ChrisBALL

MAIN COURSE

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Readings, Books, Sites, etc.​

• Monacelli's "Macroeconomics and Economic Policy: Lecture Notes" download

• ​LSE "Advanced Macroeconomics Easy Guide" Book download

• Eric Sims's Ph.D. Classes at Notre Dame

  • Ph.D. Macro Theory II (great lectures) ​course

  • Ph.D. Advanced Macro (lectures & important papers explained) ​course​​​​​

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SPRING 2025 Materials

• Endowment and Savings

  • 2-Period version: my notes​​

  • Monacelli text pp. 56-73.

  • Infinite Horizon: my notes​

  • Two ways to handle savings/bonds: Eric Sims's notes on Consumption Savings

  • Continuous Time and Open Economies: Carlos Vegh's Chapter 1

• Capital and Production: Neoclassical Growth Model

  • 2-Period version: my notes​​

  • Infinite Horizon: my notes​

• Lagrange to Bellman

  • Eric Sims's notes on NeoClassical Growth

• Dynamic Models: Phase Diagrams

  • LSE Book, Chap 3 "Neoclassical Growth Model"

    • Chap 3 covers Hamiltonians, Phase Diagrams and Centralized to Decentralized Economies

  • Integration Review (my handwritten download)

  • Optimal Control: Lagrangians, Hamiltonians and All That (my notes download)

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Broader, Future, Outline

Introduction​

• How modern economists model the world

• The basic process/path: optimization subject to budget constraints

• DONWLOAD

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Static Optimization: Unconstrained​​

• Marginal Benefit = Marginal Cost

• Firms maximizing profit

• Utility maximization

• DONWLOAD

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Static Optimization: Constrained​

• Generally microeconomic problems

• Firms maximizing profit as cost minimization

• Utility maximization

• DONWLOAD

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Static Optimization Examples and Complications

• Some common problems for practice

• A common complication: Handling Uncertainty

• DONWLOAD

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Dynamic (Discrete-time) Optimization: 2-Period Problems​

• Generally these are macroeconomic problems.

• Lagrangians and utility maximization subject to budget constraints

• The Euler equation

• DONWLOAD:

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Dynamic (Discrete-time) Optimization: Longer-Horizon Problems​

• Generally these are macroeconomic problems.

• Lagrangians and utility maximization subject to budget constraints

• Getting more from FOCS: Equations of Motion

• DONWLOAD

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Discrete-time Dynamic Examples and Complications

• Ramsey-Cass-Koopmans Growth

• Open Economies

• DONWLOAD

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Dynamic (Continuous-time) Optimization

• Generally these are macroeconomic problems.

• Lagrangians and Hamiltonians

• DONWLOAD

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Continuous-time Dynamic Examples and Complications

• Ramsey-Cass-Koopmans Growth

• Open Economies

• DONWLOAD

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APPENDICES

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Creating Utility Functions​

• Preferences and basic rationality assumptions

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Commonly Used Functions​

• Common utility functions

  • Arrow-Pratt risk aversion​

• Common production functions

• DONWLOAD

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Optimality Conditions and Larger Problems​

• Hessians and Bordered Hessians (download)

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Squeezing More from Static Problems​

• Slutsky

• Marginal Rates of Transformation

• Indirect Utility, Expenditure Functions

• Hicksian Compensated Demand

• DONWLOAD

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Handling Corner Solutions

• Khun-Tucker conditions

• DONWLOAD

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Alternative Optimization Method

• Optimizing with Separating Hyperplanes

• DONWLOAD

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Time Series: Basics​

• Time series, AR(1), etc. (download)

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Time Series: Solving Difference Equations​

• Iteration (download)

• Method of Undetermined Coefficients (dowload)

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Integration​

• Integration Review (handwritten download)​

• Integration Application: Probabilities (download)​

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Solving Differential Equations​

• Forcing the solution (download)

• Method of Undetermined Coefficients (download)​

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Dynamic Optimization

• Optimal Control Lagrangians, Hamiltonians and All That (download)

 

Stochastic Calculus

• Basics and Introduction (download)

• John Cochrane's page for Asset Pricing.  He covers Stochastic Calculus at the beginning of his course and you can find both videos and PDF notes.  I highly recommend the videos and the notes.  They really are the best Stochastic Calculus notes I've found. It's from these that I finally understood the stochastic integral only in 2020!! and it's super simple!

 

Continuous Time Stochastic Optimization

• Stochastic Optimal Control Basics (download)

• Stochastic Optimal Control Solutions (download)

• Stochastic Optimal Control with Poisson and General Ito (download)

• More complicated material (currently copies from Turnovsky, 2000)

  • Stochastic Calculus and Optimization (download)​

  • Stoch Calc Application: Model Part 1 (download)

  • Stoch Calc Application: Model Part 2 (download)

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