Algemene informatie
Vakcode | E_EOR2_NUME |
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Studiepunten | 6 EC |
Periode | P1+2 |
Vakniveau | 200 |
Onderwijstaal | Nederlands |
Faculteit | School of Business and Economics |
Vakcoördinator | dr. L.F. Hoogerheide |
Examinator | dr. L.F. Hoogerheide |
Docenten |
dr. L.F. Hoogerheide dr. A.A.N. Ridder |
Praktische informatie
Voor dit vak moet je zelf intekenen.
Werkvormen | Hoorcollege, Werkgroep, Computerpracticum |
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Doelgroepen
Dit vak is ook toegankelijk als:
Doel vak
Acquainting the student with numerical methods and applications toeconometric problems.
Inhoud vak
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
Onderwijsvorm
Classes and computer practicals.Toetsvorm
Intermediate exam – Individual assessmentFinal exam – Individual assessment
Individual assignment - Groups of 1 or 2 students
Literatuur
Cheney & Kincaid (2012), Numerical Mathematics and Computing. 7thedition.