User-Friendly Parallel Computations with Econometric Examples

Authors:
Michael Creel
Affiliations:
Department of Economics and Economic History, Edifici B, Universitat Autònoma de Barcelona, Bellaterra, Barcelona, Spain 08193
Venue:
Computational Economics
Year:
2005

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Abstract

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.