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User-Friendly Parallel Computations with Econometric Examples

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Michael Creel ()

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Abstract

This paper shows how a high-level matrix programming language may be used to perform Monte Carlo simulation, bootstrapping, estimation by maximum likelihood and GMM, and kernel regression in parallel on symmetric multiprocessor computers or clusters of workstations. The implementation of parallelization is done in a way such that an investigator may use the programs without any knowledge of parallel programming. A bootable CD that allows rapid creation of a cluster for parallel computing is introduced. Examples show that parallelization can lead to important reductions in computational time. Detailed discussion of how the Monte Carlo problem was parallelized is included as an example for learning to write parallel programs for Octave. Copyright Springer Science + Business Media, Inc. 2005

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File URL: http://hdl.handle.net/10.1007/s10614-005-6868-2
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Publisher Info
Article provided by Springer in its journal Computational Economics.

Volume (Year): 26 (2005)
Issue (Month): 2 (October)
Pages: 107-128
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:kap:compec:v:26:y:2005:i:2:p:107-128

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Web page: http://www.springerlink.com/link.asp?id=100248

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Related research
Keywords: bootstrapping; GMM; kernel regression; maximum likelihood; Monte Carlo; parallel computing;

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Nagurney, Anna, 1996. "Parallel computation," Handbook of Computational Economics, in: H. M. Amman & D. A. Kendrick & J. Rust (ed.), Handbook of Computational Economics, edition 1, volume 1, chapter 7, pages 335-404 Elsevier. [Downloadable!] (restricted)
  2. Michael Creel, 2005. "ParallelKnoppix," Grecs Computer Code 003.05, Research Group in Computation and Simulations (GRECS). [Downloadable!]
  3. Gallant, A. Ronald & Tauchen, George, 1996. "Which Moments to Match?," Econometric Theory, Cambridge University Press, vol. 12(04), pages 657-681, October. [Downloadable!]
  4. Swann, Christopher A, 2002. "Maximum Likelihood Estimation Using Parallel Computing: An Introduction to MPI," Computational Economics, Springer, vol. 19(2), pages 145-78, April. [Downloadable!]
  5. Jurgen A. Doornik & David F. Hendry & Neil Shephard, . "Computationally-intensive Econometrics using a Distributed Matrix-programming Language," Economics Papers 2001-W22, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
  6. Racine, Jeff, 2002. "Parallel distributed kernel estimation," Computational Statistics & Data Analysis, Elsevier, vol. 40(2), pages 293-302, August. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  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)
    Other versions:
  4. Michael Creel, 2008. "Using Parallelization to Solve a Macroeconomic Model: A Parallel Parameterized Expectations Algorithm," Computational Economics, Springer, vol. 32(4), pages 343-352, November. [Downloadable!] (restricted)
  5. Michael Creel, 2008. "Estimation of Dynamic Latent Variable Models Using Simulated Nonparametric Moments," UFAE and IAE Working Papers 725.08, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), revised 02 Jun 2008. [Downloadable!]
  6. Michael Creel, 2009. "A Data Mining Approach to Indirect Inference," UFAE and IAE Working Papers 788.09, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), revised 25 Oct 2009. [Downloadable!]
  7. Simon Peters & Ken Clark & Pascal Ekin & Anja Le Blanc & Stephen Pickles, 2007. "Grid Enabling Empirical Economics: A Microdata Application," Computational Economics, Springer, vol. 30(4), pages 349-370, November. [Downloadable!] (restricted)
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