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User-Friendly Parallel Computations with Econometric Examples

  • Michael Creel

    ()

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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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
Contact details of provider: Web page: http://www.springerlink.com/link.asp?id=100248

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  1. Racine, Jeff, 2002. "Parallel distributed kernel estimation," Computational Statistics & Data Analysis, Elsevier, vol. 40(2), pages 293-302, August.
  2. Gallant, A. Ronald & Tauchen, George, 1996. "Which Moments to Match?," Econometric Theory, Cambridge University Press, vol. 12(04), pages 657-681, October.
  3. Michael Creel, 2005. "ParallelKnoppix," Grecs Computer Code 003.05, Research Group in Computation and Simulations (GRECS).
  4. 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.
  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.
  6. 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.
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