oxdk_day1b - 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 [email protected] VU University Amsterdam Tinbergen Institute Advanced Programming in Quantitative Economics – p. 1 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 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 1 1 1 1 1 Programming Science Advanced Programming in Quantitative Economics – p. 3 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 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? • Can I check intermediate answers?...
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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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oxdk_day1b - 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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