[Tom] July 31 edits of some old and new lectures

lectures/_static/quant-econ.bib

@@ -5000,3 +5000,228 @@ @incollection{Axelrod1987
   pages     = {32--41},
   year      = {1987}
 }
+
+@article{SargentSurico2011,
+  author  = {Sargent, Thomas J. and Surico, Paolo},
+  title   = {Two Illustrations of the Quantity Theory of Money: Breakdowns and Revivals},
+  journal = {American Economic Review},
+  volume  = {101},
+  number  = {1},
+  pages   = {109--128},
+  year    = {2011},
+  doi     = {10.1257/aer.101.1.109}
+}
+
+@article{Lucas1980,
+  author  = {Lucas, Robert E., Jr.},
+  title   = {Two Illustrations of the Quantity Theory of Money},
+  journal = {American Economic Review},
+  volume  = {70},
+  number  = {5},
+  pages   = {1005--1014},
+  year    = {1980}
+}
+
+@article{Whiteman1984,
+  author  = {Whiteman, Charles H.},
+  title   = {Lucas on the Quantity Theory: Hypothesis Testing without Theory},
+  journal = {American Economic Review},
+  volume  = {74},
+  number  = {4},
+  pages   = {742--749},
+  year    = {1984}
+}
+
+@article{Ireland2004,
+  author  = {Ireland, Peter N.},
+  title   = {Technology Shocks in the New Keynesian Model},
+  journal = {Review of Economics and Statistics},
+  volume  = {86},
+  number  = {4},
+  pages   = {923--936},
+  year    = {2004}
+}
+
+@article{Ireland2003,
+  author  = {Ireland, Peter N.},
+  title   = {Endogenous Money or Sticky Prices?},
+  journal = {Journal of Monetary Economics},
+  volume  = {50},
+  number  = {8},
+  pages   = {1623--1648},
+  year    = {2003}
+}
+
+@article{Sims2002gensys,
+  author  = {Sims, Christopher A.},
+  title   = {Solving Linear Rational Expectations Models},
+  journal = {Computational Economics},
+  volume  = {20},
+  number  = {1--2},
+  pages   = {1--20},
+  year    = {2002}
+}
+
+@article{AnSchorfheide2007,
+  author  = {An, Sungbae and Schorfheide, Frank},
+  title   = {Bayesian Analysis of {DSGE} Models},
+  journal = {Econometric Reviews},
+  volume  = {26},
+  number  = {2--4},
+  pages   = {113--172},
+  year    = {2007}
+}
+
+@article{LubikSchorfheide2004,
+  author  = {Lubik, Thomas A. and Schorfheide, Frank},
+  title   = {Testing for Indeterminacy: An Application to {U.S.} Monetary Policy},
+  journal = {American Economic Review},
+  volume  = {94},
+  number  = {1},
+  pages   = {190--217},
+  year    = {2004}
+}
+
+@incollection{McCallumNelson1999,
+  author    = {McCallum, Bennett T. and Nelson, Edward},
+  title     = {Performance of Operational Policy Rules in an Estimated Semiclassical Structural Model},
+  editor    = {Taylor, John B.},
+  booktitle = {Monetary Policy Rules},
+  publisher = {University of Chicago Press},
+  address   = {Chicago},
+  pages     = {15--45},
+  year      = {1999}
+}
+
+@article{Rotemberg1982,
+  author  = {Rotemberg, Julio J.},
+  title   = {Sticky Prices in the United States},
+  journal = {Journal of Political Economy},
+  volume  = {90},
+  number  = {6},
+  pages   = {1187--1211},
+  year    = {1982}
+}
+
+@incollection{BalkeGordon1986,
+  author    = {Balke, Nathan S. and Gordon, Robert J.},
+  title     = {Appendix B: Historical Data},
+  editor    = {Gordon, Robert J.},
+  booktitle = {The American Business Cycle: Continuity and Change},
+  publisher = {University of Chicago Press},
+  address   = {Chicago},
+  pages     = {781--850},
+  year      = {1986}
+}
+
+@book{FriedmanSchwartz1963,
+  author    = {Friedman, Milton and Schwartz, Anna J.},
+  title     = {A Monetary History of the United States, 1867--1960},
+  publisher = {Princeton University Press},
+  address   = {Princeton, NJ},
+  year      = {1963}
+}
+
+@article{SmetsWouters2007,
+  author  = {Smets, Frank and Wouters, Rafael},
+  title   = {Shocks and Frictions in {US} Business Cycles: A {Bayesian} {DSGE} Approach},
+  journal = {American Economic Review},
+  volume  = {97},
+  number  = {3},
+  pages   = {586--606},
+  year    = {2007}
+}
+
+@article{Sargent1971,
+  author  = {Sargent, Thomas J.},
+  title   = {A Note on the `Accelerationist' Controversy},
+  journal = {Journal of Money, Credit and Banking},
+  volume  = {3},
+  number  = {3},
+  pages   = {721--725},
+  year    = {1971}
+}
+
+@article{Lucas1975,
+  author  = {Lucas, Robert E., Jr.},
+  title   = {An Equilibrium Model of the Business Cycle},
+  journal = {Journal of Political Economy},
+  volume  = {83},
+  number  = {6},
+  pages   = {1113--1144},
+  year    = {1975}
+}
+
+@article{BoschenOtrok1994,
+  author  = {Boschen, John F. and Otrok, Christopher M.},
+  title   = {Long-Run Neutrality and Superneutrality in an {ARIMA} Framework: Comment},
+  journal = {American Economic Review},
+  volume  = {84},
+  number  = {5},
+  pages   = {1470--1473},
+  year    = {1994}
+}
+
+@techreport{SargentSurico2008,
+  author      = {Sargent, Thomas J. and Surico, Paolo},
+  title       = {Monetary Policies and Low-Frequency Manifestations of the Quantity Theory},
+  institution = {Bank of England External Monetary Policy Committee Unit},
+  type        = {Discussion Paper},
+  number      = {26},
+  year        = {2008}
+}
+
+@article{DuaneEtAl1987,
+  author  = {Duane, Simon and Kennedy, A. D. and Pendleton, Brian J. and Roweth, Duncan},
+  title   = {Hybrid {Monte} {Carlo}},
+  journal = {Physics Letters B},
+  volume  = {195},
+  number  = {2},
+  pages   = {216--222},
+  year    = {1987},
+  doi     = {10.1016/0370-2693(87)91197-X}
+}
+
+@incollection{Neal2011,
+  author    = {Neal, Radford M.},
+  title     = {{MCMC} Using {Hamiltonian} Dynamics},
+  editor    = {Brooks, Steve and Gelman, Andrew and Jones, Galin L. and Meng, Xiao-Li},
+  booktitle = {Handbook of {Markov} Chain {Monte} {Carlo}},
+  publisher = {Chapman and Hall/CRC},
+  pages     = {113--162},
+  year      = {2011}
+}
+
+@article{HoffmanGelman2014,
+  author  = {Hoffman, Matthew D. and Gelman, Andrew},
+  title   = {The No-U-Turn Sampler: Adaptively Setting Path Lengths in {Hamiltonian} {Monte} {Carlo}},
+  journal = {Journal of Machine Learning Research},
+  volume  = {15},
+  number  = {47},
+  pages   = {1593--1623},
+  year    = {2014}
+}
+
+@article{Betancourt2017,
+  author  = {Betancourt, Michael},
+  title   = {A Conceptual Introduction to {Hamiltonian} {Monte} {Carlo}},
+  journal = {arXiv preprint arXiv:1701.02434},
+  year    = {2017}
+}
+
+@article{Klein2000,
+  author  = {Klein, Paul},
+  title   = {Using the Generalized {Schur} Form to Solve a Multivariate Linear Rational Expectations Model},
+  journal = {Journal of Economic Dynamics and Control},
+  volume  = {24},
+  number  = {10},
+  pages   = {1405--1423},
+  year    = {2000}
+}
+
+@article{PhanEtAl2019,
+  author  = {Phan, Du and Pradhan, Neeraj and Jankowiak, Martin},
+  title   = {Composable Effects for Flexible and Accelerated Probabilistic Programming in {NumPyro}},
+  journal = {arXiv preprint arXiv:1912.11554},
+  year    = {2019}
+}

lectures/_toc.yml

@@ -65,7 +65,8 @@ parts:
   - file: wealth_dynamics
   - file: kalman
   - file: kalman_2
-  - file: kalman_filter_var 
+  - file: kalman_filter_var
+  - file: var_subsets
   - file: organization_capital
   - file: measurement_models
 - caption: Search
@@ -116,6 +117,7 @@ parts:
   - file: lq_permanent_income
   - file: lq_bewley_complete_markets
   - file: lq_robust_smoothing
+  - file: lq_robust_bewley
   - file: lq_inventories
 - caption: Bounded Rationality in Macroeconomics
   numbered: true
@@ -185,6 +187,7 @@ parts:
   - file: mle
   - file: unemployment_linear
   - file: unemployment_shocks
+  - file: sargent_surico
 - caption: Auctions
   numbered: true 
   chapters:

lectures/ar1_turningpts.md

@@ -505,7 +505,7 @@ def draw_from_posterior(data, size=10000, dis_plot=True, key=key):
     # Plot posterior distributions and trace plots
     if dis_plot:
         plot_data = az.from_numpyro(posterior=mcmc)
-        az.plot_trace_dist(plot_data, var_names=['ρ', 'σ'])
+        az.plot_trace(plot_data, var_names=['ρ', 'σ'])
 
     return post_sample