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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

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    File URL: http://econpapers.repec.org/paper/aubautbar/637.05.htm
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    Bibliographic Info

    Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2005 with number 445.

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    Date of creation: 11 Nov 2005
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    Handle: RePEc:sce:scecf5:445

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    Keywords: parallel computing; maximum likelihood; GMM; Monte Carlo;

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    Cited by:
    1. 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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