prdk_day4a - Advanced Programming in Quantitative Economics...

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Unformatted text preview: Advanced Programming in Quantitative Economics Introduction, structure, and advanced programming techniques 17 21 August 2009, Aarhus, Denmark Charles Bos cbos@feweb.vu.nl VU University Amsterdam Tinbergen Institute Advanced Programming in Quantitative Economics p. Tutorial Day 4 - Morning 10.30P Estimating a duration model Setting up a class Moving the likelihood 12.00 Lunch 14.15 [Seminar Prof. David Hendry, University of Oxford] 16.00L Added capabilities Graphics packages SsfPack/Arfima and others 17.00 End Advanced Programming in Quantitative Economics p. Duration: Working in a class Target: Estimate your duration model using a class Possible starting point: lists/class/ols.ox, lists/class/olsclass.ox Possible steps: 1. Adapt your data generating program, such that it saves a .in7 file. Check manual, one option is savemat("data/durgen.in7", vY~mX, "Y", "X1", "X2); 2. Prepare include/durclass.ox, with an almost empty class deriving from Modelbase 3. Prepare durmain.ox, including #include <include/durclass.ox>, and declare a new package. Do you get the correct package name on the output? 4. Read the data into the class, select X and Y variables (see lists/class/ols.ox) Advanced Programming in Quantitative Economics p. Duration: Class II 5. Check if you can print the data from the class, in an almost empty DoEstimation(vP) 6. Maybe add the InitPar member, for finding initial parameters. Place them using SetPar(vP) (which sets the parameter count as well) 7. Prepare a GetParNames(), which should return an array of strings with the parameter names 8. Add a member AvgLnLiklDur(...), see if you can call it once 9. Use MaxBFGS from DoEstimation, put the results in place 10. Add the Covar member, computing the covariance matrix of the parameters 11. Remember setting the loglikelihood value m_dLogLik in place Advanced Programming in Quantitative Economics p. ...
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This note was uploaded on 05/28/2010 for the course ECONOMIC FM407 taught by Professor Kimcj during the Spring '04 term at 카이스트, 한국과학기술원.

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prdk_day4a - Advanced Programming in Quantitative Economics...

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