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Dynamic Linear Economies

Thomas J. Sargent and John Stachurski

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

Contents

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

QuantEcon

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