4695: Advanced Programming in Quantitative Economics ( forår 2011 - 5 ECTS )
Rammer for udbud
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Uddannelsessprog:
engelsk
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Niveau:
Elective project-based MSc/IMSQE course (3195)
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Semester/kvarter:
Summer school, intensive one-week course from 15 - 19 August 2011, in room 036, building 1325
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Timer per uge:
Summer school: 20 Lectures for one week in August.
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Deltagerbegrænsning:
Max of 20 students can participate
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Undervisningssted:
Århus
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Hovedområde:
Det Samfundsvidenskabelige Fakultet
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Udbud ID:
29851
Formål
After having followed the course the students should be able to:
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Formulate a computing problem related to economics and finance
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Formulate the relevant research questions needing computing power
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Formulate the necessary inputs and required outputs in relation to the computing problem
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Formulate the computing exercise in (in-)dependent parts,
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Derive and compare necessary computing algorithms,
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Formulate a working version of the computations in a computer program, while evaluating the computing code against possible bugs.
Indhold
This course presents the steps needed for advanced programming in the quantitative fields of economics and finance, from the very concept of a calculation task, through the evaluation of necessary inputs, outputs, division in subtasks, to the final implementation. In this course the Ox programming language is used, and its concepts explained in detail, but conceptually the course will be relevant for any computer programming language. The course provides both theory and practice, switching between lecture and hands-on format. Around the Ox language, several packages, interfaces, and even links to Gauss and C are discussed.
The course is relevant for quantitatively oriented students with interests in econometrics, statistics, dynamic macro economics, and finance.
COURSE SUBJECT AREAS:
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What is programming?
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Structuring: From data, hypotheses, via model towards estimation
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Blocks/program flow
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Functions and variables, syntax in Ox
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Basics of object oriented programming
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Efficiency and algorithms
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Optimization of non-linear functions
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Econometrics in practics: Implementation of basic Econometric models
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Graphical output
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Optional: Links between Ox and C, Gauss
Faglige forudsætninger
REQUIRED COURSES (progression): 3620: Econometrics
Underviser
Charles Bos, VU Amsterdam, and Henning Bunzel
Undervisnings- og arbejdsform
Classroom lectures and hands-on.
English
Litteratur
Doornik, J. A., and M. Ooms, 2006, Introduction to Ox, Timberlake consultants press (113 pages)
Course slides and notes
Bedømmelse
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Hj.opg., bedømt efter 7-skala med intern censur
5 xxxxx
FORM OF ASSESSMENT: Written report based on 1-week take-home exam.
EXAMINATION AIDS ALLOWED: All - except any means of electronic communication including calculators, mobile phones and PCs.
