oxdk_day2a - A d v a n c e d P r o g r a m m i n g i n Q u...

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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 cbos@feweb.vu.nl VU University Amsterdam Tinbergen Institute Advanced Programming in Quantitative Economics – p. 1 Day 2 - Morning 9.00L Structuring ◦ Recursive programming ◦ Building blocks ◦ Declarations/data/actions/output • Revise: ◦ Passing data back and forth 10.30P Tutorial ◦ Addresses ◦ Minimal blocks 12.00 Lunch Advanced Programming in Quantitative Economics – p. 2 Reprise: What? Why? Wrong answer: For the fun of it A correct answer To get to the results we need, in a fashion that is controllable, where we are free to implement the newest and greatest, and where we can be ‘reasonably’ sure of the answers Data Hypothesis E= f(m) Model E= m c 2 Estimation E ² = m ² (c ² ) 2 1 1 1 1 1 Programming Science Advanced Programming in Quantitative Economics – p. 3 Step 1: Analyse the data • Read the original data file • Make a first set of plots, look at it • Transform as necessary (aggregate, logs, first differences, combine with other data sets) • Calculate statistics • Save a file in a convenient format for later analysis Data Hypothesis E= f(m) Model E= m c 2 Estimation E ² = m ² (c ² ) 2 1 1 1 1 11 1 Programming P1 savemat("data/fx9709.fmt", mX); savemat("data/fx9709.in7", vDay˜mX, "Date", "UKUS", "EUUS", "JPUS"); Advanced Programming in Quantitative Economics – p. 4 Step 2: Analyse the model • Can you simulate data from the model? • Does it look ‘similar’ to empirical data?...
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oxdk_day2a - A d v a n c e d P r o g r a m m i n g i n Q u...

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