Advanced Computational Economics
Advanced Computational Economics
The aim of the course is to introduce students to state-of-the-art computational techniques for quantitative economic research. Using the FORTRAN programming language, students will learn to apply numerical solution techniques to mathematical problems and economic models that cannot be solved analytically.
There are no prerequisites for the course. However, some programming experience in another language will be an advantage. For those without programming experience, participation in the undergraduate course Computational Economics is recommended. Of course, an alternative is to work through the first chapter of Fehr and Kindermann (2018) (which provides an introduction to FORTRAN).
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. We encourage you to download the free programming language FORTRAN and other material from our website
on your computer before the first class starts. 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.
In the final exam you will be given a programming exercise to solve on your own. In this exercise you will be given a FORTRAN code containing a number of programming errors. You will have to correct these errors, write a short comment and run the code.
Once you have (hopefully) passed this first part of the exam, you will have to prepare an assignment in which you will code in FORTRAN in a team of 2-3 people. You will have about two weeks to work on this assignment, and after (hopefully) passing this second part as well, the average of these two marks will be your final mark. However, you must pass both tests to complete the course successfully.
Detailed course plan:
1: Introduction to Fortran 90
2: Numerical Solution Methods
3: Numerical Solution Methods
4: Indroduction to Dynamic Programming
Weekend: Prepare for the upcoming week. Repeat the discussed topics.
5: Dynamic Programming: Value Functions and policy function
6: Dynamic Macro I: Infinity horizon
7: Life cycle models and risk: Labor supply and saving
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.
