Numerical Methods

2019-2020
Dit vak wordt in het Engels aangeboden. Omschrijvingen kunnen daardoor mogelijk alleen in het Engels worden weergegeven.

Doel vak

Acquainting the student with numerical methods and applications to
econometric problems.

Inhoud vak

Several 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
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

Onderwijsvorm

Classes and computer practicals.

Toetsvorm

Intermediate exam – Individual assessment

Final exam – Individual assessment

Assignment - Groups of 3-4 students

Literatuur

Cheney & Kincaid (2012), Numerical Mathematics and Computing. 7th
edition.

Aanbevolen voorkennis

Programming, Linear Algebra, Analysis II.

Algemene informatie

Vakcode E_EOR2_NUME
Studiepunten 6 EC
Periode P1+2
Vakniveau 200
Onderwijstaal Engels
Faculteit School of Business and Economics
Vakcoördinator dr. C.S. Bos
Examinator dr. C.S. Bos
Docenten dr. A.A.N. Ridder

Praktische informatie

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Werkvormen Hoorcollege, Werkgroep, Computerpracticum
Doelgroepen

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