oxdk_day1b - Advanced Programming in Quantitative Economics...

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Advanced Programming in Quantitative Economics 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
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Day 1 - Afternoon 13.30 Structuring your thoughts What is programming? Preparation of a program 14.30 Tutorial: Do it yourself Exercise to hand in Work through ‘Introduction to Ox Ch 1-5’ Advanced Programming in Quantitative Economics – p. 2
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Repeat: 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 0 1 0 0 0 1 1 0 1 0 0 0 0 1 0 Programming Science Advanced Programming in Quantitative Economics – p. 3
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Programming in Theory Plan ahead Research question: What do I want to know? Data: What inputs do I have? Output: What kind of output do I expect/need? Modelling: What is the structure of the problem? Can I write it down in equations? Estimation: What procedure for estimation is needed (OLS, ML, simulated ML, GMM, nonlinear optimisation, Bayesian simulation, etc)? Advanced Programming in Quantitative Economics – p. 4
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Closer to practice Blocks: Is the project separable into blocks, independent, or possibly dependent? What separate routines could I write? Are there any routines available, in my own old code, or from other sources?
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