oxdk_day1a - 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 - Morning 9.30 Introduction ◦ Target of course ◦ Science, data, hypothesis, model, estimation ◦ Bit of background • Concepts of ◦ Data, Variables, Functions, Addresses • Programming by example ◦ Gauss elimination • (Installation/getting started) 11.00 Tutorial: Do it yourself 12.30 Lunch Advanced Programming in Quantitative Economics – p. 2 Target of course • Learn • structured • programming • and organisation • (in Ox or other language) Not: Just learn more syntax... Advanced Programming in Quantitative Economics – p. 3 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. 4 Aims and objectives • Use computer power to enhance productivity • Productive Econometric Research: combination of interactive modules and programming tools • Data Analysis, Modelling, Reporting • Accessible Scientific Documentation (no black box) • Adaptable, Extendable and Maintainable (object oriented) • Econometrics, statistics and numerical mathematics procedures • Fast and reliable computation and simulation Advanced Programming in Quantitative Economics – p. 5 Options for programming GUI CLI Program Speed QuanEcon Comment EViews +-- +/- + Black box, TS TSMod +- +/- +/- + Alternative Stata +/- +--- Less programming Matlab + + + + +/- Expensive, other audience Gauss +/- +/- + +/- + ‘Ugly’ code, unstable S+/R +/- + +- +/- Graph +, speed - Ox + +/- + + + Links to C, ectrics C(++)/Fortran-- + ++- Very quick, difficult Here: Use Ox as environment, apply theory elsewhere Advanced Programming in Quantitative Economics – p. 6 History There was once... C-Programmer Memory leaks Shell around C Matrices ...and Ox was born. More possibilities, also computationally: Timings for OLS (30 observations, 4 regressors): 2009 Neh 2.67Ghz 64b 670.000 † /sec 2008 Xeon 2.8Ghz OSX 392.000 † /sec 2006 Opt 2.4Ghz 64b 340.000 † /sec 2006 AMD3500+ 64b 320.000 † /sec 2006 AMD3500+ 4.04 273.000 † /sec 2004 AMD3500+ 3.40 218.000 † /sec 2004 PM-1200 147.000 † /sec 2001 PIII-1000 104.000 † /sec 2000 PIII-500 60.000/sec 1996 PPro200 30.000/sec 1993 P5-90 6.000/sec 1989 386/387 300/sec 1981 86/87 (est.) 30/sec Increase: ≈ × 1000 in 15 years ≈ × 10000 in 25 years....
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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_day1a - 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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