz, Leonid}, + journal = {Statistical inference in dynamic economic models}, + volume = {10}, + pages = {365--383}, + year = {1950} +} + +@article{wecker1979predicting, + title = {Predicting the turning points of a time series}, + author = {Wecker, William E}, + journal = {Journal of business}, + pages = {35--50}, + year = {1979}, + publisher = {JSTOR} +} + +@book{Chadhuri_Mukerjee_88, + title = {Randomized Response: Theory and Technique}, + author = {A Chadhuri and R Mukerjee}, + year = {1988}, + publisher = {Marcel Dekker}, + address = {New York} +} + +@article{warner1965randomized, + title = {Randomized response: A survey technique for eliminating evasive answer bias}, + author = {Warner, Stanley L}, + journal = {Journal of the American Statistical Association}, + volume = {60}, + number = {309}, + pages = {63--69}, + year = {1965}, + publisher = {Taylor \& Francis} +} + + +@article{ljungqvist1993unified, + title = {A unified approach to measures of privacy in randomized response models: A utilitarian perspective}, + author = {Ljungqvist, Lars}, + journal = {Journal of the American Statistical Association}, + volume = {88}, + number = {421}, + pages = {97--103}, + year = {1993}, + publisher = {Taylor \& Francis} +} + +@article{lanke1976degree, + title = {On the degree of protection in randomized interviews}, + author = {Lanke, Jan}, + journal = {International Statistical Review/Revue Internationale de Statistique}, + pages = {197--203}, + year = {1976}, + publisher = {JSTOR} +} + + +@article{leysieffer1976respondent, + title = {Respondent jeopardy and optimal designs in randomized response models}, + author = {Leysieffer, Frederick W and Warner, Stanley L}, + journal = {Journal of the American Statistical Association}, + volume = {71}, + number = {355}, + pages = {649--656}, + year = {1976}, + publisher = {Taylor \& Francis} +} + + +@article{anderson1976estimation, + title = {Estimation of a proportion through randomized response}, + author = {Anderson, Harald}, + journal = {International Statistical Review/Revue Internationale de Statistique}, + pages = {213--217}, + year = {1976}, + publisher = {JSTOR} +} + +@article{fligner1977comparison, + title = {A comparison of two randomized response survey methods with consideration for the level of respondent protection}, + author = {Fligner, Michael A and Policello, George E and Singh, Jagbir}, + journal = {Communications in Statistics-Theory and Methods}, + volume = {6}, + number = {15}, + pages = {1511--1524}, + year = {1977}, + publisher = {Taylor \& Francis} +} + +@article{greenberg1977respondent, + title = {Respondent hazards in the unrelated question randomized response model}, + author = {Greenberg, Bernard G and Kuebler, Roy R and Abernathy, James R and Horvitz, Daniel G}, + journal = {Journal of Statistical Planning and Inference}, + volume = {1}, + number = {1}, + pages = {53--60}, + year = {1977}, + publisher = {Elsevier} +} + + +@article{greenberg1969unrelated, + title = {The unrelated question randomized response model: Theoretical framework}, + author = {Greenberg, Bernard G and Abul-Ela, Abdel-Latif A and Simmons, Walt R and Horvitz, Daniel G}, + journal = {Journal of the American Statistical Association}, + volume = {64}, + number = {326}, + pages = {520--539}, + year = {1969}, + publisher = {Taylor \& Francis} +} + +@article{lanke1975choice, + title = {On the choice of the unrelated question in Simmons' version of randomized response}, + author = {Lanke, Jan}, + journal = {Journal of the American Statistical Association}, + volume = {70}, + number = {349}, + pages = {80--83}, + year = {1975}, + publisher = {Taylor \& Francis} +} + + + +@article{schmid2010, + title = {Dynamic mode decomposition of numerical and experimental data}, + author = {Schmid, Peter J}, + journal = {Journal of fluid mechanics}, + volume = {656}, + pages = {5--28}, + year = {2010}, + publisher = {Cambridge University Press} +} + + +@article{apostolakis1990, + title = {The concept of probability in safety assessments of technological systems}, + author = {Apostolakis, George}, + journal = {Science}, + volume = {250}, + number = {4986}, + pages = {1359--1364}, + year = {1990}, + publisher = {American Association for the Advancement of Science} +} + + +@unpublished{Greenfield_Sargent_1993, + author = {Moses A Greenfield and Thomas J Sargent}, + title = {A Probabilistic Analysis of a Catastrophic Transuranic Waste Hoise Accident at the WIPP}, + year = {1993}, + month = {June}, + note = {Environmental Evaluation Group, Albuquerque, New Mexico}, + url = {http://www.tomsargent.com/research/EEG-53.pdf} +} + +@article{Ardron_2018, + title = {Lognormal approximations of fault tree uncertainty distributions}, + author = {El-Shanawany, Ashraf Ben and Ardron, Keith H and Walker, Simon P}, + journal = {Risk Analysis}, + volume = {38}, + number = {8}, + pages = {1576--1584}, + year = {2018} +} + + + +@article{Groves_73, + author = {Groves, T.}, + year = {1973}, + title = {Incentives in teams}, + journal = {Econometrica}, + volume = {41}, + pages = {617-631} +} + +@article{Clarke_71, + author = {Clarke, E.}, + year = { 1971}, + title = {Multipart pricing of public goods}, + journal = {Public Choice}, + volume = {8}, + pages = {19-33} +} + +@article{Vickrey_61, + author = {Vickrey, W.}, + year = {1961}, + title = {Counterspeculation, auctions, and competitive sealed tenders}, + journal = {Journal of Finance}, + volume = {16}, + pages = {8-37} +} + + + + +@article{Phelan_Townsend_91, + author = {Christopher Phelan and Robert M. Townsend}, + title = {{Computing Multi-Period, Information-Constrained Optima}}, + journal = {Review of Economic Studies}, + year = 1991, + volume = {58}, + number = {5}, + pages = {853-881}, + month = {}, + keywords = {}, + doi = {}, + abstract = {This paper presents a detailed theoretical derivation and justification for methods used to compute solutions to a multi-period (including infinite-period), continuum-agent, unobservedeffort economy. Actual solutions are displayed illustrating cross-sectional variability in consumption and labour effort in the population at a point in time and variability for a typical individual over time. The optimal tradeoff between insurance and incentives is explored and the issue of excess variability is addressed by consideration of the analogue full-information economy and various restricted-contracting regimes.}, + url = {https://ideas.repec.org/a/oup/restud/v58y1991i5p853-881..html} +} + + +@article{Spear_Srivastava_87, + author = {Stephen E. Spear and Sanjay Srivastava}, + title = {{On Repeated Moral Hazard with Discounting}}, + journal = {Review of Economic Studies}, + year = 1987, + volume = {54}, + number = {4}, + pages = {599-617}, + month = {}, + keywords = {}, + doi = {}, + abstract = {In this paper, we analyze optimal contracts in an infinitely repeated agency model in which both the principal and agent discount the future. We show that there is a stationary representation of the optimal contract when the agent's conditional discounted expected utility is used as a state variable. This representation reduces the multi-period problem to a static variational problem which can be analyzed using standard variational techniques. This reduction is used to obtain several properties of the contract.}, + url = {https://ideas.repec.org/a/oup/restud/v54y1987i4p599-617..html} +} + + +@article{tu_Rowley, + title = {On dynamic mode decomposition: Theory and applications}, + author = {Tu, J. H. and Rowley, C. W. and Luchtenburg, D. M. and Brunton, S. L. and Kutz, J. N.}, + journal = {Journal of Computational Dynamics}, + volume = {1}, + number = {2}, + year = {2014}, + pages = {391--421} +} + + +@book{Knight:1921, + author = {Knight, Frank H.}, + date-added = {2020-08-20 10:29:34 -0500}, + date-modified = {2020-08-20 11:10:35 -0500}, + keywords = {climate,modeling}, + publisher = {Houghton Mifflin}, + title = {{Risk, Uncertainty, and Profit}}, + year = {1921} +} + + +@article{MaccheroniMarinacciRustichini:2006b, + author = {Maccheroni, Fabio and Marinacci, Massimo and Rustichini, Aldo}, + date-added = {2021-05-19 08:04:27 -0500}, + date-modified = {2021-05-19 08:04:27 -0500}, + journal = {Econometrica}, + keywords = {*file-import-17-01-11}, + number = {6}, + pages = {1147--1498}, + title = {{Ambiguity Aversion, Robustness, and the Variational Representation of Preferences}}, + volume = {74}, + year = {2006} +} + + @article{GilboaSchmeidler:1989, + author = {Gilboa, Itzhak and Schmeidler, David}, + date-added = {2020-08-10 09:11:02 -0500}, + date-modified = {2020-08-10 09:11:02 -0500}, + journal = {Journal of Mathematical Economics}, + keywords = {climate,modeling}, + mendeley-groups = {nsfbib}, + month = {apr}, + number = {2}, + pages = {141--153}, + title = {{Maxmin Expected Utility with Non-Unique Prior}}, + volume = {18}, + year = {1989} +} + + +@book{Sutton_2018, + title = {Reinforcement learning: An introduction}, + author = {Sutton, Richard S and Barto, Andrew G}, + year = {2018}, + publisher = {MIT press} +} + +@article{AHS_2003, + author = {Evan W. Anderson and Lars Peter Hansen and Thomas J. Sargent}, + title = {{A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection}}, + journal = {Journal of the European Economic Association}, + year = 2003, + volume = {1}, + number = {1}, + pages = {68-123}, + month = {March}, + keywords = {}, + doi = {}, + abstract = { A representative agent fears that his model, a continuous time Markov process with jump and diffusion components, is misspecified and therefore uses robust control theory to make decisions. Under the decision maker's approximating model, cautious behavior puts adjustments for model misspecification into market prices for risk factors. We use a statistical theory of detection to quantify how much model misspecification the decision maker should fear, given his historical data record. A semigroup is a collection of objects connected by something like the law of iterated expectations. The law of iterated expectations defines the semigroup for a Markov process, while similar laws define other semigroups. Related semigroups describe (1) an approximating model; (2) a model misspecification adjustment to the continuation value in the decision maker's Bellman equation; (3) asset prices; and (4) the behavior of the model detection statistics that we use to calibrate how much robustness the decision maker prefers. Semigroups 2, 3, and 4 establish a tight link between the market price of uncertainty and a bound on the error in statistically discriminating between an approximating and a worst case model. (JEL: C00, D51, D81, E1, G12) Copyright (c) 2003 The European Economic Association.}, + url = {https://ideas.repec.org/a/tpr/jeurec/v1y2003i1p68-123.html} +} + + +@article{BHS_2009, + author = {Barillas, Francisco and Hansen, Lars Peter and Sargent, Thomas J.}, + title = {{Doubts or variability?}}, + journal = {Journal of Economic Theory}, + year = 2009, + volume = {144}, + number = {6}, + pages = {2388-2418}, + month = {November}, + keywords = { Risk aversion Model misspecification Robustness Market price of risk Equity premium puzzle Risk-fre}, + doi = {}, + abstract = {Reinterpreting most of the market price of risk as a price of model uncertainty eradicates a link between asset prices and measures of the welfare costs of aggregate fluctuations that was proposed by Hansen, Sargent, and Tallarini [17], Tallarini [30], Alvarez and Jermann [1]. Prices of model uncertainty contain information about the benefits of removing model uncertainty, not the consumption fluctuations that Lucas [22] and [23] studied. A max-min expected utility theory lets us reinterpret Tallarini's risk-aversion parameter as measuring a representative consumer's doubts about the model specification. We use model detection instead of risk-aversion experiments to calibrate that parameter. Plausible values of detection error probabilities give prices of model uncertainty that approach the Hansen and Jagannathan [11] bounds. Fixed detection error probabilities give rise to virtually identical asset prices as well as virtually identical costs of model uncertainty for Tallarini's two models of consumption growth.}, + url = {https://ideas.repec.org/a/eee/jetheo/v144y2009i6p2388-2418.html} +} + + + +@article{HST_1999, + author = {Lars Peter Hansen and Thomas J. Sargent and Thomas D. Tallarini}, + title = {{Robust Permanent Income and Pricing}}, + journal = {Review of Economic Studies}, + year = 1999, + volume = {66}, + number = {4}, + pages = {873-907}, + month = {}, + keywords = {}, + doi = {}, + abstract = {\" I suppose there exists an extremely powerful, and, if I may so speak, malignant being, whose whole endeavours are directed toward deceiving me.\" Rene Descartes, Meditations, II.1}, + url = {https://ideas.repec.org/a/oup/restud/v66y1999i4p873-907..html} +} + + +@article{Jacobson_73, + author = {D. H. Jacobson}, + year = {1973}, + title = {Optimal Stochastic Linear Systems with Exponential Performance Criteria and their Relation to Differential Games}, + journal = {IEEE Transactions on Automatic Control}, + volume = {18}, + number = {2}, + pages = {124-131} +} + + + + + @book{Bucklew_2004, + title = {An Introduction to Rare Event Simulation}, + author = {James A. Bucklew}, + address = {New York}, + publisher = {Springer Verlag}, + year = {2004} +} + + + + @book{Whittle_1990, + author = {Peter Whittle}, + title = {Risk-Sensitive Optimal Control}, + year = {1990}, + publisher = {Wiley}, + address = {New York} +} + + + @article{Whittle_1981, + author = {Peter Whittle}, + year = {1981}, + title = {Risk-Sensitive Linear/Quadratic/Gaussian Control}, + journal = {Advances in Applied Probability}, + volume = {13}, + number = {4}, + pages = {764-777} +} + +@book{DoSSo, + title = {Linear Programming and Economic Analysis: Revised Edition}, + author = {Robert Dorfman and Paul A. Samuelson and Robert M. Solow}, + publisher = {McGraw Hill}, + address = {New York}, + year = {1958} +} + +@book{Galichon_2016, + author = {Alfred Galichon}, + year = {2016}, + title = {Optimal Transport Methods in Economics}, + publisher = {Princeton University Press}, + address = {Princeton, New Jersey} +} + +@book{DMD_book, + title = {Dynamic mode decomposition: data-driven modeling of complex systems}, + author = {J. N. Kutz and S. L. Brunton and B. W, Brunton and J. L. Proctor}, + year = {2016}, + publisher = {SIAM} +} + +@book{DDSE_book, + title = {Data-Driven Science and Engineering, Second Edition}, + author = {Steven L. Brunton and J. Nathan Kutz}, + publisher = {Cambridge University Press}, + year = {2022}, + address = {New York} +} + + +@book{bertsimas_tsitsiklis1997, + author = {Bertsimas, D. & Tsitsiklis, J. N.}, + title = {{Introduction to linear optimization}}, + publisher = {Athena Scientific}, + year = {1997} +} + +@book{hu_guo2018, + author = {Hu, Y. & Guo, Y.}, + title = {{Operations research}}, + publisher = {Tsinghua University Press}, + edition = {5th}, + year = {2018} +} + + +@article{definetti, + author = {Bruno de Finetti}, + date-added = {2014-12-26 17:45:57 +0000}, + date-modified = {2014-12-26 17:45:57 +0000}, + journal = {Annales de l'Institute Henri Poincare'}, + note = {English translation in Kyburg and Smokler (eds.), {\it Studies in Subjective Probability}, Wiley, New York, 1964}, + pages = {1 - 68}, + title = {La Prevision: Ses Lois Logiques, Ses Sources Subjectives}, + volume = {7}, + year = {1937} +} + + @book{Holt_Modigliani_Muth_Simon, + title = {Planning Production, Inventories, and Work Force}, + author = {Charles Holt and Franco Modigliani and John F. Muth and Herbert Simon}, + publisher = {Prentice-Hall International Series in Management}, + address = {New Jersey}, + year = {1960} +} + + @article{Leeper_Walker_Yang, + author = {Eric M. Leeper and Todd B. Walker and Shu-Chun Susan Yang}, + title = {Fiscal Foresight and Information Flows}, + journal = {Econometrica}, + year = 2013, + volume = {81}, + number = {3}, + pages = {1115-1145}, + month = {May} +} + +@article{stachurski2008continuous, + title = {Continuous state dynamic programming via nonexpansive approximation}, + author = {Stachurski, John}, + journal = {Computational Economics}, + volume = {31}, + number = {2}, + pages = {141--160}, + year = {2008}, + publisher = {Springer} +} + +@incollection{gordon1995stable, + title = {Stable function approximation in dynamic programming}, + author = {Gordon, Geoffrey J}, + booktitle = {Machine Learning Proceedings 1995}, + pages = {261--268}, + year = {1995}, + publisher = {Elsevier} +} + +@article{caplin1985variability, + title = {The variability of aggregate demand with (S, s) inventory + policies}, + author = {Caplin, Andrew S}, + journal = {Econometrica}, + pages = {1395--1409}, + year = {1985}, + publisher = {JSTOR} +} + +@techreport{kondo2018us, + title = {On the US Firm and Establishment Size Distributions}, + author = {Kondo, Illenin and Lewis, Logan T and Stella, Andrea}, + year = {2018}, + institution = {SSRN} +} + +@article{schluter2019size, + title = {Size distributions reconsidered}, + author = {Schluter, Christian and Trede, Mark}, + journal = {Econometric Reviews}, + volume = {38}, + number = {6}, + pages = {695--710}, + year = {2019}, + publisher = {Taylor \& Francis} +} + +@article{fujiwara2004pareto, + title = {Do Pareto--Zipf and Gibrat laws hold true? An analysis with + European firms}, + author = {Fujiwara, Yoshi and Di Guilmi, Corrado and Aoyama, Hideaki and + Gallegati, Mauro and Souma, Wataru}, + journal = {Physica A: Statistical Mechanics and its Applications}, + volume = {335}, + number = {1-2}, + pages = {197--216}, + year = {2004}, + publisher = {Elsevier} +} + +@article{dunne1989growth, + title = {The growth and failure of US manufacturing plants}, + author = {Dunne, Timothy and Roberts, Mark J and Samuelson, Larry}, + journal = {The Quarterly Journal of Economics}, + volume = {104}, + number = {4}, + pages = {671--698}, + year = {1989}, + publisher = {MIT Press} +} + +@article{hall1987relationship, + title = {The Relationship Between Firm Size and Firm Growth in the US + Manufacturing Sector}, + author = {Hall, Bronwyn H}, + journal = {The Journal of Industrial Economics}, + pages = {583--606}, + year = {1987}, + publisher = {JSTOR} +} + +@article{evans1987relationship, + title = {The relationship between firm growth, size, and age: Estimates for + 100 manufacturing industries}, + author = {Evans, David S}, + journal = {The Journal of Industrial Economics}, + pages = {567--581}, + year = {1987}, + publisher = {JSTOR} +} + +@phdthesis{gibrat1931inegalites, + title = {Les in{\'e}galit{\'e}s {\'e}conomiques: Applications d'une loi + nouvelle, la loi de l'effet proportionnel}, + author = {Gibrat, Robert}, + year = {1931}, + school = {Recueil Sirey} +} + +@book{buraczewski2016stochastic, + title = {Stochastic models with power-law tails}, + author = {Buraczewski, Dariusz and Damek, Ewa and Mikosch, Thomas and others}, + year = {2016}, + publisher = {Springer} +} + +@inproceedings{nishiyama2004estimation, + title = {Estimation and testing for rank size rule regression under pareto + distribution}, + author = {Nishiyama, Y and Osada, S and Morimune, K}, + booktitle = {Proceedings of the International Environmental Modelling + and Software Society iEMSs 2004 International Conference}, + year = {2004}, + organization = {Citeseer} +} + +@article{ahn2018inequality, + author = {Ahn, SeHyoun and Kaplan, Greg and Moll, Benjamin and Winberry, Thomas and Wolf, Christian}, + title = {When Inequality Matters for Macro and Macro Matters for Inequality}, + journal = {NBER Macroeconomics Annual}, + year = {2018}, + volume = {32}, + number = {1}, + pages = {1--75}, + publisher = {University of Chicago Press} +} + +@techreport{bhandari2018inequality, + title = {Inequality, Business Cycles, and Monetary-Fiscal Policy}, + author = {Bhandari, Anmol and Evans, David and Golosov, Mikhail and Sargent, Thomas J}, + year = {2018}, + institution = {National Bureau of Economic Research} +} + +@article{glaeser2003injustice, + author = {Glaeser, Edward and Scheinkman, Jose and Shleifer, Andrei}, + title = {The Injustice of Inequality}, + journal = {Journal of Monetary Economics}, + year = {2003}, + volume = {50}, + number = {1}, + pages = {199--222}, + publisher = {Elsevier} +} + +@article{acemoglu2002political, + author = {Acemoglu, Daron and Robinson, James A.}, + title = {The Political Economy of the {K}uznets curve}, + journal = {Review of Development Economics}, + year = {2002}, + volume = {6}, + number = {2}, + pages = {183--203}, + publisher = {Wiley Online Library} +} + +@article{rozenfeld2011area, + title = {The area and population of cities: New insights from a different + perspective on cities}, + author = {Rozenfeld, Hern{\'a}n D and Rybski, Diego and Gabaix, Xavier and + Makse, Hern{\'a}n A}, + journal = {American Economic Review}, + volume = {101}, + number = {5}, + pages = {2205--25}, + year = {2011} +} + +@book{rachev2003handbook, + title = {Handbook of heavy tailed distributions in finance: Handbooks in + finance}, + author = {Rachev, Svetlozar Todorov}, + volume = {1}, + year = {2003}, + publisher = {Elsevier} +} + +@article{mandelbrot1963variation, + title = {The variation of certain speculative prices}, + author = {Mandelbrot, Benoit}, + journal = {The Journal of Business}, + volume = {36}, + number = {4}, + pages = {394--419}, + year = {1963} +} + +@article{gabaix2016power, + title = {Power laws in economics: An introduction}, + author = {Gabaix, Xavier}, + journal = {Journal of Economic Perspectives}, + volume = {30}, + number = {1}, + pages = {185--206}, + year = {2016} +} + +@article{axtell2001zipf, + title = {Zipf distribution of US firm sizes}, + author = {Axtell, Robert L}, + journal = {science}, + volume = {293}, + number = {5536}, + pages = {1818--1820}, + year = {2001}, + publisher = {American Association for the Advancement of + Science} +} + +@article{benhabib2018skewed, + title = {Skewed wealth distributions: Theory and empirics}, + author = {Benhabib, Jess and Bisin, Alberto}, + journal = {Journal of Economic Literature}, + volume = {56}, + number = {4}, + pages = {1261--91}, + year = {2018} +} + +@article{pareto1896cours, + title = {Cours d'{\'e}conomie politique}, + author = {Vilfredo, Pareto}, + journal = {Rouge, Lausanne}, + volume = {2}, + year = {1896} +} + +@article{attanasio2011risk, + title = {Risk sharing in private information models with asset accumulation: Explaining the excess smoothness of consumption}, + author = {Attanasio, Orazio P and Pavoni, Nicola}, + journal = {Econometrica}, + volume = {79}, + number = {4}, + pages = {1027--1068}, + year = {2011}, + publisher = {Wiley Online Library} +} + +@incollection{sargent1991observable, + title = {Observable Implications of Present Value Budget Balance}, + author = {Sargent, Thomas and Hansen, Lars Peter and Roberts, Will}, + booktitle = {Rational Expectations Econometrics}, + year = {1991}, + publisher = {Westview Press} +} + +@article{HansenSargent2001, + author = {Hansen, Lars Peter and Thomas J. Sargent}, + year = {2001}, + title = {Robust Control and Model Uncertainty}, + journal = {American Economic Review}, + volume = {91}, + number = {2}, + pages = {60-66} +} + +@incollection{Dickey1975, + author = {Dickey, J}, + year = {1975}, + title = {Bayesian alternatives to the F-test and least-squares estimate in the normal linear model}, + editor = {S.E. Fienberg and A. Zellner}, + booktitle = {Studies in Bayesian econometrics and statistics}, + publisher = {North-Holland}, + address = {Amsterdam}, + pages = {515-554} +} + +@inproceedings{von1937uber, + title = {Uber ein okonomsiches gleichungssystem und eine verallgemeinering des browerschen fixpunktsatzes}, + author = {von Neumann, John}, + booktitle = {Erge. Math. Kolloq.}, + volume = {8}, + pages = {73--83}, + year = {1937} +} + +@article{neumann1928theorie, + title = {Zur theorie der gesellschaftsspiele}, + author = {von Neumann, John}, + journal = {Mathematische annalen}, + volume = {100}, + number = {1}, + pages = {295--320}, + year = {1928}, + publisher = {Springer} +} + +@article{nash1951non, + title = {Non-cooperative games}, + author = {Nash, John}, + journal = {Annals of mathematics}, + pages = {286--295}, + year = {1951}, + publisher = {JSTOR} +} + +@article{kemeny1956generalization, + title = {A generalization of the von Neumann model of an expanding economy}, + author = {Kemeny, John G and Morgenstern, Oskar and Thompson, Gerald L}, + journal = {Econometrica, Journal of the Econometric Society}, + pages = {115--135}, + year = {1956}, + publisher = {JSTOR} +} + +@article{hamburger1967computation, + title = {Computation of expansion rates for the generalized von Neumann model of an expanding economy}, + author = {Hamburger, Michael J and Thompson, Gerald L and Weil, Roman L}, + journal = {Econometrica, Journal of the Econometric Society}, + pages = {542--547}, + year = {1967}, + publisher = {JSTOR} +} + +@book{gale1989theory, + title = {The theory of linear economic models}, + author = {Gale, David}, + year = {1989}, + publisher = {University of Chicago press} +} + +@book{leamer1978specification, + title = {Specification searches: Ad hoc inference with nonexperimental data}, + author = {Leamer, Edward E}, + volume = {53}, + year = {1978}, + publisher = {John Wiley \& Sons Incorporated} +} + +@article{black1992global, + title = {Global portfolio optimization}, + author = {Black, Fischer and Litterman, Robert}, + journal = {Financial analysts journal}, + volume = {48}, + number = {5}, + pages = {28--43}, + year = {1992}, + publisher = {Taylor \& Francis} +} + +@article{ryoo2004engineering, + title = {The engineering labor market}, + author = {Ryoo, Jaewoo and Rosen, Sherwin}, + journal = {Journal of political economy}, + volume = {112}, + number = {S1}, + pages = {S110--S140}, + year = {2004}, + publisher = {The University of Chicago Press} +} + +@article{rosen1994cattle, + title = {Cattle cycles}, + author = {Rosen, Sherwin and Murphy, Kevin M and Scheinkman, Jose A}, + journal = {Journal of Political Economy}, + volume = {102}, + number = {3}, + pages = {468--492}, + year = {1994}, + publisher = {The University of Chicago Press} +} + +@book{HS2013, + title = {Recursive Linear Models of Dynamic Economics}, + author = {Hansen, Lars Peter and Thomas J. Sargent}, + year = {2013}, + publisher = {Princeton University Press}, + address = {Princeton, New Jersey} +} + +@article{Reffett1996, + title = {Production-based asset pricing in monetary economies with transactions costs}, + author = {Reffett, Kevin L}, + journal = {Economica}, + pages = {427--443}, + year = {1996}, + publisher = {JSTOR} +} + +@article{Samuelson1939, + title = {Interactions Between the Multiplier Analysis + and the Principle of Acceleration}, + author = {Samuelson, Paul A.}, + journal = {Review of Economic Studies}, + volume = {21}, + number = {2}, + year = {1939}, + pages = {75--78} +} + +@article{Abreu, + title = {On the Theory of Infinitely Repeated Games with + Discounting}, + author = {Abreu, Dilip}, + journal = {Econometrica}, + volume = {56}, + year = {1988}, + pages = {383--396} +} + +@article{Stokey1991, + author = {Stokey, Nancy L.}, + title = {{Credible public policy}}, + journal = {Journal of Economic Dynamics and Control}, + year = 1991, + volume = {15}, + number = {4}, + pages = {627-656}, + month = {October} +} + +@incollection{Koopmans, + author = {Koopmans, Tjalling C.}, + editor = {Koopmans, Tjalling C.}, + year = {1965}, + title = {On the Concept of Optimal Economic Growth}, + booktitle = {The Economic Approach to Development Planning}, + address = { Chicago}, + publilsher = {Rand McNally}, + pages = {225-287} +} + + @article{Cass, + author = {Cass, David}, + year = {1965}, + title = {Optimum Growth in an Aggregative Model of Capital Accumulation}, + journal = {Review of Economic Studies}, + volume = {32}, + number = {3}, + pages = {233-240} +} + +@incollection{Cagan, + author = {Cagan, Philip}, + title = {The Monetary Dynamics of Hyperinflation}, + editor = {Milton Friedman}, + booktitle = {Studies in the Quantity Theory of Money}, + publisher = {University of Chicago Press}, + address = {Chicago}, + pages = {25--117}, + year = 1956 +} + + @article{Sargent77hyper, + author = {Sargent, Thomas J}, + title = {{The Demand for Money During Hyperinflations under Rational Expectations: I}}, + journal = {International Economic Review}, + year = 1977, + volume = {18}, + number = {1}, + pages = {59-82}, + month = {February} +} + +@article{Treisman2016, + title = {Russia's Billionaires}, + author = {Treisman, Daniel}, + journal = {The American Economic Review}, + volume = {106}, + number = {5}, + pages = {236--241}, + year = {2016}, + publisher = {American Economic Association} +} + +@book{Wooldridge2015, + title = {Introductory econometrics: A modern approach}, + author = {Wooldridge, Jeffrey M}, + year = {2015}, + publisher = {Nelson Education} +} + +@article{Acemoglu2001, + title = {The Colonial Origins of Comparative Development: An Empirical Investigation}, + author = {Acemoglu, Daron and Johnson, Simon and Robinson, James A}, + journal = {The American Economic Review}, + volume = {91}, + number = {5}, + pages = {1369--1401}, + year = {2001} +} + +@book{Rozanov1967, + title = {Stationary Random Processes}, + year = {1967}, + author = {Y. A. Rozanov}, + address = {San Francisco}, + publisher = {Holden-Day} +} + +@book{Whittle1983, + author = {Whittle, Peter}, + title = {Prediction and Regulation by Linear Least Squares Methods}, + edition = {2nd}, + publisher = {University of Minnesota Press}, + address = {Minneapolis, Minnesota}, + year = {1983} +} + +@article{Jovanovic1979, + title = {Firm-specific capital and turnover}, + author = {Jovanovic, Boyan}, + journal = {Journal of Political Economy}, + volume = {87}, + number = {6}, + pages = {1246--1260}, + year = {1979}, + publisher = {The University of Chicago Press} +} + +@article{Deneckere1992, + title = {Cyclical and chaotic behavior in a dynamic equilibrium model, with implications for fiscal policy}, + author = {Deneckere, Raymond J and Judd, Kenneth L}, + journal = {Cycles and chaos in economic equilibrium}, + pages = {308--329}, + year = {1992}, + publisher = {Princeton University Press} +} + +@article{Judd1985, + title = {On the performance of patents}, + author = {Judd, Kenneth L}, + journal = {Econometrica}, + pages = {567--585}, + year = {1985}, + publisher = {JSTOR} +} + +@book{Helpman1985, + title = {Market structure and international trade}, + author = {Helpman, Elhanan and Krugman, Paul}, + year = {1985}, + publisher = {MIT Press Cambridge} +} + +@article{LettLud2004, + author = {Martin Lettau and Sydney C. Ludvigson}, + title = {{Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption}}, + journal = {American Economic Review}, + year = 2004, + volume = {94}, + number = {1}, + pages = {276-299}, + month = {March} +} + +@article{LettLud2001, + author = {Martin Lettau and Sydney Ludvigson}, + title = {{Consumption, Aggregate Wealth, and Expected Stock Returns}}, + journal = {Journal of Finance}, + year = 2001, + volume = {56}, + number = {3}, + pages = {815-849}, + month = {06} +} + + + +@article{CampbellShiller88, + author = {John Y. Campbell, Robert J. Shiller}, + title = {{The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors}}, + journal = {Review of Financial Studies}, + year = 1988, + volume = {1}, + number = {3}, + pages = {195-228} +} + +@book{Friedman98, + title = {Two Lucky People}, + author = {Friedman, Milton and Friedman, Rose D}, + year = {1998}, + publisher = {University of Chicago Press} +} + +@article{JuddYeltekinConklin2003, + author = {Kenneth L. Judd and Sevin Yeltekin and James Conklin}, + title = {{Computing Supergame Equilibria}}, + journal = {Econometrica}, + year = 2003, + volume = {71}, + number = {4}, + pages = {1239-1254}, + month = {07}, + keywords = {}, + doi = {}, + abstract = { We present a general method for computing the set of supergame equilibria in infinitely repeated games with perfect monitoring and public randomization. We present a three-stage algorithm that constructs a convex set containing the set of equilibrium values, constructs another convex set contained in the set of equilibrium values, and produces strategies that support them. We explore the properties of this algorithm by applying it to familiar games. Copyright The Econometric Society 2003.}, + url = {https://ideas.repec.org/a/ecm/emetrp/v71y2003i4p1239-1254.html} +} + +@book{kreps, + author = {David M. Kreps}, + date-added = {2014-12-26 17:45:57 +0000}, + date-modified = {2014-12-26 17:45:57 +0000}, + publisher = {Westview Press}, + series = {Underground Classics in Economics}, + title = {Notes on the Theory of Choice}, + year = {1988} +} + +@book{Kreps88, + title = {Notes on the Theory of Choice}, + author = {David M. Kreps}, + year = {1988}, + publisher = {Westview Press}, + address = {Boulder, Colorado} +} + +@book{Bertekas75, + author = {Dmitri Bertsekas}, + title = {Dynamic Programming and Stochastic Control}, + year = {1975}, + publisher = {Academic Press}, + address = {New York} +} + +@book{Wald47, + author = {Wald, Abraham}, + year = {1947}, + title = {Sequential Analysis}, + address = {New York}, + publisher = {John Wiley and Sons} +} + +@incollection{Bewley86, + author = {Bewley, Truman F}, + title = {Stationary Monetary Equilibrium with a Continuum of Independently Fluctuating Consumers}, + editor = {Werner Hildenbran and Andreu Mas-Colell}, + year = {1986}, + booktitle = {Contributions to Mathematical Economics in Honor of Gerard Debreu}, + publisher = {North-Holland}, + address = {Amsterdam}, + pages = {27-102} +} + +@article{Tall2000, + author = {Tallarini, Thomas D}, + title = {Risk-sensitive real business cycles}, + journal = {Journal of Monetary Economics}, + year = {2000}, + volume = {45}, + number = {3}, + pages = {507-532}, + month = {June} +} + +@book{Lucas1987, + title = {Models of business cycles}, + author = {Lucas, Robert E}, + volume = {26}, + year = {1987}, + publisher = {Oxford Blackwell} +} + +@article{hansen2009long, + title = {Long-term risk: An operator approach}, + author = {Hansen, Lars Peter and Scheinkman, Jos{\'e} A}, + journal = {Econometrica}, + volume = {77}, + number = {1}, + pages = {177--234}, + year = {2009}, + publisher = {Wiley Online Library} +} + +@article{Hans_Scheink_2009, + author = {Lars Peter Hansen and Jose A. Scheinkman}, + title = {Long-Term Risk: An Operator Approach}, + journal = {Econometrica}, + year = {2009}, + volume = {77}, + number = {1}, + pages = {177-234}, + month = {01} +} + +@book{hansen2008robustness, + title = {Robustness}, + author = {Hansen, Lars Peter and Sargent, Thomas J}, + year = {2008}, + publisher = {Princeton university press} +} + +@book{Whittle1963, + title = {Prediction and regulation by linear least-square methods}, + author = {Whittle, Peter}, + publisher = {English Univ. 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Kreps}, + title = {Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations}, + journal = {The Quarterly Journal of Economics}, + year = {1978}, + volume = {92}, + number = {2}, + pages = {323-336} +} + +@article{pal2013, + title = {Fitted value function iteration with probability one contractions}, + author = {P{\'a}l, Jen{\H{o}} and Stachurski, John}, + journal = {Journal of Economic Dynamics and Control}, + volume = {37}, + number = {1}, + pages = {251--264}, + year = {2013}, + publisher = {Elsevier} +} + +@article{mirman1975, + title = {On optimal growth under uncertainty}, + author = {Mirman, Leonard J and Zilcha, Itzhak}, + journal = {Journal of Economic Theory}, + volume = {11}, + number = {3}, + pages = {329--339}, + year = {1975}, + publisher = {Elsevier} +} + +@article{Heaton1996, + title = {Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing}, + author = {Heaton, John and Lucas, Deborah J}, + journal = {Journal of Political Economy}, + pages = {443--487}, + year = {1996}, + publisher = {JSTOR} +} + +@article{benhabib2015, + title = {The wealth distribution in Bewley economies with capital income risk}, + author = {Benhabib, Jess and Bisin, Alberto and Zhu, Shenghao}, + journal = {Journal of Economic Theory}, + volume = {159}, + pages = {489--515}, + year = {2015}, + publisher = {Elsevier} +} + +@book{puterman2005, + title = {Markov decision processes: discrete stochastic dynamic programming}, + author = {Puterman, Martin L}, + year = {2005}, + publisher = {John Wiley \& Sons} +} + +@book{haggstrom2002finite, + title = {Finite Markov chains and algorithmic applications}, + author = {H{\"a}ggstr{\"o}m, Olle}, + volume = {52}, + year = {2002}, + publisher = {Cambridge University Press} +} + +@techreport{fun, + title = {Uncertainty traps}, + author = {Fajgelbaum, Pablo and Schaal, Edouard and Taschereau-Dumouchel, Mathieu}, + year = {2015}, + institution = {National Bureau of Economic Research} +} + +@book{young2005, + title = {Essentials of statistical inference}, + author = {Young, G Alastair and Smith, Richard L}, + year = {2005}, + publisher = {Cambridge University Press} +} + +@article{arellano2008default, + title = {Default risk and income fluctuations in emerging economies}, + author = {Arellano, Cristina}, + journal = {The American Economic Review}, + pages = {690--712}, + year = {2008}, + publisher = {JSTOR} +} + +@article{davis2006flow, + title = {The flow approach to labor markets: New data sources, micro-macro links and the recent downturn}, + author = {Davis, Steven J and Faberman, R Jason and Haltiwanger, John}, + journal = {Journal of Economic Perspectives}, + year = {2006} +} + +@article{Aiyagari1994, + author = {Aiyagari, S Rao}, + journal = {The Quarterly Journal of Economics}, + number = {3}, + pages = {659--684}, + title = {{Uninsured Idiosyncratic Risk and Aggregate Saving}}, + volume = {109}, + year = {1994} +} + +@article{AMSS_2002, + author = {S. 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J.}, + booktitle = {Handbook of Computational Economics}, + edition = {Vol 1}, + publisher = {Elsevier}, + title = {{Mechanics of Forming and Estimating Dynamic Linear Economies}}, + year = {1996} +} + +@article{Barro1979, + author = {Barro, Robert J}, + journal = {Journal of Political Economy}, + number = {5}, + pages = {940--971}, + publisher = {University of Chicago Press}, + title = {{On the Determination of the Public Debt}}, + volume = {87}, + year = {1979} +} + +@article{BenvenisteScheinkman1979, + author = {Benveniste, L M and Scheinkman, J A}, + journal = {Econometrica}, + number = {3}, + pages = {727--732}, + publisher = {The Econometric Society}, + title = {{On the Differentiability of the Value Function in Dynamic Models of Economics}}, + volume = {47}, + year = {1979} +} + +@book{Bishop2006, + author = {Bishop, C. 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+@book{Popper1992, + author = {Popper, K}, + edition = {1}, + publisher = {Routledge}, + title = {{The Logic of Scientific Discovery}}, + year = {1992} +} + +@article{Prescott1977, + author = {Prescott, Edward C.}, + year = {1977}, + title = {Should Control Theory Be Used for Economic Stabilization?}, + journal = {Journal of Monetary Economics}, + volume = {7}, + pages = {13-38} +} + +@article{Rabault2002, + author = {Rabault, Guillaume}, + journal = {Journal of Economic Dynamics and Control}, + number = {2}, + pages = {217--245}, + publisher = {Elsevier}, + title = {{When do borrowing constraints bind? Some new results on the income fluctuation problem}}, + volume = {26}, + year = {2002} +} + +@article{Ramsey1927, + author = {Ramsey, F. P.}, + journal = {Economic Journal}, + number = {145}, + pages = {47--61}, + title = {{A Contribution to the theory of taxation}}, + volume = {37}, + year = {1927} +} + +@article{Reiter2009, + author = {Reiter, Michael}, + journal = {Journal of Economic Dynamics and Control}, + number = {3}, + pages = {649--665}, + publisher = {Elsevier}, + title = {{Solving heterogeneous-agent models by projection and perturbation}}, + volume = {33}, + year = {2009} +} + +@article{Sargent1979, + author = {Sargent, T J}, + year = {1979}, + title = {A Note On Maximum Likelihood Estimation of The Rational Expectations Model of The Term Structure}, + journal = {Journal of Monetary Economics}, + volume = {35}, + pages = {245-274} +} + +@book{Sargent1987, + author = {Sargent, Thomas J}, + edition = {2nd}, + publisher = {Academic Press}, + address = {New York}, + title = {Macroeconomic Theory}, + year = {1987} +} + +@article{SchechtmanEscudero1977, + author = {Schechtman, Jack and Escudero, Vera L S}, + journal = {Journal of Economic Theory}, + number = {2}, + pages = {151--166}, + title = {{Some results on an income fluctuation problem}}, + volume = {16}, + year = {1977} +} + +@article{Schelling1969, + author = {Schelling, Thomas C}, + journal = {American Economic Review}, + number = {2}, + pages = {488--493}, + publisher = {American Economic Association}, + title = {{Models of Segregation}}, + volume = {59}, + year = {1969} +} + +@article{bansal2004risks, + title = {Risks for the long run: A potential resolution of asset pricing puzzles}, + author = {Bansal, Ravi and Yaron, Amir}, + journal = {The journal of Finance}, + volume = {59}, + number = {4}, + pages = {1481--1509}, + year = {2004}, + publisher = {Wiley Online Library} +} + +@article{Bansal_Yaron_2004, + author = {Ravi Bansal and Amir Yaron}, + title = {{Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles}}, + journal = {Journal of Finance}, + year = 2004, + volume = {59}, + number = {4}, + pages = {1481-1509}, + month = {08}, + keywords = {}, + doi = {}, + abstract = { We model consumption and dividend growth rates as containing (1) a small long-run predictable component, and (2) fluctuating economic uncertainty (consumption volatility). These dynamics, for which we provide empirical support, in conjunction with Epstein and Zin's (1989) preferences, can explain key asset markets phenomena. In our economy, financial markets dislike economic uncertainty and better long-run growth prospects raise equity prices. The model can justify the equity premium, the risk-free rate, and the volatility of the market return, risk-free rate, and the price-dividend ratio. As in the data, dividend yields predict returns and the volatility of returns is time-varying. Copyright 2004 by The American Finance Association.}, + url = {https://ideas.repec.org/a/bla/jfinan/v59y2004i4p1481-1509.html} +} + +@article{hansen2008consumption, + title = {Consumption strikes back? Measuring long-run risk}, + author = {Hansen, Lars Peter and Heaton, John C and Li, Nan}, + journal = {Journal of Political economy}, + volume = {116}, + number = {2}, + pages = {260--302}, + year = {2008}, + publisher = {The University of Chicago Press} +} + +@article{HHL_2008, + author = {Lars Peter Hansen and John C. Heaton and Nan Li}, + title = {{Consumption Strikes Back? Measuring Long-Run Risk}}, + journal = {Journal of Political Economy}, + year = 2008, + volume = {116}, + number = {2}, + pages = {260-302}, + month = {04}, + keywords = {}, + doi = {}, + abstract = { We characterize and measure a long-term risk-return trade-off for the valuation of cash flows exposed to fluctuations in macroeconomic growth. This trade-off features risk prices of cash flows that are realized far into the future but continue to be reflected in asset values. We apply this analysis to claims on aggregate cash flows and to cash flows from value and growth portfolios by imputing values to the long-run dynamic responses of cash flows to macroeconomic shocks. We explore the sensitivity of our results to features of the economic valuation model and of the model cash flow dynamics. (c) 2008 by The University of Chicago. All rights reserved.}, + url = {https://ideas.repec.org/a/ucp/jpolec/v116y2008i2p260-302.html} +} + +@article{hansen2007beliefs, + title = {Beliefs, doubts and learning: Valuing macroeconomic risk}, + author = {Hansen, Lars Peter}, + journal = {American Economic Review}, + volume = {97}, + number = {2}, + pages = {1--30}, + year = {2007} +} + +@article{Hansen_2007, + author = {Lars Peter Hansen}, + title = {{Beliefs, Doubts and Learning: Valuing Macroeconomic Risk}}, + journal = {American Economic Review}, + year = 2007, + volume = {97}, + number = {2}, + pages = {1-30}, + month = {May}, + keywords = {}, + doi = {}, + abstract = {No abstract is available for this item.}, + url = {https://ideas.repec.org/a/aea/aecrev/v97y2007i2p1-30.html} +} + +@article{lucas2003macroeconomic, + title = {Macroeconomic priorities}, + author = {Lucas Jr, Robert E}, + journal = {American economic review}, + volume = {93}, + number = {1}, + pages = {1--14}, + year = {2003} +} + +@article{Lucas_2003, + author = {Lucas, Jr., Robert E}, + title = {{Macroeconomic Priorities}}, + journal = {American Economic Review}, + year = 2003, + volume = {93}, + number = {1}, + pages = {1-14}, + month = {March}, + keywords = {}, + url = {https://www.aeaweb.org/articles?id=10.1257/000282803321455133} +} + +@book{Shiryaev1995, + author = {Shiriaev, A N}, + edition = {2nd}, + publisher = {Springer}, + series = {Graduate texts in mathematics. Springer}, + title = {{Probability}}, + year = {1995} +} + +@book{StokeyLucas1989, + author = {Stokey, N L and Lucas, R E and Prescott, E C}, + publisher = {Harvard University Press}, + title = {{Recursive Methods in Economic Dynamics}}, + year = {1989} +} + +@article{STY2004, + author = {Storesletten, Kjetil and Telmer, Christopher I and Yaron, Amir}, + journal = {Journal of Monetary Economics}, + number = {3}, + pages = {609--633}, + title = {{Consumption and risk sharing over the life cycle}}, + volume = {51}, + year = {2004} +} + +@book{Sundaram1996, + author = {Sundaram, R K}, + publisher = {Cambridge University Press}, + title = {{A First Course in Optimization Theory}}, + year = {1996} +} + +@article{Tauchen1986, + author = {Tauchen, George}, + journal = {Economics Letters}, + number = {2}, + pages = {177--181}, + publisher = {Elsevier}, + title = {{Finite state markov-chain approximations to univariate and vector autoregressions}}, + volume = {20}, + year = {1986} +} + +@article{Townsend1983, + author = {Townsend, Robert M.}, + year = {1983}, + title = {Forecasting the Forecasts of Others}, + journal = {Journal of Political Economy}, + volume = {91}, + pages = {546-588} +} + +@incollection{Uhlig2001, + author = {Uhlig, H}, + booktitle = {Computational Methods for the Study of Dynamic Economies}, + editor = {Marimon, R and Scott, A}, + pages = {30--62}, + publisher = {Oxford University Press}, + title = {{A toolkit for analysing nonlinear dynamic stochastic models easily.}}, + year = {2001} +} + +@article{kydland1980dynamic, + title = {Dynamic optimal taxation, rational expectations and optimal control}, + author = {Kydland, Finn E and Prescott, Edward C}, + journal = {Journal of Economic Dynamics and Control}, + volume = {2}, + pages = {79--91}, + year = {1980}, + publisher = {Elsevier} +} + +@article{chang1998credible, + title = {Credible monetary policy in an infinite horizon model: Recursive approaches}, + author = {Chang, Roberto}, + journal = {Journal of Economic Theory}, + volume = {81}, + number = {2}, + pages = {431--461}, + year = {1998}, + publisher = {Elsevier} +} + +@article{chari1990sustainable, + title = {Sustainable plans}, + author = {Chari, Varadarajan V and Kehoe, Patrick J}, + journal = {Journal of Political Economy}, + pages = {783--802}, + year = {1990}, + publisher = {JSTOR} +} + +@article{atkeson2010sophisticated, + title = {Sophisticated Monetary Policies*}, + author = {Atkeson, Andrew and Chari, Varadarajan V and Kehoe, Patrick J}, + journal = {The Quarterly journal of economics}, + volume = {125}, + number = {1}, + pages = {47--89}, + year = {2010}, + publisher = {MIT Press} +} + +@article{bassetto2005equilibrium, + title = {Equilibrium and government commitment}, + author = {Bassetto, Marco}, + journal = {Journal of Economic Theory}, + volume = {124}, + number = {1}, + pages = {79--105}, + year = {2005}, + publisher = {Elsevier} +} + +@techreport{giannoni2010optimal, + title = {Optimal target criteria for stabilization policy}, + author = {Giannoni, Marc P and Woodford, Michael}, + year = {2010}, + institution = {National Bureau of Economic Research} +} + +@article{miller1985dynamic, + title = {Dynamic games and the time inconsistency of optimal policy in open economies}, + author = {Miller, Marcus and Salmon, Mark}, + journal = {The Economic Journal}, + pages = {124--137}, + year = {1985}, + publisher = {JSTOR} +} + +@article{pearlman1986rational, + title = {Rational expectations models with partial information}, + author = {Pearlman, Joseph and Currie, David and Levine, Paul}, + journal = {Economic Modelling}, + volume = {3}, + number = {2}, + pages = {90--105}, + year = {1986}, + publisher = {Elsevier} +} + +@techreport{backus1986consistency, + title = {The consistency of optimal policy in stochastic rational expectations models}, + author = {Backus, David and Driffill, John}, + year = {1986}, + institution = {CEPR Discussion Papers} +} + +@article{stokey1989reputation, + title = {Reputation and time consistency}, + author = {Stokey, Nancy L}, + journal = {The American Economic Review}, + pages = {134--139}, + year = {1989}, + publisher = {JSTOR} +} + +@article{ericson1995markov, + title = {Markov-perfect industry dynamics: A framework for empirical work}, + author = {Ericson, Richard and Pakes, Ariel}, + journal = {The Review of Economic Studies}, + volume = {62}, + number = {1}, + pages = {53--82}, + year = {1995}, + publisher = {Oxford University Press} +} + +@article{ryan2012costs, + title = {The costs of environmental regulation in a concentrated industry}, + author = {Ryan, Stephen P}, + journal = {Econometrica}, + volume = {80}, + number = {3}, + pages = {1019--1061}, + year = {2012}, + publisher = {Wiley Online Library} +} + +@article{doraszelski2010computable, + title = {Computable Markov-perfect industry dynamics}, + author = {Doraszelski, Ulrich and Satterthwaite, Mark}, + journal = {The RAND Journal of Economics}, + volume = {41}, + number = {2}, + pages = {215--243}, + year = {2010}, + publisher = {Wiley Online Library} +} + +@article{levhari1980great, + title = {The great fish war: an example using a dynamic Cournot-Nash solution}, + author = {Levhari, David and Mirman, Leonard J}, + journal = {The Bell Journal of Economics}, + pages = {322--334}, + year = {1980}, + publisher = {JSTOR} +} + +@article{BEGS1, + author = {Anmol Bhandari and David Evans and Mikhail Golosov and Thomas J. Sargent}, + title = {{Fiscal Policy and Debt Management with Incomplete Markets}}, + journal = {The Quarterly Journal of Economics}, + year = 2017, + volume = {132}, + number = {2}, + pages = {617-663}, + month = {} +} + +@article{van2011dynamic, + title = {Dynamic games in the economics of natural resources: a survey}, + author = {Van Long, Ngo}, + journal = {Dynamic Games and Applications}, + volume = {1}, + number = {1}, + pages = {115--148}, + year = {2011}, + publisher = {Springer} +} + +@techreport{bhandari2013taxes, + title = {Taxes, debts, and redistributions with aggregate shocks}, + author = {Bhandari, Anmol and Evans, David and Golosov, Mikhail and + Sargent, Thomas J}, + year = {2013}, + institution = {National Bureau of Economic Research} +} + +@article{kikuchi2018span, + title = {Span of control, transaction costs, and the structure of production chains}, + author = {Kikuchi, Tomoo and Nishimura, Kazuo and Stachurski, John}, + journal = {Theoretical Economics}, + volume = {13}, + number = {2}, + pages = {729--760}, + year = {2018}, + publisher = {Wiley Online Library} +} + +@article{coase1937nature, + title = {The nature of the firm}, + author = {Coase, Ronald Harry}, + journal = {economica}, + volume = {4}, + number = {16}, + pages = {386--405}, + year = {1937}, + publisher = {Wiley Online Library} +} + +@article{do1999solutions, + title = {Solutions for the linear-quadratic control problem of Markov jump linear systems}, + author = {Do Val, JBR and Geromel, JC and Costa, OLV}, + journal = {Journal of Optimization Theory and Applications}, + volume = {103}, + number = {2}, + pages = {283--311}, + year = {1999}, + publisher = {Springer} +} + +@article{svensson2008optimal, + title = {Optimal monetary policy under uncertainty: A Markov jump-linear-quadratic approach}, + author = {Svensson, Lars EO and Williams, Noah and others}, + journal = {Federal Reserve Bank of St. Louis Review}, + volume = {90}, + number = {4}, + pages = {275--293}, + year = {2008}, + publisher = {Federal Reserve Bank of St. Louis} +} + +@incollection{SvenssonWilliams2009, + author = {Lars E.O. Svensson and Noah Williams}, + editor = {Klaus Schmidt-Hebbel and Carl E. Walsh and Norman Loayza and Klaus Schmidt-Hebbel}, + title = {Optimal Monetary Policy under Uncertainty in DSGE Models: A Markov Jump-Linear-Quadratic Approach}, + booktitle = {Monetary Policy under Uncertainty and Learning}, + publisher = {Central Bank of Chile}, + year = 2009, + month = {March}, + volume = {13}, + series = {Central Banking, Analysis, and Economic Policies Book Series}, + chapter = {3}, + pages = {077-114} +} + +@article{barro1999determinants, + title = {Determinants of democracy}, + author = {Barro, Robert J}, + journal = {Journal of Political economy}, + volume = {107}, + number = {S6}, + pages = {S158--S183}, + year = {1999}, + publisher = {The University of Chicago Press} +} + +@techreport{barro2003religion, + title = {Religion and economic growth}, + author = {Barro, Robert J and McCleary, Rachel}, + year = {2003}, + institution = {National Bureau of Economic Research} +} + +@article{Blanchard_Khan, + author = {Blanchard, Olivier Jean and Kahn, Charles M}, + title = {{The Solution of Linear Difference Models under Rational Expectations}}, + journal = {Econometrica}, + year = 1980, + volume = {48}, + number = {5}, + pages = {1305-1311}, + month = {July} +} + +@book{Whiteman, + author = {Charles Whiteman}, + year = {1983}, + title = {Linear Rational Expectations Models: A User's Guide}, + publisher = {University of Minnesota Press}, + address = {Minneapolis, Minnesota} +} + +@book{Hans_Sarg_book_2016, + author = {Lars Peter Hansen and Thomas J. Sargent}, + year = {2017}, + title = {Risk, Uncertainty, and Value}, + publisher = {Princeton University Press}, + address = {Princeton, New Jersey} +} + +@article{Neyman_Pearson, + author = {Neyman, J. and Pearson, E. S}, + year = {1933}, + title = {On the problem of the most efficient tests of statistical + hypotheses}, + journal = {Phil. Trans. R. Soc. Lond. A. 231 (694–706)}, + pages = {289–337} +} + +@article{ma2020income, + title = {The income fluctuation problem and the evolution of wealth}, + author = {Ma, Qingyin and Stachurski, John and Toda, Alexis Akira}, + journal = {Journal of Economic Theory}, + volume = {187}, + pages = {105003}, + year = {2020}, + publisher = {Elsevier} +} + +@article{stachurski2019impossibility, + title = {An impossibility theorem for wealth in heterogeneous-agent models with limited heterogeneity}, + author = {Stachurski, John and Toda, Alexis Akira}, + journal = {Journal of Economic Theory}, + volume = {182}, + pages = {1--24}, + year = {2019}, + publisher = {Elsevier} +} + + +@book{zhao_power_2012, + address = {Boston, MA}, + series = {{SpringerBriefs} in {Computer} {Science}}, + title = {Power {Distribution} and {Performance} {Analysis} for {Wireless} {Communication} {Networks}}, + isbn = {978-1-4614-3283-8 978-1-4614-3284-5}, + url = {https://link.springer.com/10.1007/978-1-4614-3284-5}, + language = {en}, + urldate = {2023-02-03}, + publisher = {Springer US}, + author = {Zhao, Dongmei}, + year = {2012}, + doi = {10.1007/978-1-4614-3284-5}, + keywords = {Performance Analysis, Power Distribution, Radio Resource Management, Wireless Networks} +} + +@article{benhabib_wealth_2019, + title = {Wealth {Distribution} and {Social} {Mobility} in the {US}: {A} {Quantitative} {Approach}}, + volume = {109}, + issn = {0002-8282}, + shorttitle = {Wealth {Distribution} and {Social} {Mobility} in the {US}}, + abstract = {We quantitatively identify the factors that drive wealth dynamics in the United States and are consistent with its skewed cross-sectional distribution and with social mobility. We concentrate on three critical factors: (i) skewed earnings, (ii) differential saving rates across wealth levels, and (iii) stochastic idiosyncratic returns to wealth. All of these are fundamental for matching both distribution and mobility. The stochastic process for returns which best fits the cross-sectional distribution of wealth and social mobility in the United States shares several statistical properties with those of the returns to wealth uncovered by Fagereng et al. (2017) from tax records in Norway.}, + language = {en}, + number = {5}, + urldate = {2023-02-03}, + journal = {American Economic Review}, + author = {Benhabib, Jess and Bisin, Alberto and Luo, Mi}, + month = may, + year = {2019}, + keywords = {Personal Income, Wealth, and Their Distributions, General Aggregative Models: Neoclassical, Macroeconomics: Consumption, Saving, Wealth, Aggregate Factor Income Distribution}, + pages = {1623--1647} +} + + +@article{cobweb_model, + issn = {10711031}, + abstract = {In recent years, economists have become much interested in recursive models. This interest stems from a growing need for long-term economic projections and for forecasting the probable effects of economic programs and policies. In a dynamic world, past and present conditions help shape future conditions. Perhaps the simplest recursive model is the two-dimensional "cobweb diagram," discussed by Ezekiel in 1938. The present paper attempts to generalize the simple cobweb model somewhat. It considers some effects of price supports. It discusses multidimensional cobwebs to describe simultaneous adjustments in prices and outputs of a number of commodities. And it allows for time trends in the variables.}, + author = {Frederick V. Waugh}, + journal = {Journal of Farm Economics}, + number = {4}, + pages = {732--750}, + publisher = {[Oxford University Press, Agricultural & Applied Economics Association]}, + title = {Cobweb Models}, + urldate = {2023-02-06}, + volume = {46}, + year = {1964} +} + +@article{hog_cycle, + author = {Harlow, Arthur A.}, + title = {The Hog Cycle and the Cobweb Theorem}, + journal = {American Journal of Agricultural Economics}, + volume = {42}, + number = {4}, + pages = {842-853}, + doi = {https://doi.org/10.2307/1235116}, + abstract = {Abstract A surprisingly regular four year cycle in hogs has become apparent in the past ten years. This regularity presents an unusual opportunity to study the mechanism of the cycle because it suggests the cycle may be inherent within the industry rather than the result of lagged responses to outside influences. The cobweb theorem is often mentioned as a theoretical tool for explaining the hog cycle, although a two year cycle is usually predicted. When the nature of the hog industry is examined, certain factors become apparent which enable the cobweb theorem to serve as a theoretical basis for the present four year cycle.}, + year = {1960} +} + +@book{jackson2010social, + title = {Social and economic networks}, + author = {Jackson, Matthew O}, + year = {2010}, + publisher = {Princeton university press} +} + +@book{easley2010networks, + title = {Networks, crowds, and markets}, + author = {Easley, David and Kleinberg, Jon and others}, + volume = {8}, + year = {2010}, + publisher = {Cambridge university press Cambridge} +} + +@book{borgatti2018analyzing, + title = {Analyzing social networks}, + author = {Borgatti, Stephen P and Everett, Martin G and Johnson, Jeffrey C}, + year = {2018}, + publisher = {Sage} +} + +@article{sargent2022economic, + title = {Economic Networks: Theory and Computation}, + author = {Sargent, Thomas J and Stachurski, John}, + journal = {arXiv preprint arXiv:2203.11972}, + year = {2022} +} + +@book{goyal2023networks, + title = {Networks: An economics approach}, + author = {Goyal, Sanjeev}, + year = {2023}, + publisher = {MIT Press} +} + +@book{newman2018networks, + title = {Networks}, + author = {Newman, Mark}, + year = {2018}, + publisher = {Oxford university press} +} + +@book{menczer2020first, + title = {A first course in network science}, + author = {Menczer, Filippo and Fortunato, Santo and Davis, Clayton A}, + year = {2020}, + publisher = {Cambridge University Press} +} + +@article{coscia2021atlas, + title = {The atlas for the aspiring network scientist}, + author = {Coscia, Michele}, + journal = {arXiv preprint arXiv:2101.00863}, + year = {2021} +} + +@article{imampolitical, + title = {Political Institutions and Output Collapses}, + author = {Imam, Patrick and Temple, Jonathan RW}, + year = {2023}, + journal = {IMF Working Paper} +} + +@article{diamond1965national, + title = {National debt in a neoclassical growth model}, + author = {Diamond, Peter A}, + journal = {The American Economic Review}, + volume = {55}, + number = {5}, + pages = {1126--1150}, + year = {1965}, + publisher = {JSTOR} +} + +@book{auerbach1987dynamic, + title = {Dynamic fiscal policy}, + author = {Auerbach, Alan J and Kotlikoff, Laurence J}, + publisher = {Cambridge University Press}, + address = {Cambridge}, + year = {1987} +} + +@article{sargent_velde1995, + title={Macroeconomic Features of the French Revolution}, + author={Sargent, Thomas J and Velde, Francois R}, + journal={Journal of Political Economy}, + volume={103}, + number={3}, + pages={474--518}, + year={1995} +} + +@article{sargent1981, + title={Some unpleasant monetarist arithmetic}, + author={Sargent, Thomas J and Wallace, Neil}, + journal={Federal reserve bank of minneapolis quarterly review}, + volume={5}, + number={3}, + pages={1--17}, + year={1981} +} + + + + +@article{sargent2009conquest, + title={The conquest of South American inflation}, + author={Sargent, Thomas and Williams, Noah and Zha, Tao}, + journal={Journal of Political Economy}, + volume={117}, + number={2}, + pages={211--256}, + year={2009}, + publisher={The University of Chicago Press} +} + +@article{marcet2003recurrent, + title={Recurrent hyperinflations and learning}, + author={Marcet, Albert and Nicolini, Juan P}, + journal={American Economic Review}, + volume={93}, + number={5}, + pages={1476--1498}, + year={2003}, + publisher={American Economic Association} +} + + +@article{bruno1990seigniorage, + title={Seigniorage, operating rules, and the high inflation trap}, + author={Bruno, Michael and Fischer, Stanley}, + journal={The Quarterly Journal of Economics}, + volume={105}, + number={2}, + pages={353--374}, + year={1990}, + publisher={MIT Press} +} + +@incollection{sargent1989least, + title={Least squares learning and the dynamics of hyperinflation}, + author={Marcet, Albert and Sargent, Thomas J}, + editor = {William Barnett, John Geweke, and Karl Shell}, + booktitle={Sunspots, Complexity, and Chaos}, + year={1989}, + publisher={Cambridge University Press} +} diff --git a/lectures/_static/quantecon-logo-transparent.png b/lectures/_static/quantecon-logo-transparent.png new file mode 100644 index 0000000..e9ead46 Binary files /dev/null and b/lectures/_static/quantecon-logo-transparent.png differ diff --git a/lectures/_toc.yml b/lectures/_toc.yml index 542dddc..163a33f 100644 --- a/lectures/_toc.yml +++ b/lectures/_toc.yml @@ -4,4 +4,14 @@ parts: - caption: 经济数据 numbered: true chapters: - - file: long_run_growth \ No newline at end of file + - file: long_run_growth +- caption: Support Lectures for Linking + numbered: true + chapters: + - file: business_cycle +- caption: Other + numbered: true + chapters: + - file: troubleshooting + - file: zreferences + - file: status \ No newline at end of file diff --git a/lectures/business_cycle.md b/lectures/business_cycle.md new file mode 100644 index 0000000..5e7174b --- /dev/null +++ b/lectures/business_cycle.md @@ -0,0 +1,777 @@ +--- +jupytext: + text_representation: + extension: .md + format_name: myst + format_version: 0.13 + jupytext_version: 1.14.5 +kernelspec: + display_name: Python 3 (ipykernel) + language: python + name: python3 +--- + +# Business Cycles + +## Overview + +In this lecture we review some empirical aspects of business cycles. + +Business cycles are fluctuations in economic activity over time. + +These include expansions (also called booms) and contractions (also called recessions). + +For our study, we will use economic indicators from the [World Bank](https://documents.worldbank.org/en/publication/documents-reports/api) and [FRED](https://fred.stlouisfed.org/). + +In addition to the packages already installed by Anaconda, this lecture requires + +```{code-cell} ipython3 +:tags: [hide-output] + +!pip install wbgapi +!pip install pandas-datareader +``` + +We use the following imports + +```{code-cell} ipython3 +import matplotlib.pyplot as plt +import pandas as pd +import datetime +import wbgapi as wb +import pandas_datareader.data as web +``` + +Here's some minor code to help with colors in our plots. + +```{code-cell} ipython3 +:tags: [hide-input] + +# Set graphical parameters +cycler = plt.cycler(linestyle=['-', '-.', '--', ':'], + color=['#377eb8', '#ff7f00', '#4daf4a', '#ff334f']) +plt.rc('axes', prop_cycle=cycler) +``` + + +## Data acquisition + +We will use the World Bank's data API `wbgapi` and `pandas_datareader` to retrieve data. + +We can use `wb.series.info` with the argument `q` to query available data from +the [World Bank](https://www.worldbank.org/en/home). + +For example, let's retrieve the GDP growth data ID to query GDP growth data. + +```{code-cell} ipython3 +wb.series.info(q='GDP growth') +``` + + +Now we use this series ID to obtain the data. + +```{code-cell} ipython3 +gdp_growth = wb.data.DataFrame('NY.GDP.MKTP.KD.ZG', + ['USA', 'ARG', 'GBR', 'GRC', 'JPN'], + labels=True) +gdp_growth +``` + + +We can look at the series' metadata to learn more about the series (click to expand). + +```{code-cell} ipython3 +:tags: [hide-output] + +wb.series.metadata.get('NY.GDP.MKTP.KD.ZG') +``` + + + +(gdp_growth)= +## GDP growth rate + +First we look at GDP growth. + +Let's source our data from the World Bank and clean it. + +```{code-cell} ipython3 +# Use the series ID retrieved before +gdp_growth = wb.data.DataFrame('NY.GDP.MKTP.KD.ZG', + ['USA', 'ARG', 'GBR', 'GRC', 'JPN'], + labels=True) +gdp_growth = gdp_growth.set_index('Country') +gdp_growth.columns = gdp_growth.columns.str.replace('YR', '').astype(int) +``` + +Here's a first look at the data + +```{code-cell} ipython3 +gdp_growth +``` + +We write a function to generate plots for individual countries taking into account the recessions. + +```{code-cell} ipython3 +:tags: [hide-input] + +def plot_series(data, country, ylabel, + txt_pos, ax, g_params, + b_params, t_params, ylim=15, baseline=0): + """ + Plots a time series with recessions highlighted. + + Parameters + ---------- + data : pd.DataFrame + Data to plot + country : str + Name of the country to plot + ylabel : str + Label of the y-axis + txt_pos : float + Position of the recession labels + y_lim : float + Limit of the y-axis + ax : matplotlib.axes._subplots.AxesSubplot + Axes to plot on + g_params : dict + Parameters for the line + b_params : dict + Parameters for the recession highlights + t_params : dict + Parameters for the recession labels + baseline : float, optional + Dashed baseline on the plot, by default 0 + + Returns + ------- + ax : matplotlib.axes.Axes + Axes with the plot. + """ + + ax.plot(data.loc[country], label=country, **g_params) + + # Highlight recessions + ax.axvspan(1973, 1975, **b_params) + ax.axvspan(1990, 1992, **b_params) + ax.axvspan(2007, 2009, **b_params) + ax.axvspan(2019, 2021, **b_params) + if ylim != None: + ax.set_ylim([-ylim, ylim]) + else: + ylim = ax.get_ylim()[1] + ax.text(1974, ylim + ylim*txt_pos, + 'Oil Crisis\n(1974)', **t_params) + ax.text(1991, ylim + ylim*txt_pos, + '1990s recession\n(1991)', **t_params) + ax.text(2008, ylim + ylim*txt_pos, + 'GFC\n(2008)', **t_params) + ax.text(2020, ylim + ylim*txt_pos, + 'Covid-19\n(2020)', **t_params) + + # Add a baseline for reference + if baseline != None: + ax.axhline(y=baseline, + color='black', + linestyle='--') + ax.set_ylabel(ylabel) + ax.legend() + return ax + +# Define graphical parameters +g_params = {'alpha': 0.7} +b_params = {'color':'grey', 'alpha': 0.2} +t_params = {'color':'grey', 'fontsize': 9, + 'va':'center', 'ha':'center'} +``` + + +Let's start with the United States. + +```{code-cell} ipython3 +--- +mystnb: + figure: + caption: "United States (GDP growth rate %)" + name: us_gdp +--- + +fig, ax = plt.subplots() + +country = 'United States' +ylabel = 'GDP growth rate (%)' +plot_series(gdp_growth, country, + ylabel, 0.1, ax, + g_params, b_params, t_params) +plt.show() +``` + ++++ {"user_expressions": []} + +GDP growth is positive on average and trending slightly downward over time. + +We also see fluctuations over GDP growth over time, some of which are quite large. + +Let's look at a few more countries to get a basis for comparison. + ++++ + +The United Kingdom (UK) has a similar pattern to the US, with a slow decline +in the growth rate and significant fluctuations. + +Notice the very large dip during the Covid-19 pandemic. + +```{code-cell} ipython3 +--- +mystnb: + figure: + caption: "United Kingdom (GDP growth rate %)" + name: uk_gdp +--- + +fig, ax = plt.subplots() + +country = 'United Kingdom' +plot_series(gdp_growth, country, + ylabel, 0.1, ax, + g_params, b_params, t_params) +plt.show() +``` + ++++ {"user_expressions": []} + +Now let's consider Japan, which experienced rapid growth in the 1960s and +1970s, followed by slowed expansion in the past two decades. + +Major dips in the growth rate coincided with the Oil Crisis of the 1970s, the +Global Financial Crisis (GFC) and the Covid-19 pandemic. + +```{code-cell} ipython3 +--- +mystnb: + figure: + caption: "Japan (GDP growth rate %)" + name: jp_gdp +--- + +fig, ax = plt.subplots() + +country = 'Japan' +plot_series(gdp_growth, country, + ylabel, 0.1, ax, + g_params, b_params, t_params) +plt.show() +``` + +Now let's study Greece. + +```{code-cell} ipython3 +--- +mystnb: + figure: + caption: "Greece (GDP growth rate %)" + name: gc_gdp +--- + +fig, ax = plt.subplots() + +country = 'Greece' +plot_series(gdp_growth, country, + ylabel, 0.1, ax, + g_params, b_params, t_params) +plt.show() +``` + +Greece experienced a very large drop in GDP growth around 2010-2011, during the peak +of the Greek debt crisis. + +Next let's consider Argentina. + +```{code-cell} ipython3 +--- +mystnb: + figure: + caption: "Argentina (GDP growth rate %)" + name: arg_gdp +--- + +fig, ax = plt.subplots() + +country = 'Argentina' +plot_series(gdp_growth, country, + ylabel, 0.1, ax, + g_params, b_params, t_params) +plt.show() +``` + +Notice that Argentina has experienced far more volatile cycles than +the economies examined above. + +At the same time, Argentina's growth rate did not fall during the two developed +economy recessions in the 1970s and 1990s. + + +## Unemployment + +Another important measure of business cycles is the unemployment rate. + +We study unemployment using rate data from FRED spanning from [1929-1942](https://fred.stlouisfed.org/series/M0892AUSM156SNBR) to [1948-2022](https://fred.stlouisfed.org/series/UNRATE), combined unemployment rate data over 1942-1948 estimated by the [Census Bureau](https://www.census.gov/library/publications/1975/compendia/hist_stats_colonial-1970.html). + +```{code-cell} ipython3 +:tags: [hide-input] + +start_date = datetime.datetime(1929, 1, 1) +end_date = datetime.datetime(1942, 6, 1) + +unrate_history = web.DataReader('M0892AUSM156SNBR', + 'fred', start_date,end_date) +unrate_history.rename(columns={'M0892AUSM156SNBR': 'UNRATE'}, + inplace=True) + +start_date = datetime.datetime(1948, 1, 1) +end_date = datetime.datetime(2022, 12, 31) + +unrate = web.DataReader('UNRATE', 'fred', + start_date, end_date) +``` + +Let's plot the unemployment rate in the US from 1929 to 2022 with recessions +defined by the NBER. + +```{code-cell} ipython3 +--- +mystnb: + figure: + caption: "Long-run unemployment rate, US (%)" + name: lrunrate +tags: [hide-input] +--- + +# We use the census bureau's estimate for the unemployment rate +# between 1942 and 1948 +years = [datetime.datetime(year, 6, 1) for year in range(1942, 1948)] +unrate_census = [4.7, 1.9, 1.2, 1.9, 3.9, 3.9] + +unrate_census = {'DATE': years, 'UNRATE': unrate_census} +unrate_census = pd.DataFrame(unrate_census) +unrate_census.set_index('DATE', inplace=True) + +# Obtain the NBER-defined recession periods +start_date = datetime.datetime(1929, 1, 1) +end_date = datetime.datetime(2022, 12, 31) + +nber = web.DataReader('USREC', 'fred', start_date, end_date) + +fig, ax = plt.subplots() + +ax.plot(unrate_history, **g_params, + color='#377eb8', + linestyle='-', linewidth=2) +ax.plot(unrate_census, **g_params, + color='black', linestyle='--', + label='Census estimates', linewidth=2) +ax.plot(unrate, **g_params, color='#377eb8', + linestyle='-', linewidth=2) + +# Draw gray boxes according to NBER recession indicators +ax.fill_between(nber.index, 0, 1, + where=nber['USREC']==1, + color='grey', edgecolor='none', + alpha=0.3, + transform=ax.get_xaxis_transform(), + label='NBER recession indicators') +ax.set_ylim([0, ax.get_ylim()[1]]) +ax.legend(loc='upper center', + bbox_to_anchor=(0.5, 1.1), + ncol=3, fancybox=True, shadow=True) +ax.set_ylabel('unemployment rate (%)') + +plt.show() +``` + + +The plot shows that + +* expansions and contractions of the labor market have been highly correlated + with recessions. +* cycles are, in general, asymmetric: sharp rises in unemployment are followed + by slow recoveries. + +It also shows us how unique labor market conditions were in the US during the +post-pandemic recovery. + +The labor market recovered at an unprecedented rate after the shock in 2020-2021. + + +(synchronization)= +## Synchronization + +In our {ref}`previous discussion`, we found that developed economies have had +relatively synchronized periods of recession. + +At the same time, this synchronization did not appear in Argentina until the 2000s. + +Let's examine this trend further. + +With slight modifications, we can use our previous function to draw a plot +that includes multiple countries. + +```{code-cell} ipython3 +--- +tags: [hide-input] +--- + + +def plot_comparison(data, countries, + ylabel, txt_pos, y_lim, ax, + g_params, b_params, t_params, + baseline=0): + """ + Plot multiple series on the same graph + + Parameters + ---------- + data : pd.DataFrame + Data to plot + countries : list + List of countries to plot + ylabel : str + Label of the y-axis + txt_pos : float + Position of the recession labels + y_lim : float + Limit of the y-axis + ax : matplotlib.axes._subplots.AxesSubplot + Axes to plot on + g_params : dict + Parameters for the lines + b_params : dict + Parameters for the recession highlights + t_params : dict + Parameters for the recession labels + baseline : float, optional + Dashed baseline on the plot, by default 0 + + Returns + ------- + ax : matplotlib.axes.Axes + Axes with the plot. + """ + + # Allow the function to go through more than one series + for country in countries: + ax.plot(data.loc[country], label=country, **g_params) + + # Highlight recessions + ax.axvspan(1973, 1975, **b_params) + ax.axvspan(1990, 1992, **b_params) + ax.axvspan(2007, 2009, **b_params) + ax.axvspan(2019, 2021, **b_params) + if y_lim != None: + ax.set_ylim([-y_lim, y_lim]) + ylim = ax.get_ylim()[1] + ax.text(1974, ylim + ylim*txt_pos, + 'Oil Crisis\n(1974)', **t_params) + ax.text(1991, ylim + ylim*txt_pos, + '1990s recession\n(1991)', **t_params) + ax.text(2008, ylim + ylim*txt_pos, + 'GFC\n(2008)', **t_params) + ax.text(2020, ylim + ylim*txt_pos, + 'Covid-19\n(2020)', **t_params) + if baseline != None: + ax.hlines(y=baseline, xmin=ax.get_xlim()[0], + xmax=ax.get_xlim()[1], color='black', + linestyle='--') + ax.set_ylabel(ylabel) + ax.legend() + return ax + +# Define graphical parameters +g_params = {'alpha': 0.7} +b_params = {'color':'grey', 'alpha': 0.2} +t_params = {'color':'grey', 'fontsize': 9, + 'va':'center', 'ha':'center'} +``` + +Here we compare the GDP growth rate of developed economies and developing economies. + +```{code-cell} ipython3 +--- +tags: [hide-input] +--- + +# Obtain GDP growth rate for a list of countries +gdp_growth = wb.data.DataFrame('NY.GDP.MKTP.KD.ZG', + ['CHN', 'USA', 'DEU', 'BRA', 'ARG', 'GBR', 'JPN', 'MEX'], + labels=True) +gdp_growth = gdp_growth.set_index('Country') +gdp_growth.columns = gdp_growth.columns.str.replace('YR', '').astype(int) + +``` + +We use the United Kingdom, United States, Germany, and Japan as examples of developed economies. + +```{code-cell} ipython3 +--- +mystnb: + figure: + caption: "Developed economies (GDP growth rate %)" + name: adv_gdp +tags: [hide-input] +--- + +fig, ax = plt.subplots() +countries = ['United Kingdom', 'United States', 'Germany', 'Japan'] +ylabel = 'GDP growth rate (%)' +plot_comparison(gdp_growth.loc[countries, 1962:], + countries, ylabel, + 0.1, 20, ax, + g_params, b_params, t_params) +plt.show() +``` + +We choose Brazil, China, Argentina, and Mexico as representative developing economies. + +```{code-cell} ipython3 +--- +mystnb: + figure: + caption: "Developing economies (GDP growth rate %)" + name: deve_gdp +tags: [hide-input] +--- + +fig, ax = plt.subplots() +countries = ['Brazil', 'China', 'Argentina', 'Mexico'] +plot_comparison(gdp_growth.loc[countries, 1962:], + countries, ylabel, + 0.1, 20, ax, + g_params, b_params, t_params) +plt.show() +``` + + +The comparison of GDP growth rates above suggests that +business cycles are becoming more synchronized in 21st-century recessions. + +However, emerging and less developed economies often experience more volatile +changes throughout the economic cycles. + +Despite the synchronization in GDP growth, the experience of individual countries during +the recession often differs. + +We use the unemployment rate and the recovery of labor market conditions +as another example. + +Here we compare the unemployment rate of the United States, +the United Kingdom, Japan, and France. + +```{code-cell} ipython3 +--- +mystnb: + figure: + caption: "Developed economies (unemployment rate %)" + name: adv_unemp +tags: [hide-input] +--- + +unempl_rate = wb.data.DataFrame('SL.UEM.TOTL.NE.ZS', + ['USA', 'FRA', 'GBR', 'JPN'], labels=True) +unempl_rate = unempl_rate.set_index('Country') +unempl_rate.columns = unempl_rate.columns.str.replace('YR', '').astype(int) + +fig, ax = plt.subplots() + +countries = ['United Kingdom', 'United States', 'Japan', 'France'] +ylabel = 'unemployment rate (national estimate) (%)' +plot_comparison(unempl_rate, countries, + ylabel, 0.05, None, ax, g_params, + b_params, t_params, baseline=None) +plt.show() +``` + +We see that France, with its strong labor unions, typically experiences +relatively slow labor market recoveries after negative shocks. + +We also notice that Japan has a history of very low and stable unemployment rates. + + +## Leading indicators and correlated factors + +Examining leading indicators and correlated factors helps policymakers to +understand the causes and results of business cycles. + +We will discuss potential leading indicators and correlated factors from three +perspectives: consumption, production, and credit level. + + +### Consumption + +Consumption depends on consumers' confidence towards their +income and the overall performance of the economy in the future. + +One widely cited indicator for consumer confidence is the [consumer sentiment index](https://fred.stlouisfed.org/series/UMCSENT) published by the University +of Michigan. + +Here we plot the University of Michigan Consumer Sentiment Index and +year-on-year +[core consumer price index](https://fred.stlouisfed.org/series/CPILFESL) +(CPI) change from 1978-2022 in the US. + +```{code-cell} ipython3 +--- +mystnb: + figure: + caption: "Consumer sentiment index and YoY CPI change, US" + name: csicpi +tags: [hide-input] +--- + +start_date = datetime.datetime(1978, 1, 1) +end_date = datetime.datetime(2022, 12, 31) + +# Limit the plot to a specific range +start_date_graph = datetime.datetime(1977, 1, 1) +end_date_graph = datetime.datetime(2023, 12, 31) + +nber = web.DataReader('USREC', 'fred', start_date, end_date) +consumer_confidence = web.DataReader('UMCSENT', 'fred', + start_date, end_date) + +fig, ax = plt.subplots() +ax.plot(consumer_confidence, **g_params, + color='#377eb8', linestyle='-', + linewidth=2) +ax.fill_between(nber.index, 0, 1, + where=nber['USREC']==1, + color='grey', edgecolor='none', + alpha=0.3, + transform=ax.get_xaxis_transform(), + label='NBER recession indicators') +ax.set_ylim([0, ax.get_ylim()[1]]) +ax.set_ylabel('consumer sentiment index') + +# Plot CPI on another y-axis +ax_t = ax.twinx() +inflation = web.DataReader('CPILFESL', 'fred', + start_date, end_date).pct_change(12)*100 + +# Add CPI on the legend without drawing the line again +ax_t.plot(2020, 0, **g_params, linestyle='-', + linewidth=2, label='consumer sentiment index') +ax_t.plot(inflation, **g_params, + color='#ff7f00', linestyle='--', + linewidth=2, label='CPI YoY change (%)') + +ax_t.fill_between(nber.index, 0, 1, + where=nber['USREC']==1, + color='grey', edgecolor='none', + alpha=0.3, + transform=ax.get_xaxis_transform(), + label='NBER recession indicators') +ax_t.set_ylim([0, ax_t.get_ylim()[1]]) +ax_t.set_xlim([start_date_graph, end_date_graph]) +ax_t.legend(loc='upper center', + bbox_to_anchor=(0.5, 1.1), + ncol=3, fontsize=9) +ax_t.set_ylabel('CPI YoY change (%)') +plt.show() +``` + +We see that + +* consumer sentiment often remains high during expansions and +drops before recessions. +* there is a clear negative correlation between consumer sentiment and the CPI. + +When the price of consumer commodities rises, consumer confidence diminishes. + +This trend is more significant during [stagflation](https://en.wikipedia.org/wiki/Stagflation). + + + +### Production + +Real industrial output is highly correlated with recessions in the economy. + +However, it is not a leading indicator, as the peak of contraction in production +is delayed relative to consumer confidence and inflation. + +We plot the real industrial output change from the previous year +from 1919 to 2022 in the US to show this trend. + +```{code-cell} ipython3 +--- +mystnb: + figure: + caption: "YoY real output change, US (%)" + name: roc +tags: [hide-input] +--- + +start_date = datetime.datetime(1919, 1, 1) +end_date = datetime.datetime(2022, 12, 31) + +nber = web.DataReader('USREC', 'fred', + start_date, end_date) +industrial_output = web.DataReader('INDPRO', 'fred', + start_date, end_date).pct_change(12)*100 + +fig, ax = plt.subplots() +ax.plot(industrial_output, **g_params, + color='#377eb8', linestyle='-', + linewidth=2, label='Industrial production index') +ax.fill_between(nber.index, 0, 1, + where=nber['USREC']==1, + color='grey', edgecolor='none', + alpha=0.3, + transform=ax.get_xaxis_transform(), + label='NBER recession indicators') +ax.set_ylim([ax.get_ylim()[0], ax.get_ylim()[1]]) +ax.set_ylabel('YoY real output change (%)') +plt.show() +``` + +We observe the delayed contraction in the plot across recessions. + + +### Credit level + +Credit contractions often occur during recessions, as lenders become more +cautious and borrowers become more hesitant to take on additional debt. + +This is due to factors such as a decrease in overall economic +activity and gloomy expectations for the future. + +One example is domestic credit to the private sector by banks in the UK. + +The following graph shows the domestic credit to the private sector as a +percentage of GDP by banks from 1970 to 2022 in the UK. + +```{code-cell} ipython3 +--- +mystnb: + figure: + caption: "Domestic credit to private sector by banks (% of GDP)" + name: dcpc +tags: [hide-input] +--- + +private_credit = wb.data.DataFrame('FS.AST.PRVT.GD.ZS', + ['GBR'], labels=True) +private_credit = private_credit.set_index('Country') +private_credit.columns = private_credit.columns.str.replace('YR', '').astype(int) + +fig, ax = plt.subplots() + +countries = 'United Kingdom' +ylabel = 'credit level (% of GDP)' +ax = plot_series(private_credit, countries, + ylabel, 0.05, ax, g_params, b_params, + t_params, ylim=None, baseline=None) +plt.show() +``` + +Note that the credit rises during economic expansions +and stagnates or even contracts after recessions. diff --git a/lectures/intro.md b/lectures/intro.md new file mode 100644 index 0000000..d0bfe9a --- /dev/null +++ b/lectures/intro.md @@ -0,0 +1,18 @@ +--- +jupytext: + text_representation: + extension: .md + format_name: myst +kernelspec: + display_name: Python 3 + language: python + name: python3 +--- + +# A First Course in Quantitative Economics with Python + +This lecture series provides an introduction to quantitative economics using Python. + +```{tableofcontents} +``` + diff --git a/lectures/status.md b/lectures/status.md new file mode 100644 index 0000000..3ada25f --- /dev/null +++ b/lectures/status.md @@ -0,0 +1,34 @@ +--- +jupytext: + text_representation: + extension: .md + format_name: myst +kernelspec: + display_name: Python 3 + language: python + name: python3 +--- + +# Execution Statistics + +This table contains the latest execution statistics. + +```{nb-exec-table} +``` + +(status:machine-details)= + +These lectures are built on `linux` instances through `github actions`. + +These lectures are using the following python version + +```{code-cell} ipython +!python --version +``` + +and the following package versions + +```{code-cell} ipython +:tags: [hide-output] +!conda list +``` \ No newline at end of file diff --git a/lectures/troubleshooting.md b/lectures/troubleshooting.md new file mode 100644 index 0000000..7bc907a --- /dev/null +++ b/lectures/troubleshooting.md @@ -0,0 +1,71 @@ +--- +jupytext: + text_representation: + extension: .md + format_name: myst +kernelspec: + display_name: Python 3 + language: python + name: python3 +--- + +(troubleshooting)= +```{raw} html +
+ + QuantEcon + +
+``` + +# Troubleshooting + +This page is for readers experiencing errors when running the code from the lectures. + +## Fixing your local environment + +The basic assumption of the lectures is that code in a lecture should execute whenever + +1. it is executed in a Jupyter notebook and +1. the notebook is running on a machine with the latest version of Anaconda Python. + +You have installed Anaconda, haven't you, following the instructions in [this lecture](https://python-programming.quantecon.org/getting_started.html)? + +Assuming that you have, the most common source of problems for our readers is that their Anaconda distribution is not up to date. + +[Here's a useful article](https://www.anaconda.com/blog/keeping-anaconda-date) +on how to update Anaconda. + +Another option is to simply remove Anaconda and reinstall. + +You also need to keep the external code libraries, such as [QuantEcon.py](https://quantecon.org/quantecon-py) up to date. + +For this task you can either + +* use conda install -y quantecon on the command line, or +* execute !conda install -y quantecon within a Jupyter notebook. + +If your local environment is still not working you can do two things. + +First, you can use a remote machine instead, by clicking on the Launch Notebook icon available for each lecture + +```{image} _static/lecture_specific/troubleshooting/launch.png + +``` + +Second, you can report an issue, so we can try to fix your local set up. + +We like getting feedback on the lectures so please don't hesitate to get in +touch. + +## Reporting an issue + +One way to give feedback is to raise an issue through our [issue tracker](https://github.com/QuantEcon/lecture-python/issues). + +Please be as specific as possible. Tell us where the problem is and as much +detail about your local set up as you can provide. + +Another feedback option is to use our [discourse forum](https://discourse.quantecon.org/). + +Finally, you can provide direct feedback to [contact@quantecon.org](mailto:contact@quantecon.org) + diff --git a/lectures/zreferences.md b/lectures/zreferences.md new file mode 100644 index 0000000..5f17e89 --- /dev/null +++ b/lectures/zreferences.md @@ -0,0 +1,17 @@ +--- +jupytext: + text_representation: + extension: .md + format_name: myst +kernelspec: + display_name: Python 3 + language: python + name: python3 +--- + +(references)= +# References + +```{bibliography} _static/quant-econ.bib +``` +