Computationally-intensive Econometrics using a Distributed Matrix-programming Language

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Computationally-intensive Econometrics using a Distributed Matrix-programming Language

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Jurgen A. Doornik () (Nuffield College)
David F. Hendry () (Nuffield College)
Neil Shephard () (Nuffield College)

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Abstract

This paper reviews the need for powerful facilities in econometrics, focusing on concrete problems which arise in financial economics and in macroeconomics. We argue that the profession is being held back by the lack of easy to use generic software which is able to exploit the availability of cheap clusters of distributed computers. Our response is to extend, in a number of directions, the well known matrix-programming interpreted language Ox developed by the first author. We note three possible levels of extensions: (i) Ox with parallelization explicit in the Ox code; (ii) Ox with a parallelized run-time library; (iii) Ox with a parallelized interpreter. This paper studies and implements the first case, emphasizing the need for deterministic computing in science. We give examples in the context of financial economics and time-series modelling.

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Paper provided by Economics Group, Nuffield College, University of Oxford in its series Economics Papers with number 2001-W22.

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Length: 23 pages
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Handle: RePEc:nuf:econwp:0122

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This paper has been announced in the following NEP Reports:

NEP-ALL-2001-12-14 (All new papers)
NEP-CMP-2001-12-14 (Computational Economics)

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Full references

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.)

Michael Creel, 2005. "User-Friendly Parallel Computations with Econometric Examples," UFAE and IAE Working Papers 637.05, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC). [Downloadable!]
Other versions:
- Michael Creel, 2005. "User-Friendly Parallel Computations with Econometric Examples," Computing in Economics and Finance 2005 445, Society for Computational Economics. [Downloadable!]
- Michael Creel, 2005. "User-Friendly Parallel Computations with Econometric Examples," Computational Economics, Springer, vol. 26(2), pages 107-128, October. [Downloadable!] (restricted)
Christopher Ferrall, 2003. "Solving Finite Mixture Models in Parallel," Computational Economics 0303003, EconWPA. [Downloadable!]

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