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Maximum Likelihood Estimation Using Parallel Computing: An Introduction to MPI

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Author Info
Swann, Christopher A
Abstract

The computational difficulty of econometric problems has increased dramatically in recent years as econometricians examine more complicated models and utilize more sophisticated estimation techniques. Many problems in econometrics are "embarrassingly parallel" and can take advantage of parallel computing to reduce the wall clock time it takes to solve a problem. In this paper I demonstrate a method that can be used to solve a maximum likelihood problem using the MPI message passing library. The econometric problem is a simple multinomial logit model that does not require parallel computing but illustrates many of the problems one would confront when estimating more complicated models. Copyright 2002 by Kluwer Academic Publishers

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Article provided by Springer in its journal Computational Economics.

Volume (Year): 19 (2002)
Issue (Month): 2 (April)
Pages: 145-78
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Handle: RePEc:kap:compec:v:19:y:2002:i:2:p:145-78

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  1. Mathur , Sudhanshu & Morozov, Sergei, 2009. "Massively Parallel Computation Using Graphics Processors with Application to Optimal Experimentation in Dynamic Control," MPRA Paper 16721, University Library of Munich, Germany. [Downloadable!]
  2. Donghoon Lee & Matthew Wiswall, 2007. "A Parallel Implementation of the Simplex Function Minimization Routine," Computational Economics, Springer, vol. 30(2), pages 171-187, September. [Downloadable!] (restricted)
  3. Michael Creel & William Goffe, 2008. "Multi-core CPUs, Clusters, and Grid Computing: A Tutorial," Computational Economics, Springer, vol. 32(4), pages 353-382, November. [Downloadable!] (restricted)
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  4. John Bound & Todd Stinebrickner & Timothy Waidman, 2004. "Using a Structural Retirement Model to Simulate the Effect of Changes to the OASDI and Medicare Programs," Working Papers wp091, University of Michigan, Michigan Retirement Research Center. [Downloadable!]
  5. John Bound & Todd Stinebrickner & Timothy Waidmann, 2007. "Health, Economic Resources and the Work Decisions of Older Men," NBER Working Papers 13657, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  6. Michael Creel, 2005. "User-Friendly Parallel Computations with Econometric Examples," Computational Economics, Springer, vol. 26(2), pages 107-128, October. [Downloadable!] (restricted)
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