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Monte Carlo Simulation: Methods and Design
The purpose of this course is to provide students with an introduction to Monte Carlo methods as used in econometrics. Most research papers use Monte Carlo, and we aim to understand its use and limitations. We use the Oxlanguage to understand and create Monte Carlo experiments. Ox is an object-oriented matrix programming language with a mathematical and statistical function library, developed by Dr Jurgen Doornik and widely used in different econometrics specialisations.
This module can be taken on its own for a PG Certificate of achievement as part of a PG Certificate, PG Diploma or Full Masters Program.
- 10 Credits
- 100 hours of study
- 15 contact hours
- 85 hours for private study
Faculty
Structure
Structure
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.
Lectures
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. If you have any questions about dates, please contact edu@timberlake.co.uk.
Module Programme
Random numbers
- Pseudo random number generation, some experiments using PcNaive
Introduction to Monte Carlo
- Introduction to Monte Carlo experiments in Econometrics; PcNaive
Implementing Monte Carlo
- Designing and implementing Monte Carlo experiments in PcNaive and Ox; parallel computation
Replicating and extending Monte Carlo experiments
- Extending the scope of experiments, replication of some published experiments
Advanced topics and conclusions
- Further uses of Monte Carlo methods, including the bootstrap
Prerequisites
English Language Requirements
Both Programmes are open to applicants anywhere in the world. We may ask applicants to provide a recognised English language qualification, dependent upon their nationality and where they have studied/worked previously.
The requirement is an IELTS (Academic) Test with an overall score of at least 6.5, and a minimum of 6.0 in each element of the test. We will also consider other English language qualifications. If their score is below our requirements, they may be eligible for one of Lancaster University's pre-sessional English language programmes.
Academic Requirements
Applicants to the Postgraduate Certificate of Achievement, Postgraduate Certificate, Postgraduate Diploma or full MSc in either programme require either an upper second-class degree in economics, econometrics or related subjects.
Module Requirements
'Module Requirements' - for some modules they must have first completed other modules, for example for this course students must first complete 'Foundations of Econometrics"
Learning 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● Bootstrapping
- Interpret Monte Carlo results
- Implement advanced experiments using PcNaive
- Implement basic experiments in the Ox language, and use parallelizationeffectively
- 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
Frequently Asked Questions
I am very pleased with the MSc programme. As I had already taken some Timberlake courses, I knew what to expect with regard to the quality of teaching and I was not disappointed. I am so satisfied with the lecturers. It is a privilege to attend their lectures and take advantage of their expertise. Apart from that, they are always ready and willing to clarify doubts.
I am very pleased with the MSc programme. As I had already taken some Timberlake courses, I knew what to expect with regard to the quality of teaching and I was not disappointed. I am so satisfied with the lecturers. It is a privilege to attend their lectures and take advantage of their expertise. Apart from that, they are always ready and willing to clarify doubts.
I am very pleased with the MSc programme. As I had already taken some Timberlake courses, I knew what to expect with regard to the quality of teaching and I was not disappointed. I am so satisfied with the lecturers. It is a privilege to attend their lectures and take advantage of their expertise. Apart from that, they are always ready and willing to clarify doubts.
I am very pleased with the MSc programme. As I had already taken some Timberlake courses, I knew what to expect with regard to the quality of teaching and I was not disappointed. I am so satisfied with the lecturers. It is a privilege to attend their lectures and take advantage of their expertise. Apart from that, they are always ready and willing to clarify doubts.
I am very pleased with the MSc programme. As I had already taken some Timberlake courses, I knew what to expect with regard to the quality of teaching and I was not disappointed. I am so satisfied with the lecturers. It is a privilege to attend their lectures and take advantage of their expertise. Apart from that, they are always ready and willing to clarify doubts.
I am very pleased with the MSc programme. As I had already taken some Timberlake courses, I knew what to expect with regard to the quality of teaching and I was not disappointed. I am so satisfied with the lecturers. It is a privilege to attend their lectures and take advantage of their expertise. Apart from that, they are always ready and willing to clarify doubts.
A Collaboration Like No Other
Timberlake Consultants and Lancaster University Management School (LUMS) Economics department have a longstanding partnership; combining 40+ years of industry expertise with over 50 years of academic excellence. We are delighted to build on this with our micro-credential postgraduate courses.
Flexible learning
Online postgraduate courses
Specialist courses
Best-in-field experts
Tailored learning
Career-oriented education
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Flexible learning
Online postgraduate courses
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Best-in-field experts
Tailored learning
Career-oriented education