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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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Bibliographic Info

Article provided by Society for Computational Economics in its journal Computational Economics.

Volume (Year): 26 (2005)
Issue (Month): 2 (October)
Pages: 107-128

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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;

References

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  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.
  2. Racine, Jeff, 2002. "Parallel distributed kernel estimation," Computational Statistics & Data Analysis, Elsevier, vol. 40(2), pages 293-302, August.
  3. Swann, Christopher A, 2002. "Maximum Likelihood Estimation Using Parallel Computing: An Introduction to MPI," Computational Economics, Society for Computational Economics, vol. 19(2), pages 145-78, April.
  4. Tauchen, George E. & Gallant, A. Ronald, 1995. "Which Moments to Match," Working Papers 95-20, Duke University, Department of Economics.
  5. Michael Creel, 2005. "ParallelKnoppix," Grecs Computer Code 003.05, Research Group in Computation and Simulations (GRECS).
  6. 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.
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Citations

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Cited by:
  1. Kyle Klein & Julian Neira, 2014. "Nelder-Mead Simplex Optimization Routine for Large-Scale Problems: A Distributed Memory Implementation," Computational Economics, Society for Computational Economics, vol. 43(4), pages 447-461, April.
  2. Sergei Morozov & Sudhanshu Mathur, 2012. "Massively Parallel Computation Using Graphics Processors with Application to Optimal Experimentation in Dynamic Control," Computational Economics, Society for Computational Economics, vol. 40(2), pages 151-182, August.
  3. Matt Dziubinski & Stefano Grassi, 2014. "Heterogeneous Computing in Economics: A Simplified Approach," Computational Economics, Society for Computational Economics, vol. 43(4), pages 485-495, April.
  4. Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2013. "Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo Matlab Toolbox," Working Papers 2013:08, Department of Economics, University of Venice "Ca' Foscari".
  5. Michael Creel & William Goffe, 2008. "Multi-core CPUs, Clusters, and Grid Computing: A Tutorial," Computational Economics, Society for Computational Economics, vol. 32(4), pages 353-382, November.
  6. Michael S. Delgado & Christopher F. Parmeter, 2013. "Embarrassingly Easy Embarrassingly Parallel Processing in R: Implementation and Reproducibility," Working Papers 2013-06, University of Miami, Department of Economics.
  7. 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.
  8. Lilia Maliar, 2013. "Assessing gains from parallel computation on supercomputers," Working Papers. Serie AD 2013-10, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  9. Morozov, Sergei & Mathur, Sudhanshu, 2009. "Massively parallel computation using graphics processors with application to optimal experimentation in dynamic control," MPRA Paper 30298, University Library of Munich, Germany, revised 04 Apr 2011.
  10. Michael Creel, 2008. "Using Parallelization to Solve a Macroeconomic Model: A Parallel Parameterized Expectations Algorithm," Computational Economics, Society for Computational Economics, vol. 32(4), pages 343-352, November.
  11. Simon Peters & Ken Clark & Pascal Ekin & Anja Le Blanc & Stephen Pickles, 2007. "Grid Enabling Empirical Economics: A Microdata Application," Computational Economics, Society for Computational Economics, vol. 30(4), pages 349-370, November.
  12. Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2013. "Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox," Tinbergen Institute Discussion Papers 13-055/III, Tinbergen Institute, revised 25 Jul 2014.
  13. Donghoon Lee & Matthew Wiswall, 2007. "A Parallel Implementation of the Simplex Function Minimization Routine," Computational Economics, Society for Computational Economics, vol. 30(2), pages 171-187, September.
  14. 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.
  15. 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.

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