Two-stage least squares and indirect least squares algorithms for simultaneous equations models

Authors:
Jose J. López-Espín;Antonio M. Vidal;Domingo Giménez
Affiliations:
Centro de Investigación Operativa, Universidad Miguel Hernández, 03202 Elche, Spain;Departamento de Sistemas Informáticos y Computación, Universidad Politécnica de Valencia, 46022 Valencia, Spain;Departamento de Informática y Sistemas, Universidad de Murcia, 30071 Murcia, Spain
Venue:
Journal of Computational and Applied Mathematics
Year:
2012

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Abstract

This paper analyzes the solution of simultaneous equations models. Efficient algorithms for the two-stage least squares method using QR-decomposition are developed and studied. The reduction of the execution time when the structure of the matrices in each equation is exploited is analyzed theoretically and experimentally. An efficient algorithm for the indirect least squares method is developed. Some techniques are used to accelerate the solution of the problem: parallel versions for multicore systems, and extensive use of the MKL library, thus obtaining efficient, portable versions of the algorithms.