Special Topics in Computational Economics and Econometrics
- Course Description
- Course Plan
- Preassignment
-
Source Code
- libscl
- Lectures
- Programming in C++
- Case Study: SMM, Habit Model, Frequentist
- Case Study: Estimating Dynamic Games
- Case Study: SNP
- Case Study: EMM
- Case Study: GPU, GE computation
- Case Study: Data Augmentation, Bayes with GMM likelihood
- Case Study: GSM, Habit, Long Run Risk, and Prospect Theory Models,
Bayesian
- Homework Assignments
- Homework 1
as PDF
or PostScript,
due September 1
- Homework 2
as PDF
or PostScript,
due September 8
- Homework 3
as PDF
or PostScript,
due September 15
- Homework 4
as PDF
or PostScript,
due September 22
- Homework 5
as PDF
or PostScript,
due September 29
- Homework 6
as PDF
or PostScript,
due October 6
- Homework 7
as PDF
or PostScript,
due October 13
- Midterm
as PDF
or PostScript,
in class on October 20
- Homework 8
as PDF
or PostScript,
due November 3
- Homework 9
as PDF
or PostScript,
due November 10
- Homework 10
as PDF
or PostScript,
due November 17
- Project due December 8
- Project Suggestions
- Project 1
as PDF
or PostScript,
- Project 2
as PDF
or PostScript,
- Project 3
as PDF
or PostScript,
- Project 4
as PDF
or PostScript,
- Project 5
as PDF
or PostScript,
- Project 6
as PDF
or PostScript,
- Project 7
as PDF
or PostScript,
- Project 8
as PDF
or PostScript,
- Project 9
as PDF
or PostScript,
- Project 10
as PDF
or PostScript,
- Project 11
as PDF
or PostScript,
- Parallel Computing
- Foster, Ian, (1995), Desiging and Building Parallel Programs
as OnlineBook
- MPI Guide in Fortran
as MSWord
- MPI Guide in C/C++
as PDF
as PostScript,
- The MPI Forum
HomePage,
- The OpenMPI Implementation of MPI
HomePage
- POSIX Threads Programming
Tutorial
- CUBLAS Library
as PDF
- CUDA Programming Guide
as PDF
- CUDA Reference Manual
as PDF
- OpenMP links
Wikipedia,
Tutorial,
Examples,
Specs,
Summary
- OpenCL links
Wikipedia,
C Documentation,
C++ Documentation,
C++ Documentation,
Tutorial,
Tutorial
- ViennaCL
HomePage
- Papers
- Gallant, A. Ronald, and George Tauchen (2010),
"SNP: A Program for Nonparametric
Time Series Analysis, Version 9.0, User's Guide,"
as PDF
- Gallant, A. Ronald, and George Tauchen (2010),
"EMM: A Program for Efficient
Method of Moments Estimation, Version 2.6, User's Guide,"
as PDF
- Gallant, A. Ronald, Han Hong, and Ahmed Khwaja (2010),
"Bayesian Estimation of a
Dynamic Game with Endogenous, Partially Observed,
Serially Correlated State," as
PDF
- Aldrich, Eric M., and A. Ronald Gallant (2011)
"Habit, Long-Run Risks, Prospect?
A Statistical Inquiry," as
PDF
- Aldrich, Eric M., Jesus Fernandez-Villaverde, A. Ronald Gallant,
and Juan F.
Rubio-Ramirez (2010), "Tapping the Supercomputer
Under Your Desk: Solving
Dynamic Equilibrium
Models with Graphics Processors," as
PDF
- Campbell, John Y., and John H. Cochrane (1998), "By Force of
Habit:
A Consumption-Based Explanation of Aggregate Stock
Market Behavior,
Including Appendices Not in the Published
Version," as PDF
- Durham, Garland B. (2004), "Monte Carlo Methods for Estimating,
Smoothing,
and Filtering One and Two-Factor Stochastic Volatility
Models" as PDF