Template-type: ReDIF-Paper 1.0
Author-Name: Jurgen A. Doornik
Author-Email: jurgen.doornik@nuffield.ox.ac.uk
Author-Workplace-Name: Nuffield College, University of Oxford
Author-Name:  Neil Shephard
Author-Email: neil.shephard@nuffield.ox.ac.uk
Author-Workplace-Name: Nuffield College, University of Oxford
Author-Name:  David F. Hendry
Author-Email: david.hendry@economics.ox.ac.uk
Author-Workplace-Name: Nuffield College, University of Oxford
Title: Parallel Computation in Econometrics: A Simplified Approach
Abstract: Parallel computation has a long history in econometric computing,
but is not at all wide spread. We believe that a major impediment is the 
labour cost of coding for parallel architectures. Moreover, programs for 
specific hardware often become obsolete quite quickly. Our approach is to 
take a popular matrix programming language (Ox), and implement a message-passing 
interface using MPI. Next, object-oriented programming allows us to hide the 
specific parallelization code, so that a program does not need to be rewritten 
when it is ported from the desktop to a distributed network of computers. Our 
focus is on so-called embarrassingly parallel computations, and we address the 
issue of parallel random number generation.
Keywords: Code optimization; Econometrics; High-performance computing; 
Matrix-programming language; Monte Carlo; MPI; Ox; Parallel computing; 
Random number generation. 
Length: 32 pages
Creation-Date:2004-01-30
Number: 2004-W16
File-URL: http://www.nuff.ox.ac.uk/economics/papers/2004/w16/JADDFHNSHandbook.pdf
File-Format: application/pdf
Handle: RePEc:nuf:econwp:0416