This course is offered in Dutch. Some of the descriptions may therefore only be available in Dutch.
Course ObjectiveAcquainting the student with numerical methods and applications to
Course ContentSeveral methods will be discussed for solving numerical problems in
econometrics. Topics include:
- floating point representation of numbers on computers
- numerical differentiation
- numerical integration: quadrature and Monte Carlo integration
- interpolation methods
- finding zeros of functions: bisection, Newton(-Raphson), Secant
- univariate optimization: golden section search.
- multivariate optimization: Newton(-Raphson) and BFGS with linesearch,
Nelder-Mead. Differential Evolution.
- optimization under restrictions using transformations.
- using optimization methods to compute Maximum Likelihood estimators in
non-Gaussian/non-linear econometric models
- Power method for computing eigenvalues and eigenvectors.
- Monte Carlo simulation methods
Teaching MethodsClasses and computer practicals.
Method of AssessmentIntermediate exam – Individual assessment
Final exam – Individual assessment
Individual assignment - Groups of 1 or 2 students
LiteratureCheney & Kincaid (2012), Numerical Mathematics and Computing. 7th
Recommended background knowledgeProgramming, Linear Algebra, Analysis II.
|Language of Tuition||Dutch|
|Faculty||School of Business and Economics|
|Course Coordinator||dr. L.F. Hoogerheide|
|Examiner||dr. L.F. Hoogerheide|
dr. L.F. Hoogerheide
dr. A.A.N. Ridder
You need to register for this course yourself
|Teaching Methods||Study Group, Lecture, Computer lab|
This course is also available as: