Chair of Public Finance

Advanced Computational Economics

Block course, September 30th – October 11th 2024

The MA course „Advanced Computational Economics“ will be taught within two weeks in October 2024. The goal of the course is to introduce students to state of the art computational techniques for quantitative economic research. Using the programming language FORTRAN they learn to apply numerical solution techniques to mathematical problems and economic models that cannot be solved analytically.

The course has no mandatory requirements. However, some programming experience any other language will proof beneficial. For those without any programming experience, participation in the undergraduate course Computational Economics is recommended. Of course, alternatively, working through the first chapter of Fehr and Kindermann (2018) (which provides an introduction to FORTRAN) is also possible.

In the following, the course content, structure and timeline, the course material, as well as requirements to complete the course successfully are explained in more detail. The course combines seven days of intensive lectures and exercise classes. Students need to bring their own computer to lectures and exercise classes. We encourage you to download the free programming language FORTRAN and other material from our website

on your computer before classes start. In case of problems, we will help you with the installation in the first class of the course. Then you will learn to write code and solve simple numerical exercises in FORTRAN. On this basis we can study the theoretical structure of various economic models and implement these models in FORTRAN.

Over the weekend, you have to prepare an assignment where you write a code in FORTRAN in a team consisting of not more than two members. When the exercises are finished you prepare for the final exercise and/or come up with questions. On the last day of the course, you have to solve a programming exercise by yourself. In this exercise, you will receive a FORTRAN code, which contains a number of programming errors. You have to correct these bugs and run the program. The programming exercise as well as the team assignment are both graded. The average of both marks defines your final grade. However, you need to pass both tests in order to complete the course successfully.

Daily time schedule for classes:  

9:00-10:30 and 11:00-12:30 - Lecture class, where the specific material is explained.

14:00-17:00 - Exercise class where you mostly programme by yourself.   

It is absolutely necessary to attend the lecture classes in order to manage the exercises! If there is an exam on a specific day, we will try to reorganize the schedule. Every participant will receive a set of Lecture Notes free of charge in the first lecture. The material there can (and should) be studied before attending the respective lectures.

Detailed course plan:  

1. Day: Introduction to Fortran 90

2. Day: Numerical Solution Methods

3. Day: Numerical Solution Methods 

Weekend: Prepare teamwork assignment

4. Day: Indroduction to Dynamic Programming

5. Day: Dynamic Programming: Value Functions and policy function

6. Day: Dynamic Macro I: Infinity horizon

7. Day: Life cycle models and risk: Labor supply and saving

8. Day: October: Exercise classes

9. Day: Programming exercise (16:00 - 18:00)

More information, advanced study or preparation:

In case you need more information, want to prepare in advance or study additional material, you can consult selected chapters of the following book, which you can find in the library:

Hans Fehr and Fabian Kindermann (2018): Introduction to computational economics using Fortran, Oxford: Oxford University Press.