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User-Friendly Parallel Computations with Econometric Examples

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Author Info
Michael Creel
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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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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Related research
Keywords: parallel computing; maximum likelihood; GMM; Monte Carlo;

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Find related papers by JEL classification:
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
C63 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Computational Techniques

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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. Michael D. Creel & Montserrat Farell, 2001. "Likelihood-Based Approaches to Modeling Demand for Medical Care," UFAE and IAE Working Papers 498.01, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC). [Downloadable!]
  2. 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)
  3. Michael Creel, 2005. "ParallelKnoppix," Grecs Computer Code 003.05, Research Group in Computation and Simulations (GRECS). [Downloadable!]
  4. Gallant, A. Ronald & Tauchen, George, 1996. "Which Moments to Match?," Econometric Theory, Cambridge University Press, vol. 12(04), pages 657-681, October. [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. Cameron, A Colin & Johansson, Per, 1997. "Count Data Regression Using Series Expansions: With Applications," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(3), pages 203-23, May-June. [Downloadable!]
  7. repec:cup:etheor:v:12:y:1996:i:4:p:657-81 is not listed on IDEAS
  8. Tauchen, George E. & Gallant, A. Ronald, 1995. "Which Moments to Match," Working Papers 95-20, Duke University, Department of Economics.
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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. 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!]
    Other versions:
  3. 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)
  4. 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:
  5. 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!]
  6. 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)
  7. 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)
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