ECONOMICS 951
NUMERICAL METHODS FOR
ECONOMICS AND ECONOMETRICS

Assignment 1.2

  1. Read Chapter II.
  2. Write a function imilla(const b) which returns lambda(d) = E[z | z > d] that is defined in equation (3) using Ox's normal density and distribution functions, densn(const ma) and probn(const ma)
  3. Write a function imillmb(const d, const seed, const nrepl) which returns an estimate of lambda(d) using Monte Carlo integration. For d=1.96 find the value of nrepl which makes the difference between imillmb and imilla less than 1 x 106.
    4.  
  4. Write a function imillc(const d, const m) which returns an estimate of lambda(d) using trapezoid integration for both integrals and a change of variables to handle the improper integrals. Graph the precision of imillc to imilla as a function of m.
    5.