Numerical Methods (CAEN-UFC)
Syllabus and a running outline:
Global methods for solving models with heterogenity
Value function iteration and solving on the full state space
Discretization
Functional approximation
Endogenous grid points and other solution methods
Endogenous grid points and generalized endogenous grid points
Parameterized expectations
Forward simulations to solve the model
Approximate dynamic programming
Krusell-Smith (1998) and finite moment representation
Some thoughts on microdata sources and how to use them
Direct estimation of parameters
Indirect inference
VAR as an auxilliary model
Lecture Slides
Other Resources
aruoba, fernandez-villaverde, rubio-ramierez
ars techinca: why are some languages faster?
rouwenhorst method, f90 (code)
rouwenhorst method, c (code)
root finding (code)
fernandez-villaverde, rubio-ramirez
gourieroux, monfort and renault
fernandez-villaverde and barillas
hatchondo, martinez and sapriza
Homework:
mortensen-pissarides model with aggregate fluctuations ( hw 1 )
business-cycle model with many shocks ( hw 2 )
estimating less-than-obvious parameters ( hw 3)
value function iteration ( hw 4 )
Other Resources:
Outside Links for Fortran
Free compiler and IDE Silver Frost
Java-based IDE Photran plugin for Eclipse
Programs including splines, optimization and integration routines: John Burkardt's Fortran programs
Help and example programs Fortran Wiki
Lots of f90 routines, including translated TOMS algorithms Alan Miller's Fortran Software
Fortran implementation of GSL FGSL
Lots of links to libraries Numerical Methods for Fortran Programmers
Outside Links for C
Microsoft's C++ Visual C++ Express
Java-based IDE Eclipse CDT
The mother of scientific libraries GSL
A bunch of software ALGLIB
Free constrained optimization IPOPT
Bayesian Filtering Bayes ++
Awesome people who teach even better courses