22-30.103 Computational Economics

Lehrende: Prof. Dr. Olaf Posch

Veranstaltungsart: Interaktive Lehrveranstaltung

Anzeige im Stundenplan:

Semesterwochenstunden: 3

Credits: 6,0

Unterrichtssprache: Englisch

Min. | Max. Teilnehmerzahl: - | 45

Kommentare/ Inhalte:
Many interesting economic models cannot be solved analytically. This course introduces computational methods in order to solve dynamic stochastic nonlinear economic models. It illustrates that most numerical methods exploit the recursive structure of dynamic economic models. This course does not make any attempt to cover the numerous numerical techniques or potential economic applications. It instead chooses to develop only a relatively small number of techniques that can be applied easily to a wide variety of economic problems. It also demonstrates how to use some of the available toolkits.

Lernziel:
After this course, the students are able to

• explain different approaches of solving dynamic optimization problems by means of numerical approximation techniques
  
• categorize the numerical techniques covered in the lecture
  
• solve a given dynamic problem by applying a reasonable numerical technique
  
• apply a toolbox in order to solve dynamic general equilibrium models
  
• formulate and solve dynamic problems in discrete and continuous time
  

Vorgehen:

• this course emphasizes practical numerical methods, not mathematical proofs
  
• focus on techniques that is particularly useful in economics
  
• the examples in this lecture cover a wide range of models in economics
  
• provide working examples and use the CompEcon toolbox
  
• the students program in Matlab by themselves and develop their own computational economic applications
  

Literatur:

• Miranda, Mario J. and Paul L. Fackler, Applied Computational Economics and Finance, MIT Press, 2nd edition, 2004.
  CompEcon Toolbox available at http://www4.ncsu.edu/~pfackler/compecon/toolbox.html 
  

• Heer, Burkhard and Alfred Maussner, Dynamic General Equilibrium Modelling - Computational Methods and Applications, Springer, 2nd edition, 2009.