FAH3456 Simulation Methods in Econometrics 7.5 credits

Simuleringsmetoder i ekonometri

Offering and execution

Course offering missing for current semester as well as for previous and coming semesters

Course information

Content and learning outcomes

Course contents *

The development of simulation-based estimators, along with the evolution of computational power, now allows the researcher to flexible formulate the a structural model based on micro-economic theory and estimate the structural model without relying on reduced form econometric models. The aim of this course is to introduce simulation methods to estimate such flexile discrete choice econometric models.

In this course we will focus on econometrics with limited dependent variables. This include, but is not limited to, discrete choice econometrics. As such, we will cover econometric methods that are a crucial part of the scientific toolbox in transportation research, but also in many other fields such as psychology, environmental economics and labour economics.

The course includes theory for random utility economics, maximum likelihood estimation, logit, probit, censored probit, spatial probit, simulated method of moments, simulated maximum likelihood, method of simulated scores, and introduction to Bayesian methods, Metropolis-Hastings and Gibbs sampling, dynamic discrete choice models including dynamic programming models.

Intended learning outcomes *

After completing the course the student should be able to

  • formulate an appropriate and flexible discrete choice econometrics designed for a given problem at hand
  • estimate a standard discrete choice econometric model using standard econometric software
  • formulate an appropriate discrete choice econometric model, choose an appropriate estimator and estimate such a model, using high level programming language and mathematical software libraries
  • understand the trade-offs between statistical and computational efficiency and take informed decisions of choosing an appropriate estimator for a given problem
  • choose a reduced form or structural econometric model for a given research question
  • choose and apply basic bootstrap techniques

Course Disposition

No information inserted

Literature and preparations

Specific prerequisites *

AH2304 or similar

Recommended prerequisites

No information inserted

Equipment

No information inserted

Literature

Train, K., 2009 (second edition), Discrete Choice Methods with Simulation.
Cambridge University Press.
Rossi, P.E., Allenby, G.M., and McCulloch, R., 2005, Bayesian Statistics and
Marketing, Wiley & Sons Ltd, ISBN 978-0-470863-67-1
Gourieroux, C., Monfort, A., 1996, Simulation based econometric methods.
Renfro, C.G. (editor), Computational Econometrics, 2004, IOS Press, ISBN 1
58603 421 X
KOPPS Kursplan FAH3456 HT11 utgåva 1 https://app.kth.se/kopps/admin/courses/FAH3456/versionNumber/1/pla...
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Examination and completion

Grading scale *

P, F

Examination *

    Based on recommendation from KTH’s coordinator for disabilities, the examiner will decide how to adapt an examination for students with documented disability.

    The examiner may apply another examination format when re-examining individual students.

    P/F

    Other requirements for final grade *

    Term paper 4,0 Cr

    Written exam 3,5 Cr

    Opportunity to complete the requirements via supplementary examination

    No information inserted

    Opportunity to raise an approved grade via renewed examination

    No information inserted

    Examiner

    Anders Karlström

    Further information

    Course web

    No information inserted

    Offered by

    ABE/Systems Analysis and Economics

    Main field of study *

    No information inserted

    Education cycle *

    Third cycle

    Add-on studies

    No information inserted

    Contact

    Anders Karlström, anders.karlstrom@abe.kth.se

    Ethical approach *

    • All members of a group are responsible for the group's work.
    • In any assessment, every student shall honestly disclose any help received and sources used.
    • In an oral assessment, every student shall be able to present and answer questions about the entire assignment and solution.

    Postgraduate course

    Postgraduate courses at ABE/Systems Analysis and Economics