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Econometrics on GPUs

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  • Michael Creel
  • Sonik Mandal
  • Mohammad Zubair

Abstract

A graphical processing unit (GPU) is a hardware device normally used to manipulate computer memory for the display of images. GPU computing is the practice of using a GPU device for scientific or general purpose computations that are not necessarily related to the display of images. Many problems in econometrics have a structure that allows for successful use of GPU computing. We explore two examples. The first is simple: repeated evaluation of a likelihood function at different parameter values. The second is a more complicated estimator that involves simulation and non parametric fitting. We find speedups from 1.5 up to 55.4 times, compared to computations done on a single CPU ore. These speedups an be obtained with very little expense, energy consumption, and time dedicated to system maintenance, compared to equivalent performance solutions using CPUs. Code for the examples is provided.

Suggested Citation

  • Michael Creel & Sonik Mandal & Mohammad Zubair, "undated". "Econometrics on GPUs," Working Papers 669, Barcelona Graduate School of Economics.
  • Handle: RePEc:bge:wpaper:669
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    References listed on IDEAS

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    More about this item

    Keywords

    parallel computing; graphical processing unit; GPU; econometrics; simulation-based methods; Bayesian estimation;

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models

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