University of Wisconsin Professor Selects
the IMSL® Fortran Library for
Economics Research
IMSL Fortran Library Case Study
“When I first moved from a MATLAB environment to Fortran, the IMSL Fortran Library sped up the
transition considerably. Today it continues to be a useful tool as part of my numerical modeling
development.”
INDUSTRY:
Education
Dr. Rasmus Lentz
Professor, Dept. of Economics
University of Wisconsin
Quick Facts
APPLICATION:
Research and teaching
■■
PRODUCT:
IMSL Fortran Library
■■
The Department of Economics at
the University of Wisconsin offers
both graduate and undergraduate
opportunities. Professors and staff
teach and do research in seven
fields of study: microeconomic
theory, econometrics, industrial
organization, international
economics, labor economics, macro/
monetary economics and public
economics.
KEY BENEFITS
Professor of Economics wanted to transition to Fortran to be able to write applications that performed
faster than ones written in higher-level languages
Selected the IMSL Fortran Library to facilitate a fast transition from a high-level programming
environment to Fortran
■■
Multiple functions in the IMSL Fortran Library add to or augment procedures used for economics research
The Problem
Dr. Rasmus Lentz in the Department of Economics at the University of Wisconsin does research in the fields
of macroeconomics, microeconomics and labor economics, and teaches graduate and undergraduate labor
courses.
To help with his research as a graduate student, Dr. Lentz decided to transition some of his economics projects and applications from high-level MATLAB and Gauss programming environments to Fortran, despite
not being an expert in Fortran at the time. “I wanted to be able to write applications that executed faster
than ones written in higher-level languages and Fortran is an excellent language for that,” said Dr. Lentz. At
the same time, Dr. Lentz did not want to sacrifice the ability the higher-level languages gave him to quickly
■■
Fast transition from MATLAB and Gauss to Fortran
create prototypes and application code.
■■
Easy prototyping of economics applications
The Solution
■■
Pre-built mathematical models in
the IMSL Fortran Library help solve
many numeric problems
As a graduate student at Northwestern University, Dr. Lentz had discovered that the IMSL Fortran Library
could help with his transition to Fortran while still enabling him to quickly develop prototypes and application code. “The IMSL Library is a great transition tool and helped me quickly move my projects and applications to Fortran; and that was without me having experience with Fortran at the time,” noted Dr. Lentz. “It
was much faster for me to use procedures from the IMSL Fortran Library than create those same procedures
on my own,” he added.
Today, several years later at the University of Wisconsin, Dr. Lentz still finds the IMSL Fortran Library a useful
tool, especially in the early stages of his economics projects. “When I’m in the early development stages of
IMSL Fortran Library Case Study
models or applications, I can quickly make a call to the IMSL Library and put a prototype together to test
out ideas without getting bogged down with minute Fortran programming details.”
For many of his research projects, especially in the labor economics area, Dr. Lentz requires solutions to
problems that must be solved numerically.
One example is work Dr. Lentz did on the impact of personal savings and earnings potential on the search
intensity of an unemployed worker searching for new employment. The model developed for this work
includes IMSL Fortran Library gradient-based routines and interpolation routines as well as procedures
he developed on his own, and relates a worker’s observed savings, unemployment benefits, and earnings
when employed to observed unemployment durations. The projects showed many results including the
fact that wealthier individuals are observed to experience longer unemployment durations, shown in the
model through a negative relationship between the choice of search intensity and savings. Sample data
from the study, modeling wealth versus wage is shown below.
The results from studies like this example can be
useful to both research and policy communities. The
research community wants to understand data and
explain what is happening in economics and the
world so that economic theory is correct. The policy
community can then use this data to determine the
optimal design for programs such as government
sponsored unemployment insurance.
Estimated Unemployment Hazard Rate
Return on Investment
For many economic problems that are solved mathematically, using computer programs for numerical
solutions is important. “Tools like the IMSL Fortran Library have a useful role to play,” said Dr. Lentz.
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