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A Note on Julia and MPI, with Code Examples

Listed author(s):
  • Michael Creel

    ()

    (Barcelona Graduate School of Economics, and MOVE)

Abstract This note explains how MPI may be used with the Julia programming language. An example of a simple Monte Carlo study is presented, with code. The code is intended to serve as a general purpose template for more relevant applications. A second example shows how the template code may be adapted to perform a Monte Carlo study of the properties of an approximate Bayesian computing estimator of actual research interest. All of the code is available at https://github.com/mcreel/JuliaMPIMonteCarlo .

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File URL: http://link.springer.com/10.1007/s10614-015-9516-5
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Article provided by Springer & Society for Computational Economics in its journal Computational Economics.

Volume (Year): 48 (2016)
Issue (Month): 3 (October)
Pages: 535-546

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Handle: RePEc:kap:compec:v:48:y:2016:i:3:d:10.1007_s10614-015-9516-5
DOI: 10.1007/s10614-015-9516-5
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  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.
  2. Creel, Michael & Kristensen, Dennis, 2015. "ABC of SV: Limited information likelihood inference in stochastic volatility jump-diffusion models," Journal of Empirical Finance, Elsevier, vol. 31(C), pages 85-108.
  3. Michael Creel & Dennis Kristensen, 2012. "Estimation of dynamic latent variable models using simulated non‐parametric moments," Econometrics Journal, Royal Economic Society, vol. 15(3), pages 490-515, October.
  4. Michael Creel & William Goffe, 2008. "Multi-core CPUs, Clusters, and Grid Computing: A Tutorial," Computational Economics, Springer;Society for Computational Economics, vol. 32(4), pages 353-382, November.
  5. Racine, Jeff, 2002. "Parallel distributed kernel estimation," Computational Statistics & Data Analysis, Elsevier, vol. 40(2), pages 293-302, August.
  6. Swann, Christopher A, 2002. "Maximum Likelihood Estimation Using Parallel Computing: An Introduction to MPI," Computational Economics, Springer;Society for Computational Economics, vol. 19(2), pages 145-178, April.
  7. Michael Creel, 2005. "User-Friendly Parallel Computations with Econometric Examples," Computational Economics, Springer;Society for Computational Economics, vol. 26(2), pages 107-128, October.
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