General Information
Course Code | E_EOR2_NUME |
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Credits | 6 EC |
Period | P1+2 |
Course Level | 200 |
Language of Tuition | Dutch |
Faculty | School of Business and Economics |
Course Coordinator | dr. L.F. Hoogerheide |
Examiner | dr. L.F. Hoogerheide |
Teaching Staff |
dr. L.F. Hoogerheide dr. A.A.N. Ridder |
Practical Information
You need to register for this course yourself
Teaching Methods | Study Group, Lecture, Computer lab |
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Target audiences
This course is also available as:
This course is offered in Dutch. Some of the descriptions may therefore only be available in Dutch.
Course Objective
Acquainting the student with numerical methods and applications toeconometric problems.
Course Content
Several methods will be discussed for solving numerical problems ineconometrics. 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
methods
- 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 Methods
Classes and computer practicals.Method of Assessment
Intermediate exam – Individual assessmentFinal exam – Individual assessment
Individual assignment - Groups of 1 or 2 students
Literature
Cheney & Kincaid (2012), Numerical Mathematics and Computing. 7thedition.