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Virtual Open Day! 19 November @1PM GMT | Register Now!
Virtual Open Day! 19 November @1PM GMT | Register Now!
10 Credits

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.

Monte Carlo Simulation: Methods and Design
  • 10 Credits
  • 100 hours of study
  • 15 contact hours
  • 85 hours for private study
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Qualifications accredited by Lancaster University
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Buildable Qualifications
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Learn Around
Your Schedule
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World-Class
Faculty
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Fully Online

Structure

Software

Module Programme

Random numbers

Session Content
  • Pseudo random number generation, some experiments using PcNaive

Introduction to Monte Carlo

Session Content
  • Introduction to Monte Carlo experiments in Econometrics; PcNaive

Implementing Monte Carlo

Session Content
  • Designing and implementing Monte Carlo experiments in PcNaive and Ox; parallel computation

Replicating and extending Monte Carlo experiments

Session Content
  • Extending the scope of experiments, replication of some published experiments

Advanced topics and conclusions

Session Content
  • Further uses of Monte Carlo methods, including the bootstrap

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Session Content

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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.

Learning Outcomes

Key Skills
  • 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
Desired Skills
  • 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

Are the courses within either programme conducted synchronously or asynchronously?

All sessions are conducted live and online at a scheduled time, but are also recorded. Students may attend live and watch the recordings back to recap the material or watch the recordings only if unable to attend live. We always advise students to attend live where possible as this will allow them the best opportunity to engage with the content and ask the lecturer's questions.

Is all examination undertaken online or in-person?

All modules are examined through online coursework submissions, you will have the support of your module lecturer/tutor in this poccess.

Do I need to buy any statistical/econometric software?

No, all necessary software is provided to students.

What do I do if I can't attend a course live?

All courses are recorded and available on the LUMS internet platform throughout the current academic year. They can therefore be viewed 24 hours a day.

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.

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