Computational Economics

, Volume 26, Issue 2, pp 107–128 | Cite as

User-Friendly Parallel Computations with Econometric Examples

  • Michael CreelEmail author


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.

Key words

bootstrapping GMM kernel regression maximum likelihood Monte Carlo parallel computing 


Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.


  1. Bruche, M. (2003). A note on embarassingly parallel computation using OpenMosix and Ox, working paper, Financial Markets Group, London School of Economics.Google Scholar
  2. Creel, M. (2004a). ParallelKnoppix – rapid deployment of a Linux cluster for MPI parallel processing using non-dedicated computers, UFAE and IAE Working Papers,
  3. Creel, M. (2004b). ParallelKnoppix – ParallelKnoppix tutorial, UFAE and IAE Working Papers,
  4. Doornik, J.A., Hendry, D.F. and Shephard, N. (2002). Computationally-intensive econometrics using a distributed matrix-programming language. Philosophical Transactions of the Royal Society of London, Series A, 360, 1245–1266.Google Scholar
  5. Doornik, J.A., Hendry, D.F. and Shephard, N. (2005). Parallel computation in econometrics: A simplified approach. E. Kontoghiorgies (ed.), Handbook of Parallel Computing and Statistics, Marcel Dekker, New York.Google Scholar
  6. Eaton, J.W. (1998). Octave home page, Scholar
  7. Eddelbuettel, D. (2000). Econometrics with Octave: Software review. Journal of Applied Econometrics, 15, 531–542.CrossRefGoogle Scholar
  8. Fernández Baldomero, J. et al. (2003). Performance of message-passing MATLAB toolboxes, Lecture Notes in Computer Science, Vol. 2565, Springer-Verlag, Heidelberg, pp. 228–241.Google Scholar
  9. Fernández Baldomero, J. et al. (2004). MPI toolbox for Octave, VecPar'04, Valencia, Spain, June 28–30 2004,∼javier/investigacion/papers/VecPar04.pdf.
  10. Fernández Baldomero, J. (2004). LAM/MPI parallel computing under GNU Octave, Scholar
  11. Gallant, A.R. and Tauchen, G. (1996). Which moments to match? Econometric Theory, 12, 657–681.Google Scholar
  12. Gropp, W., Lusk, E., Doss, N. and Skjellum, A. (1996). A high-performance, portable implementation of the MPI message passing interface standard, Parallel Computing, 22, 789–828, see also Scholar
  13. Knopper, K. (undated). KNOPPIX – Live Linux Filesystem on CD, knoppix/index-en.html.Google Scholar
  14. LAM team (2004). LAM/MPI parallel computing, Scholar
  15. Message Passing Interface Forum (1997). MPI-2: Extensions to the message-passing interface, University of Tennessee, Knoxville, Tennessee.Google Scholar
  16. Nagurney, A. (1996). Parallel computation, Handbook of Computational Economics, Vol. 1, pp. 335–404, Elsevier Science, Amsterdam; Handbooks in Economics, Vol. 13, North-Holland, New York and Oxford.Google Scholar
  17. Racine, J. (2002). Parallel distributed kernel estimation. Computational Statistics & Data Analysis, 40, 293–302.Google Scholar
  18. Swann, C.A. (2002). Maximum likelihood estimation using parallel computing: An introduction to MPI. Computational Economics, 19, 145–178.CrossRefGoogle Scholar
  19. Tierney, L. (2003). Simple parallel statistical computing in R,∼luke/talks/uiowa03.pdf.
  20. Yu, H. (2004). The Rmpi package,

Copyright information

© Springer Science + Business Media, Inc. 2005

Authors and Affiliations

  1. 1.Department of Economics and Economic History, Edifici BUniversitat Autònoma de BarcelonaBellaterra, BarcelonaSpain

Personalised recommendations