Topics in Computational Econometrics
Full course description
The students use a statistical and matrix programming language (Gauss or R for example) software to implement computationally intensive econometric techniques. The focus will be on programming and using advanced techniques not readily available in standard statistical or optimisation packages. These techniques may for example include simulation based methods (bootstrap, Monte Carlo, indirect inference.).
Students will work with an advanced statistical and matrix programming language in order to solve advanced problems in econometrics.
- Courses from periods 1 and 2 from the Master in Econometrics.
- Restricted to econometrics students or students from the MSc. Research master programs.
A selection of (survey) articles on the specific econometric techniques used and manuals on the statistical software used (all will be distributed via the course website).