Maximum Likelihood Estimation Using Parallel Computing: An Introduction to MPI

UNCG Author/Contributor (non-UNCG co-authors, if there are any, appear on document)
Christopher A. Swann, Associate Professor (Creator)
Institution
The University of North Carolina at Greensboro (UNCG )
Web Site: http://library.uncg.edu/

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.

Additional Information

Publication
Computational Economics, 19(2), 145-178
Language: English
Date: 2002
Keywords
parallel computing, parallel programming, MPI, maximum likelihood estimation

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