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Unformatted text preview: A d v a n c e d P r o g r a m m i n g i n Q u a n t i t a t i v e E c o n o m i c s Introduction, structure, and advanced programming techniques 17 – 21 August 2009, Aarhus, Denmark Charles Bos [email protected] VU University Amsterdam Tinbergen Institute Advanced Programming in Quantitative Economics – p. 1 Day 4  Afternoon 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. 2 Include Enlarging the capabilities of ox beyond oxstd.h capabilities: Either #include <oxprob.h> (to include the mentioned file literally within the program at that point, and will be compiled in), or #import <maximize> (to import the code when needed; precompiled code is used when available) Advanced Programming in Quantitative Economics – p. 3 Oxprovided packages Package Purpose oxprob.h Extra probability densities oxfloat.h Definition of constants oxdraw.h Graphics capabilities ( * ) arma.h ARMA filters and generators quadpack.h Univeriate numerical integration maximize Optimization using GaussNewton or Simplex methods ( * ) maxsqp Maximize nonlinear function with sequential quadratic programming solvenle Solve a system of nonlinear equations solveqp Solve a quadratic program with restrictions database General class for creating a database modelbase General class for building a model simulation General class for simulation exercise Advanced Programming in Quantitative Economics – p. 4 Userprovided packages Package Author Purpose arfima Doornik, Ooms Long memory modelling dcm Eklof, Weeks Discrete choice models dpd Doornik, Arellano, Bond Dynamic Panel Data models financialnr Ødegaard Financial numerical recipes...
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 Spring '04
 KimCJ
 Economics, Econometrics, Computer Programming, Optimization, Nonlinear system, Quadratic programming, Quantitative economics

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