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Teaching simulation methods in economics

Listed author(s):
  • Michael Reiter


    (Economics Universitat Pompeu Fabra)

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 The course homepage is 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.

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Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2006 with number 37.

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Date of creation: 04 Jul 2006
Handle: RePEc:sce:scecfa:37
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