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Computationally-intensive Econometrics using a Distributed Matrix-programming Language

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Abstract

This paper reviews the need for powerful facilities in econometrics, focusing on concrete problems which arise in financial economics and in macroeconomics. We argue that the profession is being held back by the lack of easy to use generic software which is able to exploit the availability of cheap clusters of distributed computers. Our response is to extend, in a number of directions, the well known matrix-programming interpreted language Ox developed by the first author. We note three possible levels of extensions: (i) Ox with parallelization explicit in the Ox code; (ii) Ox with a parallelized run-time library; (iii) Ox with a parallelized interpreter. This paper studies and implements the first case, emphasizing the need for deterministic computing in science. We give examples in the context of financial economics and time-series modelling.

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  • Jurgen A. Doornik & David F. Hendry & Neil Shephard, "undated". "Computationally-intensive Econometrics using a Distributed Matrix-programming Language," Economics Papers 2001-W22, Economics Group, Nuffield College, University of Oxford.
    • Handle: RePEc:nuf:econwp:0122
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    File URL: http://www.nuff.ox.ac.uk/economics/papers/2001/w22/hpc20013.pdf
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    Cited by:

    1. Jurgen A. Doornik & Neil Shephard & David F. Hendry, 2004. "Parallel Computation in Econometrics: A Simplified Approach," Economics Papers 2004-W16, Economics Group, Nuffield College, University of Oxford.
    2. Christopher Ferrall, 2003. "Solving Finite Mixture Models in Parallel," Computational Economics 0303003, University Library of Munich, Germany.
    3. 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.
    4. Michael Creel, 2005. "User-Friendly Parallel Computations with Econometric Examples," UFAE and IAE Working Papers 637.05, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).

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    Keywords

    Distributed computing; Econometrics; High-performance computing; Matrix-programming language;
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