Computational Economics with Python#
Course Details
Institution |
New York University |
Course |
Topics in Economics: Computational Economics (Econ GA 3001_1_003) |
Instructors |
Alfred Galichon and Thomas Sargent |
This website presents material underlying Tom’s Spring 2026 lectures
Course Content#
Part I: Statistics, Information, and Asset Pricing#
This part of Tom’s lectures discusses statistical inference, likelihood ratio processes, Bayesian learning, and asset pricing theory. Topics include:
Statistical divergence measures and information theory
Likelihood ratio processes and their applications
Bayesian inference and learning
Asset pricing in finite state models
Competitive equilibria with Arrow securities
Heterogeneous beliefs and market bubbles
Part II: Overlapping Generations and Advanced Topics#
This part of Tom’s lectures covers overlapping generations models and related general equilibrium models:
Overlapping generations models with heterogeneous agents
Consumption smoothing under complete and incomplete markets
Tax smoothing theory
Recursive models of dynamic linear economies
Gorman aggregation
Lectures#
Part I: Statistics, Information, and Asset Pricing
- 1. Statistical Divergence Measures
- 2. Likelihood Ratio Processes
- 3. Heterogeneous Beliefs and Financial Markets
- 4. Likelihood Processes For VAR Models
- 5. Mean of a Likelihood Ratio Process
- 6. A Problem that Stumped Milton Friedman
- 7. A Bayesian Formulation of Friedman and Wald's Problem
- 8. Exchangeability and Bayesian Updating
- 9. Likelihood Ratio Processes and Bayesian Learning
- 10. Incorrect Models
- 11. Bayesian versus Frequentist Decision Rules
- 12. Asset Pricing: Finite State Models
- 13. Competitive Equilibria with Arrow Securities
- 14. Heterogeneous Beliefs and Bubbles
- 15. Speculative Behavior with Bayesian Learning
Part II: Overlapping Generations and Advanced Topics
- 16. Transitions in an Overlapping Generations Model
- 17. A Long-Lived, Heterogeneous Agent, Overlapping Generations Model
- 18. Information and Consumption Smoothing
- 19. Consumption Smoothing with Complete and Incomplete Markets
- 20. Tax Smoothing with Complete and Incomplete Markets
- 21. Recursive Models of Dynamic Linear Economies
- 22. Gorman Aggregation