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2900401: Spec Top in Econ:
Numerical/Computational Methods for Economists
Instructor: Tanapong Potipiti E-mail: [email protected]
What are Numerical/Computational Methods and Who Should Study it?
Like econometrics, numerical/computational methods are a tool for research problem. If you are in the following categories, this class might be for you. Students who want to do serious quantiative research on microeconomics, macroeconomics or econometrics. Students who need to do simulation in their research. Students who love to think and deepen their understanding in economics.
Objective and Expectation
In this course, students will learn how to practically apply computational methods for solving their economics problems in various area including dynamic
macroeconomics, microeconomic theory, game theory, econometrics. Students expected to think and learn from homework. Like other practical skills, the only way to learn programming is to practice and practice. Homework will play a major role in this class. This class will be application and example oriented.
Methods of Study
In the lecture, I will show you basic ideas. You will apply the idea more exhaustively when doing homework.
Three Necessary Skills for Success in This Course
To study well in this class, there are basic skills you need to master. The first is programming skills. Programming practice will teach you to think more systematically. Next is economics knowledge. To applied numerical method to solve an economics problem, one needs to understand the problem precisely and thoroughly. In this class, one will be surprised to know that one does not really understand concepts as one thought. Last but not least, you need numerical technique which you will be explored in this class.
Course Outline
• Introduction
• Basic Programming by Scilab
• Monte Carlo Methods
• Numerical Optimization and Root Finding
• Solving Finite Horizon Problems
• Solving Dynamic Stochastic General Equilibrium Model: Log-Linear Approximation Methods
• Solving Bellman Equations, Fixed Points and Numerical Dynamic Programming Problems
• Chebyshev Polynomial and Collocation Methods Grading
• 3 Open Books/Computers Quizzes 90%
• Homework 10%
• Bonus (5%)
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How to Do Homework
Try as hard as you can to do it by yourself. After you see the solution and try to understand the solution. Then try to write the code by yourself without copying the solution. It is very important to practice, practice and practice.
Quizzes
There will be 3 big quizzes. To give you enough time, each quiz will last 3 hours. All quizzes are open-booked. Most of the quizzes are programming. I consider quizzes as an important practice in this class.
Lecture Notes and Reference
• my lecture notes (in Thai) will be posted on
http://pioneer.netserv.chula.ac.th/˜ptanapo1/numer
• Applied Computational Economics and Finance by Mario J. Miranda and Paul L.
Fackler
• Numerical Methods in Economics by Kenneth L. Judd Software
The software that we will use is Scilab. Scilab is similar to MATLAB but it can be freely downloaded from http://www.scilab.org.
