Parallelization experience with four canonical econometric models using ParMitISEM

N. Baştürk, S. Grassi, L. Hoogerheide, H.K. van Dijk

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Abstract

This paper presents the parallel computing implementation of the MitISEM algorithm, labeled Parallel MitISEM. The basic MitISEM algorithm, introduced by Hoogerheide et al. (2012), provides an automatic and flexible method to approximate a non-elliptical target density using adaptive mixtures of Student-t densities, where only a kernel of the target density is required. The approximation can be used as a candidate density in Importance Sampling or Metropolis Hastings methods for Bayesian inference on model parameters and probabilities. We present and discuss four canonical econometric models using a Graphics Processing Unit and a multi-core Central Processing Unit version of theMitISEM algorithm. The results show that the parallelization of the MitISEM algorithm on Graphics Processing Units and multi-core Central Processing Units is straightforward and fast to program using MATLAB. Moreover the speed performance of the Graphics Processing Unit version is much higher than the Central Processing Unit one.
Original languageEnglish
Place of PublicationMaastricht
PublisherMaastricht University, Graduate School of Business and Economics
Number of pages24
Publication statusPublished - 1 Jan 2016

Publication series

SeriesGSBE Research Memoranda
Number013

Cite this

Baştürk, N., Grassi, S., Hoogerheide, L., & van Dijk, H. K. (2016). Parallelization experience with four canonical econometric models using ParMitISEM. Maastricht University, Graduate School of Business and Economics. GSBE Research Memoranda, No. 013