Dynamic Linear Economies

This website presents a set of lectures on dynamic linear economies and tools needed for this class of economic models.

Kalman Filter

• 1. A First Look at the Kalman Filter
• 2. Another Look at the Kalman Filter
• 3. Reverse Engineering a la Muth

LQ Control

• 4. LQ Control: Foundations
• 5. Lagrangian for LQ Control
• 6. Eliminating Cross Products
• 7. The Permanent Income Model
• 8. Permanent Income II: LQ Techniques
• 9. Production Smoothing via Inventories
• 10. Information and Consumption Smoothing
• 11. Consumption Smoothing with Complete and Incomplete Markets
• 12. Tax Smoothing with Complete and Incomplete Markets
• 13. Markov Jump Linear Quadratic Dynamic Programming
• 14. How to Pay for a War: Part 1
• 15. How to Pay for a War: Part 2
• 16. How to Pay for a War: Part 3
• 17. Optimal Taxation in an LQ Economy

Dynamic Linear Economies

• 18. Linear State Space Models
• 19. Recursive Models of Dynamic Linear Economies
• 20. Growth in Dynamic Linear Economies
• 21. Lucas Asset Pricing Using DLE
• 22. IRFs in Hall Models
• 23. Permanent Income Model using the DLE Class
• 24. Rosen Schooling Model
• 25. Cattle Cycles
• 26. Shock Non Invertibility

Other

• 27. Troubleshooting
• 28. References
• 29. Execution Statistics