Computational Economics

, Volume 19, Issue 2, pp 145–178 | Cite as

Maximum Likelihood Estimation Using Parallel Computing: An Introduction to MPI

  • Christopher A. Swann
Article

Abstract

The computational difficulty of econometric problems has increased dramatically in recent years as econometricians examine more complicated models and utilize more sophisticated estimation techniques. Many problems in econometrics are `embarrassingly parallel' and can take advantage of parallel computing to reduce the wall clock time it takes to solve a problem. In this paper I demonstrate a method that can be used to solve a maximum likelihood problem using the MPI message passing library. The econometric problem is a simple multinomial logit model that does not require parallel computing but illustrates many of the problems one would confront when estimating more complicated models.

parallel computing parallel programming MPI maximum likelihood estimation 

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Copyright information

© Kluwer Academic Publishers 2002

Authors and Affiliations

  • Christopher A. Swann
    • 1
  1. 1.Department of EconomicsSUNY-Stony BrookStony BrookU.S.A.

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