Quantitative Economics with JAX

This website presents a set of lectures on quantitative economic modeling using GPUs and Google JAX.

Introduction

• 1. About
• 2. An Introduction to JAX
• 3. Adventures with Autodiff
• 4. Newton’s Method via JAX

Simulation

• 5. Inventory Dynamics
• 6. Kesten Processes and Firm Dynamics
• 7. Wealth Distribution Dynamics

Asset Pricing

• 8. Asset Pricing: The Lucas Asset Pricing Model
• 9. An Asset Pricing Problem

Dynamic Programming

• 10. Job Search
• 11. Optimal Savings I: Value Function Iteration
• 12. Optimal Savings II: Alternative Algorithms
• 13. Shortest Paths
• 14. Optimal Investment
• 15. Inventory Management Model
• 16. Endogenous Grid Method

Macroeconomic Models

• 17. Default Risk and Income Fluctuations
• 18. The Aiyagari Model
• 19. The Hopenhayn Entry-Exit Model
• 20. Bianchi Overborrowing Model

Data and Empirics

• 21. Maximum Likelihood Estimation
• 22. Simple Neural Network Regression with Keras and JAX
• 23. Neural Network Regression with JAX
• 24. Policy Gradient-Based Optimal Savings

Racial Segregation

• 25. Schelling’s Model of Racial Segregation
• 26. Schelling Model with NumPy
• 27. Schelling Model with JAX
• 28. Parallelizing the Algorithm
• 29. Segregation with Persistent Shocks

Other

• 30. Troubleshooting
• 31. References
• 32. Execution Statistics