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Teaching simulation methods in economics

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  • Michael Reiter

    () (Economics Universitat Pompeu Fabra)

Abstract

I will discuss my experiences with the course "Simulation methods", given several times in the graduate program of the University Pompeu Fabra, Barcelona. The main topics of the course are 1) Basic techniques of numerical analysis: nonlinear unconstrained and constrained optimization, nonlinear systems of equations, function interpolation, etc. 2) Numerical dynamic programming 3) Solution of linear(ized) rational expectations models 4) Projection methods. The course is for 2nd year PhD students. Most students have a specialization in macroeconomics, but some come from microeconomics or finance. Therefore, applications include business cycle models, models of optimal fiscal and monetary policy, optimal portfolio choice and option pricing. For more detailed information on the course, see the syllabus at http://www.econ.upf.es/eng/graduates/gpem/pdf/courses/05-06/simulmeth.pdf The course homepage is http://www.econ.upf.es/~reiter/sim.html. All the programming is done in Matlab. I will talk about the experience with this, and about ways of overcoming some shortcomings of Matlab programming.

Suggested Citation

  • Michael Reiter, 2006. "Teaching simulation methods in economics," Computing in Economics and Finance 2006 37, Society for Computational Economics.
  • Handle: RePEc:sce:scecfa:37
    as

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    References listed on IDEAS

    as
    1. Corbae, Dean, 1993. "Relaxing the cash-in-advance constraint at a fixed cost Are simple trigger-target portfolio rules optimal?," Journal of Economic Dynamics and Control, Elsevier, vol. 17(1-2), pages 51-64.
    2. Mercado, P Ruben & Kendrick, David A & Amman, Hans, 1998. "Teaching Macroeconomics with GAMS," Computational Economics, Springer;Society for Computational Economics, vol. 12(2), pages 125-149, October.
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    Keywords

    computational economics; teaching;

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