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Syllabus

The document outlines a summer course on Numerical Methods for Ph.D. students in Economics at the University of Minnesota, led by instructor Yuichiro Waki. The course aims to equip students with programming skills to solve various economic problems, with a structured schedule including lectures by guest professors and assignments. Suggested readings and a detailed weekly outline of topics, including programming in Matlab and numerical optimization, are provided.

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14 views3 pages

Syllabus

The document outlines a summer course on Numerical Methods for Ph.D. students in Economics at the University of Minnesota, led by instructor Yuichiro Waki. The course aims to equip students with programming skills to solve various economic problems, with a structured schedule including lectures by guest professors and assignments. Suggested readings and a detailed weekly outline of topics, including programming in Matlab and numerical optimization, are provided.

Uploaded by

bmessaad1970
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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University of Minnesota,

Department of Economics

Numerical Methods for Ph. D Students in Economics


Summer 2007

Instructor: Yuichiro Waki (Office: 1069 Heller Hall)


Grader: Maryam Saeedi

Time: July 23 – August 17, MTWThF, 9:30 a.m. - 12:00 p.m.


Location: Blegen Hall 440, Computer lab
Office Hours: TBA
Contact: e-mail: wakix003 (at) umn.edu
Phone: 612.625.5351
Course website: http://www.econ.umn.edu/~ywaki/teaching/nm07.htm

Course Description
The goal of this course is that all students become able to write programs to solve various
kinds of problems. These problems range from simple calculus problems, such as the
computation of derivatives, to some economic and econometric problems, such as the
computation of equilibria and the simulation-based estimation. All students must write
own programs in solving these problems.
In the first week, we will study how to tackle problems using simple examples. On each
Monday after the first week, one of professors Tim Kehoe, Ellen McGrattan, and Pat
Bajari will give a lecture and assignment. (For details, see “Course Outline and Reading
Lists” below.) We will spend the rest of each week for solving these assignments. If time
allows we may cover some other related topics.

Suggested Readings:
1. Numerical methods
Richard L. Burden and J. Douglas Faires, Numerical Analysis, BROOKS/COLE
2. Programming in Matlab
Lecture slides for Chapters 2 and 3 from Gerald Recktenwald, Numerical
Methods with MATLAB: Implementations and Applications
http://web.cecs.pdx.edu/~gerry/nmm/course/

Course Outline and Reading Lists


WEEK 1
1. Introduction to programming
2. Introduction to Matlab
3. Numerical derivatives
4. Nonlinear equations solving (Bisection and Newton’s method)
(5. Numerical optimization, random number generator, etc.)
WEEK 2
1. Linear Programming and the Simplex Method

Timothy J. Kehoe, David K. Levine, and Edward C. Prescott, “Lotteries, Sunspots, and
Incentive Constraints,” Journal of Economic Theory, 107 (2002), 39-69.

Dimitris Bertsimas and John N. Tsitsiklis, Introduction to Linear Programming, Ch. 3.

2. Newton’s Method and Economies with Infinitely Lived Consumers

Juan Carlos Conesa, Timothy J. Kehoe, and Kim J. Ruhl, “Modeling Great
Depressions: The Depression in Finland in the 1990s.”

Timothy J. Kehoe, David K. Levine, and Paul M. Romer, “On Characterizing Equilibria
of Economies with Externalities and Taxes as Solutions to Optimization Problems,”
Economic Theory, 2 (1992), 43-68.

3. Newton’s Method and Overlapping Generations Economies

Questions 3, 4, and 5 on Problem Set #1, Econ 8107, Spring 2005.


http://www.econ.umn.edu/~tkehoe/classes/8107-05.html

Laurence J. Kotlikoff, Kent Smetters, and Jan Walliser, “Privatizing Social Security in
the United States: Comparing the Options,” Review of Economic Dynamics, 2 (1999),
532-574.

WEEK 3
1. Computing Equilibria in Near-Linear Economies
2. Computing Equilibria in Nonlinear Economies
3. Maximum Likelihood Estimation

Chapters 3, 4 and 5 from Ellen’s notes and the references therein:


ftp://ftp.mpls.frb.fed.us/pub/research/mcgrattan/minho07/minho1.pdf

Ramon Marimon and Andrew Scott, Computational Methods for the Study of Dynamic
Economies, Oxford University Press

WEEK 4 (Preliminary)
1. Mixed Logit
2. Simulation Based Methods

A. Colin Cameron and Pravin K. Trivedi, Microeconometrics: Methods and Applications.

Nevo, A "A Practitioner's Guide to Estimation of Random Coefficients Logit Models of


Demand," Journal of Economics & Management Strategy, 9(4), 513-548, 2000.
Petrin, A. "Quantifying the Benefits of New Products: The Case of the Minivan,'' Journal
of Political Economy, 110:705-729, 2002.

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