Advanced Computational Economics
Advanced Computational Economics
Block course, September 29th – October 10th 2025
General note: Please make sure you enrol for the course via wuestudy by 23 September 2025 in order to receive the digital lecture notes as a .pdf file.
The MA/PhD course "Advanced Computational Economics" will be taught over two weeks in September/October 2025. The lecture will take place from 9:00 to 12:30 and the exercise class from 14:00 to 17:00, both in room 319. The aim of the course is to introduce students to state-of-the-art computational techniques for quantitative economic research. Using the FORTRAN programming language, students will learn to apply numerical solution techniques to mathematical problems and economic models that cannot be solved analytically.
There are no prerequisites for the course. However, some programming experience in another language will be an advantage. For those without programming experience, participation in the undergraduate course Computational Economics is recommended. Of course, an alternative is to work through the first chapter of Fehr and Kindermann (2018) (which provides an introduction to FORTRAN).
In the following, the course content, structure and timeline, the course material, as well as requirements to complete the course successfully are explained in more detail. The course combines 10 days of intensive lectures and exercise classes. Students need to bring their own computer to lectures and exercise classes. We encourage you to download the free programming language FORTRAN and other material from our website
on your computer before the first class starts. In case of problems, we will help you with the installation in the first class of the course. Then you will learn to write code and solve simple numerical exercises in FORTRAN. On this basis we can study the theoretical structure of various economic models and implement these models in FORTRAN.
On the last day of the course, you will be given a programming exercise to solve on your own. In this exercise you will be given a FORTRAN code containing a number of programming errors. You will have to correct these errors, write a short comment and run the code.
Once you have (hopefully) passed this first part of the exam, you will have to prepare an assignment in which you will code in FORTRAN in a team of 2-3 people. You will have about two weeks to work on this assignment, and after (hopefully) passing this second part as well, the average of these two marks will be your final mark. However, you must pass both tests to complete the course successfully.
Daily time schedule for classes:
9:00-10:30 & 11:00-12:30 - Lecture class, where the specific material is explained.
14:00-17:00 - Exercise class, where you code by yourself.
Both classes take place in room 319. The course starts at 9am sharp on 29 September - not (!) 15 minutes past 9am. Please note, that it is absolutely necessary to attend the lecture classes in order to handle the exercises!
If there is an exam on a particular day, we will try to reorganize the schedule. Each student will receive a free set of lecture notes in the first lecture. The material can (and should) be studied before attending the lecture.
Detailed course plan:
Day 1: Introduction to Fortran 90
Day 2: Numerical Solution Methods
Day 3: Numerical Solution Methods
Day 4: Indroduction to Dynamic Programming
Weekend: Prepare for the upcoming week. Repeat the discussed topics.
Day 5: Dynamic Programming: Value Functions and policy function
Day 6: Dynamic Macro I: Infinity horizon
Day 7: Life cycle models and risk: Labor supply and saving
Day 8: Exercise classes
Day 9: Programming exercise
More information, advanced study or preparation:
In case you need more information, want to prepare in advance or study additional material, you can consult selected chapters of the following book, which you can find in the library:
Hans Fehr and Fabian Kindermann (2018): Introduction to computational economics using Fortran, Oxford: Oxford University Press.
