Monte Carlo Simulation: Methods and Design
Monte Carlo Simulation: Methods and Design is an elective 10 credit course and therefore students are expected to input approximately 100 hours of study into the course. The total number of contact hours is 15 hours. This leaves 85 hours for private study.
Delivery
This module consists of 2-hour lectures per day for 5 days, plus a 1-hour tutorial per day. There will be optional clinics on the last day of the course. The dates of each lecture are confirmed closer to the start of each term.
Study Hours
Approximately 100 hours of study, of which 15 are contact hours and 85 are private study.
Software Used
OxMetrics 9
Credits
10 CATS credits
Programme Faculty
Key Outcomes
- —Basic pseudo random number generation, sampling from statistical distributions
- —Basic principles of numerical computation
- —Uses and limitations of Monte Carlo experiments
- —Statistical properties of Monte Carlo experiments
- —Using PcNaive to design experiments for Econometrics
- —Understand the output from PcNaive and bootstrapping
Desired Skills
- —Interpret Monte Carlo results
- —Implement advanced experiments using PcNaive
- —Implement basic experiments in the Ox language, and use parallelization effectively
- —Understand basic principles and limitations of the bootstrap
- —Present, interpret and analyse information in numerical form
- —Understand some of the basic principles of Monte Carlo estimation
Lecture Programme
- WK 01
Lecture 1: Random numbers
- ·Pseudo random number generation, some experiments using PcNaive
- WK 02
Lecture 2: Introduction to Monte Carlo
- ·Introduction to Monte Carlo experiments in Econometrics; PcNaive
- WK 03
Lecture 3: Implementing Monte Carlo
- ·Designing and implementing Monte Carlo experiments in PcNaive and Ox; parallel computation
- WK 04
Lecture 4: Replicating and extending Monte Carlo experiments
- ·Extending the scope of experiments, replication of some published experiments
- WK 05
Lecture 5: Advanced topics and conclusions
- ·Further uses of Monte Carlo methods, including the bootstrap
Assessment
Online coursework submission with the support of your module lecturer and tutor. All sessions are conducted live online at a scheduled time and recorded for review.