Adding Tom's new lectures on Kalman Filter and Robust Income

lectures/_static/quant-econ.bib

@@ -929,7 +929,6 @@ @article{alchian1950uncertainty
   publisher={The University of Chicago Press}
 }
 
-
 @article{mendoza1998international,
   title={The international ramifications of tax reforms: supply-side economics in a global economy},
   author={Mendoza, Enrique G and Tesar, Linda L},
@@ -997,20 +996,6 @@ @incollection{Hurwicz:1962
  year = {1962}
 }
 
-@article{Hurwicz:1966,
-   abstract = {Publisher Summary This chapter concentrates on the structural form of interdependent systems. A great deal of effort is devoted in econometrics and elsewhere to find the behavior pattern of an observed configuration. Such effort is justified on the grounds that the knowledge of the behavior pattern is needed for the purpose of giving explanation or prediction. The merits of this justification are also examined in the chapter. At this point, the chapter considers certain difficulties encountered in the process of looking for the behavior patterns. In certain fields, notably economics (but also— for example, electronic network theory), it deals with a set (configuration) of objects (components) that are interdependent in their behavior. For purposes of both theoretical analysis and empirical investigation of such situations, the phenomena are often described in the chapter (in idealized form) by means of a system of simultaneous equations. History alone is not enabled to determine the behavior pattern of the configuration; but this does not mean that the task is hopeless. The priori information is obtained from the axiom systems or theories that are believed to be relevant to the behavior pattern of the configuration.},
-   author = {Leonid Hurwicz},
-   doi = {http://dx.doi.org/10.1016/S0049-237X(09)70590-7},
-   editor = {Patrick S Ernest Nagel and Alfred Tarski},
-   journal = {Logic, Methodology and Philosophy of Science Proceeding of the 1960 International Congress},
-   pages = {232-239},
-   publisher = {Elsevier},
-   title = {On the Structural Form of Interdependent Systems},
-   volume = {44},
-   url = {http://www.sciencedirect.com/science/article/pii/S0049237X09705907},
-   year = {1966},
-}
-
 @article{hurwicz1950least,
   title   = {Least squares bias in time series},
   author  = {Hurwicz, Leonid},
@@ -1309,7 +1294,7 @@ @article{BHS_2009
 }
 
 @article{HST_1999,
-  author   = {Lars Peter Hansen and Thomas J. Sargent and Thomas D. Tallarini},
+  author   = {Hansen, Lars Peter and Sargent, Thomas J. and Tallarini, Thomas D.},
   title    = {{Robust Permanent Income and Pricing}},
   journal  = {Review of Economic Studies},
   year     = 1999,
@@ -1816,7 +1801,6 @@ @article{rosen1994cattle
   publisher = {The University of Chicago Press}
 }
 
-
 @article{Reffett1996,
   title     = {Production-based asset pricing in monetary economies with transactions costs},
   author    = {Reffett, Kevin L},
@@ -2369,17 +2353,6 @@ @article{AMSS_2002
   month   = {December}
 }
 
-@article{aiyagari2002optimal,
-  title     = {Optimal taxation without state-contingent debt},
-  author    = {Aiyagari, S Rao and Marcet, Albert and Sargent, Thomas J and Sepp{\"a}l{\"a}, Juha},
-  journal   = {Journal of Political Economy},
-  volume    = {110},
-  number    = {6},
-  pages     = {1220--1254},
-  year      = {2002},
-  publisher = {The University of Chicago Press}
-}
-
 @article{Rust1996,
   title   = {Numerical dynamic programming in economics},
   author  = {Rust, John},
@@ -3391,18 +3364,6 @@ @techreport{giannoni2010optimal
   institution = {National Bureau of Economic Research}
 }
 
-
-@article{pearlman1986rational,
-  title     = {Rational expectations models with partial information},
-  author    = {Pearlman, Joseph and Currie, David and Levine, Paul},
-  journal   = {Economic Modelling},
-  volume    = {3},
-  number    = {2},
-  pages     = {90--105},
-  year      = {1986},
-  publisher = {Elsevier}
-}
-
 @techreport{backus1986consistency,
   title       = {The consistency of optimal policy in stochastic rational expectations models},
   author      = {Backus, David and Driffill, John},
@@ -3502,7 +3463,6 @@ @article{kikuchi2018span
   publisher = {Wiley Online Library}
 }
 
-
 @article{do1999solutions,
   title     = {Solutions for the linear-quadratic control problem of Markov jump linear systems},
   author    = {Do Val, JBR and Geromel, JC and Costa, OLV},
@@ -4073,3 +4033,22 @@ @book{Nummelin_1984
   year      = {1984},
   doi       = {10.1017/CBO9780511526237}
 }
+@article{EpsteinWang1994,
+  author  = {Epstein, Larry G. and Wang, Tan},
+  title   = {{Intertemporal Asset Pricing under Knightian Uncertainty}},
+  journal = {Econometrica},
+  volume  = {62},
+  number  = {2},
+  pages   = {283--322},
+  year    = {1994}
+}
+
+@article{Campbell1987,
+  author  = {Campbell, John Y.},
+  title   = {{Does Saving Anticipate Declining Labor Income? An Alternative Test of the Permanent Income Hypothesis}},
+  journal = {Econometrica},
+  volume  = {55},
+  number  = {6},
+  pages   = {1249--1273},
+  year    = {1987}
+}

lectures/_toc.yml

@@ -65,6 +65,7 @@ parts:
   - file: wealth_dynamics
   - file: kalman
   - file: kalman_2
+  - file: kalman_filter_var 
   - file: organization_capital
   - file: measurement_models
 - caption: Search
@@ -109,8 +110,10 @@ parts:
   - file: cross_product_trick
   - file: perm_income
   - file: perm_income_cons
-  - file: theil_1 
+  - file: robust_permanent_income
+  - file: theil_1
   - file: theil_2
+  - file: lq_consumption_smoothing 
   - file: lq_inventories
 - caption: Optimal Growth
   numbered: true

lectures/kalman_2.md

@@ -264,7 +264,7 @@ u_hat_t = x_hat_t[1, :]
 
 For this fixed worker initial state, we plot $\mathbb{E}[y_t | y^{t-1}] = G \hat x_t$ where $\hat x_t = \mathbb{E}[x_t | y^{t-1}]$.
 
-We also plot $\mathbb{E}[u_0 | y^{t-1}]$, which is  the firm inference about  a worker's hard-wired "work ethic" $u_0$, conditioned on information $y^{t-1}$ that it has about him or her coming into period $t$.
+We also plot $\mathbb{E}[u_0 | y^{t-1}]$, which is  the firm's inference about  a worker's hard-wired "work ethic" $u_0$, conditioned on information $y^{t-1}$ that it has about him or her coming into period $t$.
 
 We can watch how the firm updates its inference $\mathbb{E}[u_0 | y^{t-1}]$ about the worker's work ethic as more output observations arrive.
 
@@ -341,7 +341,7 @@ for i, t in enumerate(np.linspace(0, T-1, 3, dtype=int)):
     # Create a contour plot for the PDF
     con = axs[i].contour(h, u, pdf_values, cmap='viridis')
     axs[i].clabel(con, inline=1, fontsize=10)
-    axs[i].set_title(f'Time Step {t}')
+    axs[i].set_title(f'time step {t}')
     axs[i].set_xlabel(r'$h_{{{}}}$'.format(str(t)))
     axs[i].set_ylabel(r'$u_{{{}}}$'.format(str(t)))
 
@@ -467,7 +467,7 @@ namedtuple.
 Here is an example.
 
 ```{code-cell} ipython3
-# We can set these parameters when creating a worker -- just like classes!
+# We can set these parameters when creating a worker, just like classes!
 hard_working_worker = create_worker(α=.4, β=.8, 
                         hhat_0=7.0, uhat_0=100, σ_h=2.5, σ_u=3.2)