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Computational Economics and Econometrics
Computational Economics and Econometrics A. Ronald Gallant Penn State University c 2015 A. Ronald Gallant Course Website http://www.aronaldg.org/courses/compecon Go to website and discuss • Preassignment • Course plan (briefly now, in more detail a few slides later) • Source code • libscl • Lectures • Homework • Projects Course Objective – Intro Introduce modern methods of computation and numerical anal- ysis to enable students to solve computationally intensive prob- lems in economics, econometrics, and finance. The key concepts to be mastered are the following: • The object oriented programming style. • The use of standard data structures. • Implementation and use of a matrix class. • Implementation and use of numerical algorithms. • Practical applications. • Parallel processing. Details follow Object Oriented Programming Object oriented programming is a style of programming devel- oped to support modern computing projects. Much of the devel- opment was in the commercial sector. The features of interest to us are the following: • The computer code closely resembles the way we think about a problem. • The computer code is compartmentalized into objects that perform clearly specified tasks. Importantly, this allows one to work on one part of the code without having to remember how the other parts work: se- lective ignorance • One can use inheritance and virtual functions both to describe the project design as interfaces to its objects and to permit polymorphism. Inter- faces cause the compiler to enforce our design, relieving us of the chore. Polymorphism allows us to easily swap in and out objects so we can try different models, different algorithms, etc. • The structures used to implement objects are much more flexible than the minimalist types of non-object oriented language structures such as subroutines, functions, and static common storage. -
Computational Topics in Economics and Econometrics Spring Semester 2003 Tuesday 12-2 Room 315 Christopher Flinn Room 302 Christopher.fl[email protected]
Computational Topics in Economics and Econometrics Spring Semester 2003 Tuesday 12-2 Room 315 Christopher Flinn Room 302 christopher.fl[email protected] Introduction: The objective of this course is to develop computational modeling skills that will increase the stu- dent’s capacity for performing quantiative research in economics. The basic premise of the course is the following. To adequately explain social phenomena of interest to economists requires the use of relatively sophisticated, albeit stylized, models. These models, whether involving only the solution of individual decision rules in a dynamic context or the determination of equilibria in a general equilibrium model, can only be solved numerically. We will review techniques that allow the solution of a large class of fixed point problems, which virtually all economic problems can be cast as, and will illustrate and compare techniques in the context of diverse examples. As an integral part of the course, students will be expected to contribute problems of their own, hopefully taken from current research questions they are investigating. We will also study the use of computational-intensive techniques in econometrics. Over the past several decades there have been a lot of exciting developments in this area due to enormous increases in processor speed and affordability. Topics in this area that we will treat include general computational issues in the estimation of nonlinear models, simulation estimation methods (maximum likelihood and method of moments), bootstrap methods, and the E-M algorithm. Examples from my own and other applied economists’ research will be used to illustrate the methods where appropriate. Because applied numerical analysis is at least one-half art form, it will be extremely useful for all of us to hear from individuals who have successfully completed large research projects that required them to solve daunting computational problems in the process. -
Complexity Economics Theory and Computational Methods
Complexity Economics Theory and Computational Methods Dr. Claudius Gräbner Dr. Torsten Heinrich Institute for the Comprehensive Analysis of the Economy (ICAE) Institute for New Economic Thinking (INET) & Oxford Martin School Johannes Kepler University Linz University of Oxford & & Institute for Socio-economics University of Bremen University of Duisburg-Essen & www.torsten-heinrich.com ZOE. Institute for Future-Fit Economies @TorstenHeinriX www.claudius-graebner.com @ClaudiusGraebner Summer Academy for Pluralism in Economics Exploring Economics 10.08.2018 Plan for first lecture • Getting to know ourselves • Clarify organizational issues and resolve open issues • Introduce and explain background of course outline • Start with meta-theoretical framework 2 Claudius Gräbner & Torsten Heinrich: Complexity Economics. Theory and Comp Methods @ Exploring Economics Summer Academy, Aug 9-16 2019 Intro Claudius Torsten • Studied economics in Dresden and Madrid • Studied „Staatswissenschaften“, i.e. economics, law, and social sciences in Erfurt • PhD and Habilitation in economics in Bremen, Germany • PhD in economics in Bremen, Germany • Now: Post Doc at Oxford University • Several stays in Santa Fe, USA • Institute for New Economic Thinking (INET), • Now: Post Doc at the Johannes Kepler University in Oxford Martin School (OMS) & Wolfson College Linz, Austria & University of Duisburg-Essen, Germany • Main interests: • Main interests: • Complex systems science and agent-based • Economic development, technological change computational economics and -
Simulating Inflation 1
Running head: SIMULATING INFLATION 1 Simulating Inflation: Is the Economy a Big Balloon? Ryan Heathcote A Senior Thesis submitted in partial fulfillment of the requirements for graduation in the Honors Program Liberty University Spring 2013 SIMULATING INFLATION 2 Acceptance of Senior Honors Thesis This Senior Honors Thesis is accepted in partial fulfillment of the requirements for graduation from the Honors Program of Liberty University. ______________________________ Mark Shaneck, Ph.D. Thesis Chair ______________________________ Terry Metzgar, Ph.D. Committee Member ______________________________ Monty Kester, Ph.D. Committee Member ______________________________ James H. Nutter, D.A. Honors Director ______________________________ Date SIMULATING INFLATION 3 Abstract Inflation is a common problem in modern economics, and it seems to persist, requiring government financial policy intervention on a regular basis in order to properly manage. The mechanics of inflation are difficult to understand, since the best metric modern society has for inflation involves taking samples of prices across the country. A simulation can give deeper insight into more than the mere fact that prices rise over time: a simulation can help to answer the “why” question. The problem with this statement is that developing a simulation is not as simple as writing some code. A simulation is developed according to a paradigm, and paradigms are not created equal. Research reveals that traditional paradigms that impose order from the outside do not mimic reality and thus do not give a good degree of accuracy. By contrast, Agent Based Modelling models reality very closely and is consequently able to simulate economic systems much more accurately. SIMULATING INFLATION 4 Simulating Inflation: Is the Economy a Big Balloon? It is often said that life’s two inevitabilities are death and taxes. -
A Primer on Complexity: an Introduction to Computational Social Science
A Primer on Complexity: An Introduction to Computational Social Science Shu-Heng Chen Department of Economics National Chengchi University Taipei, Taiwan 116 [email protected] 1 Course Objectives This course is to enable the students of social sciences to have some initial experiences of computational modeling of social phenomena or social processes.In this regard, it severs as the beginning course for preparing students of social sciences to have computational thinkingof social phenomena.On the other hand, the course is also to serve as a beginning course for the students of computer science or students with a strong taste for program- ming andmodeling who are, however, very curious of social phenomena, and want to see whether they can develop their talents in the axis of social sciences. 2 Course Description National Chengchi University is internationally well-known for its social sciences, but what are the natures of social sciences, and, to what extent, do they differ from sciences? Are these differences fundamentally or just superficially? The current social sciences are divided into economics, business, management, political sciences, sociology, psychology, public administration, anthropology, ethnology, religion, geography, law, international relations, etc. Is this division necessary, logical? When a social phenomenon is presenting itself to us, such as populism, polarization, segregation, racism, exploitation, injustice, global warming, income inequality, social exclusiveness or inclusiveness, green energy promotion, anti-gouging legislation, riots, tuition freeze, mass media regulation, finan- cial crisis, nationalism, globalization, will it identify itself: to which sister discipline it belongs? Economics? Psychology? Ethnology? If the purpose of social sciences is to enhance our understanding (harness) of social phenomena, and hence to enable us to develop a good conversation quality among cit- izens of the society from which the social phenomena emerge, then we probably need to promote good conversations among social scientists first. -
Varieties of Emergence
See discussions, stats, and author profiles for this publication at: https://www.researchgate.net/publication/228792799 Varieties of emergence Article · January 2002 CITATIONS READS 37 94 1 author: Nigel Gilbert University of Surrey 364 PUBLICATIONS 9,427 CITATIONS SEE PROFILE Some of the authors of this publication are also working on these related projects: Consumer Behavior View project Agent-based Macroeconomic Models: An Anatomical Review View project All content following this page was uploaded by Nigel Gilbert on 19 May 2014. The user has requested enhancement of the downloaded file. 1 VARIETIES OF EMERGENCE N. GILBERT, University of Surrey, UK* ABSTRACT** The simulation of social agents has grown to be an innovative and powerful research methodology. The challenge is to develop models that are computationally precise, yet are linked closely to and are illuminating about social and behavioral theory. The social element of social simulation models derives partly from their ability to exhibit emergent features. In this paper, we illustrate the varieties of emergence by developing Schelling’s model of residential segregation (using it as a case study), considering what might be needed to take account of the effects of residential segregation on residents and others; the social recognition of spatially segregated zones; and the construction of categories of ethnicity. We conclude that while the existence of emergent phenomena is a necessary condition for models of social agents, this poses a methodological problem for those using simulation to investigate social phenomena. INTRODUCTION Emergence is an essential characteristic of social simulation. Indeed, without emergence, it might be argued that a simulation is not a social simulation. -
Self-Regulation Via Neural Simulation
Self-regulation via neural simulation Michael Gileada,b,1, Chelsea Boccagnoa, Melanie Silvermana, Ran R. Hassinc, Jochen Webera, and Kevin N. Ochsnera,1 aDepartment of Psychology, Columbia University, New York, NY 10027; bDepartment of Psychology, Ben-Gurion University of the Negev, Be’er Sheva 8410501, Israel; and cDepartment of Psychology, The Hebrew University of Jerusalem, Jerusalem 9190501, Israel Edited by Marcia K. Johnson, Yale University, New Haven, CT, and approved July 11, 2016 (received for review January 24, 2016) Can taking the perspective of other people modify our own affective Although no prior work has addressed these questions, per se, responses to stimuli? To address this question, we examined the the literatures on emotion regulation (1, 5–11) and perspective- neurobiological mechanisms supporting the ability to take another taking (12–18) can be integrated to generate testable hypotheses. person’s perspective and thereby emotionally experience the world On one hand, research on emotion regulation has shown that as they would. We measured participants’ neural activity as they activity in lateral prefrontal cortex (i.e., dorsolateral prefrontal attempted to predict the emotional responses of two individuals that cortex and ventrolateral prefrontal cortex) and middle medial differed in terms of their proneness to experience negative affect. prefrontal cortex (i.e., presupplementary motor area, anterior Results showed that behavioral and neural signatures of negative ventral midcingulate cortex, and anterior dorsal midcingulate affect (amygdala activity and a distributed multivoxel pattern reflect- cortex) (19) supports the use of cognitive strategies to modulate ing affective negativity) simulated the presumed affective state of activity in (largely) subcortical systems for triggering affective the target person. -
Theory Development with Agent-Based Models 1
Running head: THEORY DEVELOPMENT WITH AGENT-BASED MODELS 1 Theory Development with Agent-Based Models Paul E. Smaldino Johns Hopkins University Jimmy Calanchini University of California, Davis Cynthia L. Pickett University of California, Davis In press at Organizational Psychology Review Running head: THEORY DEVELOPMENT WITH AGENT-BASED MODELS 2 Abstract Many social phenomena do not result solely from intentional actions by isolated individuals, but rather emerge as the result of repeated interactions among multiple individuals over time. However, such phenomena are often poorly captured by traditional empirical techniques. Moreover, complex adaptive systems are insufficiently described by verbal models. In this paper, we discuss how organizational psychologists and group dynamics researchers may benefit from the adoption of formal modeling, particularly agent-based modeling, for developing and testing richer theories. Agent-based modeling is well-suited to capture multi-level dynamic processes and offers superior precision to verbal models. As an example, we present a model on social identity dynamics used to test the predictions of Brewer’s (1991) optimal distinctiveness theory, and discuss how the model extends the theory and produces novel research questions. We close with a general discussion on theory development using agent-based models. Keywords: group dynamics, agent-based modeling, formal models, optimal distinctiveness, social identity Running head: THEORY DEVELOPMENT WITH AGENT-BASED MODELS 3 Introduction "A mathematical theory may be regarded as a kind of scaffolding within which a reasonably secure theory expressible in words may be built up. ... Without such a scaffolding verbal arguments are insecure." – J.B.S. Haldane (1964) There are many challenges that face group dynamics researchers. -
Modeling Memes: a Memetic View of Affordance Learning
University of Pennsylvania ScholarlyCommons Publicly Accessible Penn Dissertations Spring 2011 Modeling Memes: A Memetic View of Affordance Learning Benjamin D. Nye University of Pennsylvania, [email protected] Follow this and additional works at: https://repository.upenn.edu/edissertations Part of the Artificial Intelligence and Robotics Commons, Cognition and Perception Commons, Other Ecology and Evolutionary Biology Commons, Other Operations Research, Systems Engineering and Industrial Engineering Commons, Social Psychology Commons, and the Statistical Models Commons Recommended Citation Nye, Benjamin D., "Modeling Memes: A Memetic View of Affordance Learning" (2011). Publicly Accessible Penn Dissertations. 336. https://repository.upenn.edu/edissertations/336 With all thanks to my esteemed committee, Dr. Silverman, Dr. Smith, Dr. Carley, and Dr. Bordogna. Also, great thanks to the University of Pennsylvania for all the opportunities to perform research at such a revered institution. This paper is posted at ScholarlyCommons. https://repository.upenn.edu/edissertations/336 For more information, please contact [email protected]. Modeling Memes: A Memetic View of Affordance Learning Abstract This research employed systems social science inquiry to build a synthesis model that would be useful for modeling meme evolution. First, a formal definition of memes was proposed that balanced both ontological adequacy and empirical observability. Based on this definition, a systems model for meme evolution was synthesized from Shannon Information Theory and elements of Bandura's Social Cognitive Learning Theory. Research in perception, social psychology, learning, and communication were incorporated to explain the cognitive and environmental processes guiding meme evolution. By extending the PMFServ cognitive architecture, socio-cognitive agents were created who could simulate social learning of Gibson affordances. -
Manifesto of Computational Social Science R
Manifesto of computational social science R. Conte, N. Gilbert, G. Bonelli, C. Cioffi-Revilla, G. Deffuant, J. Kertesz, V. Loreto, S. Moat, J.P. Nadal, A. Sanchez, et al. To cite this version: R. Conte, N. Gilbert, G. Bonelli, C. Cioffi-Revilla, G. Deffuant, et al.. Manifesto of computational social science. The European Physical Journal. Special Topics, EDP Sciences, 2012, 214, p. 325 - p. 346. 10.1140/epjst/e2012-01697-8. hal-01072485 HAL Id: hal-01072485 https://hal.archives-ouvertes.fr/hal-01072485 Submitted on 8 Oct 2014 HAL is a multi-disciplinary open access L’archive ouverte pluridisciplinaire HAL, est archive for the deposit and dissemination of sci- destinée au dépôt et à la diffusion de documents entific research documents, whether they are pub- scientifiques de niveau recherche, publiés ou non, lished or not. The documents may come from émanant des établissements d’enseignement et de teaching and research institutions in France or recherche français ou étrangers, des laboratoires abroad, or from public or private research centers. publics ou privés. Eur. Phys. J. Special Topics 214, 325–346 (2012) © The Author(s) 2012. This article is published THE EUROPEAN with open access at Springerlink.com PHYSICAL JOURNAL DOI: 10.1140/epjst/e2012-01697-8 SPECIAL TOPICS Regular Article Manifesto of computational social science R. Conte1,a, N. Gilbert2, G. Bonelli1, C. Cioffi-Revilla3,G.Deffuant4,J.Kertesz5, V. Loreto6,S.Moat7, J.-P. Nadal8, A. Sanchez9,A.Nowak10, A. Flache11, M. San Miguel12, and D. Helbing13 1 ISTC-CNR, Italy 2 CRESS, University -
Mechanistic Models in Computational Social Science
Mechanistic Models in Computational Social Science Petter Holme1*, Fredrik Liljeros2 1 Department of Energy Science, Sungkyunkwan University, 440-746 Suwon, Korea 2 Department of Sociology, Stockholm University, 10961 Stockholm, Sweden * Correspondence: Petter Holme, [email protected] Abstract Quantitative social science is not only about regression analysis or, in general, data in- ference. Computer simulations of social mechanisms have an over 60 years long his- tory. Tey have been used for many diferent purposes—to test scenarios, to test the consistency of descriptive theories (proof-of-concept models), to explore emergent phe- nomena, for forecasting, etc. In this essay, we sketch these historical developments, the role of mechanistic models in the social sciences and the infuences from the natural and formal sciences. We argue that mechanistic computational models form a natural common ground for social and natural sciences, and look forward to possible future information fow across the social-natural divide. Background In mainstream empirical social science, a result of a study often consists of two conclu- sions. First, that there is a statistically signifcant correlation between a variable de- scribing a social phenomenon and a variable thought to explain it. Second, that the correlations with other, more basic, or trivial, variables (called control, or confounding, variables) are weaker. Tere has been a trend in recent years to criticize this approach for putting too little emphasis on the mechanisms behind the correlations [Woodward 2014, Salmon 1998, Hedström Ylikoski 2010]. It is often argued that regression analysis (and the linear, additive models they assume) cannot serve as causal explanations of an open system such as usually studied in social science. -
Enhanced Step-By-Step Approach for the Use of Big Data in Modelling for Official Statistics
Enhanced step-by-step approach for the use of big data in modelling for official statistics Dario Buono1, George Kapetanios2, Massimiliano Marcellino3, Gian Luigi Mazzi4, Fotis Papailias5 Paper prepared for the 16th Conference of IAOS OECD Headquarters, Paris, France, 19-21 September 2018 Session 1.A., Day 1, 19/09, 11:00: Use of Big Data for compiling statistics 1 Eurostat, European Commission. Email: [email protected] 2 King’s College London. Email: [email protected] 3 Bocconi University. Email: [email protected] 4 GOPA. Email: [email protected] 5 King’s College London. Email: [email protected] Dario Buono [email protected], European Commission George Kapetanios [email protected] King’s College London Massimiliano Marcellino [email protected] Bocconi University Gian Luigi Mazzi [email protected] GOPA Fotis Papailias [email protected] King’s College London Enhanced step-by-step approach for the use of big data in modelling for official statistics DRAFT VERSION DD/MM/2018 PLEASE DO NOT CITE (optional) Prepared for the 16th Conference of the International Association of Official Statisticians (IAOS) OECD Headquarters, Paris, France, 19-21 September 2018 Note (optional): This Working Paper should not be reported as representing the views of the Author organisation/s. The views expressed are those of the author(s). ABSTRACT In this paper we describe a step-by-step approach for the use of big data in nowcasting exercises and, possibly, in the construction of high frequency and new indicators. We also provide a set of recommendations associated to each step which are based on the outcome of the other tasks of the project as well as on the outcome of the previous project on big data and macroeconomic nowcasting.