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Related Experiment Videos

Computationally intensive econometrics using a distributed matrix-programming language.

Jurgen A Doornik1, David F Hendry, Neil Shephard

  • 1Nuffield College, University of Oxford, Oxford OX1 1NF, UK. jurgen.doornik@nuffield.ox.ac.uk

Philosophical Transactions. Series A, Mathematical, Physical, and Engineering Sciences
|June 14, 2003
PubMed
Summary

Econometric research requires powerful computing. This study extends the Ox programming language to enable parallelized computation on distributed computers, addressing limitations in financial and macroeconomic modeling.

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Area of Science:

  • Econometrics
  • Computational Economics
  • Financial Econometrics

Background:

  • Econometrics research is hindered by insufficient accessible software for high-performance computing.
  • Current tools do not effectively leverage distributed computing clusters for complex economic analyses.
  • Financial economics and macroeconomics present specific computational challenges.

Purpose of the Study:

  • To address the need for enhanced computational power in econometrics.
  • To extend the Ox programming language for parallel processing capabilities.
  • To facilitate the use of distributed computing clusters in economic modeling.

Main Methods:

  • Reviewing computational needs in econometrics, particularly in financial and macroeconomic applications.

Related Experiment Videos

  • Extending the Ox matrix-programming language to incorporate parallelization.
  • Implementing explicit parallelization within the Ox code (Level 1 extension).
  • Focusing on deterministic computing for scientific reproducibility.

    • Main Results:

    • Demonstration of Ox's capability for explicit parallelization in code.
    • Successful implementation of parallelized routines for econometric tasks.
    • Examples provided in financial economics and time-series modeling contexts.

    Conclusions:

    • The extension of Ox facilitates powerful, accessible distributed computing for econometrics.
    • Explicit parallelization in Ox code enhances computational efficiency for economic research.
    • Addressing software limitations is crucial for advancing econometric analysis and modeling.