Parallelization Experience with Four Canonical Econometric Models Using ParMitISEM

Tinbergen Institute Discussion Paper 16-005/III

26 Pages Posted: 25 Jan 2016

See all articles by Nalan Basturk

Nalan Basturk

Maastricht University - Department of Quantitative Economics

Stefano Grassi

University of Kent - Canterbury Campus

Lennart F. Hoogerheide

VU University Amsterdam

H. K. van Dijk

Tinbergen Institute; Econometric Institute

Date Written: January 7, 2016

Abstract

This paper presents the parallel computing implementation of the MitISEM algorithm, labeled Parallel MitISEM. The basic MitISEM algorithm, introduced by Hoogerheide, Opschoor and Van Dijk (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 the MitISEM 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.

Keywords: finite mixtures, Student-t distributions, Importance Sampling, MCMC, Metropolis-Hastings algorithm, Expectation Maximization, Bayesian inference

JEL Classification: C11, C13, C23, C32

Suggested Citation

Basturk, Nalan and Grassi, Stefano and Hoogerheide, Lennart F. and van Dijk, Herman K., Parallelization Experience with Four Canonical Econometric Models Using ParMitISEM (January 7, 2016). Tinbergen Institute Discussion Paper 16-005/III, Available at SSRN: https://ssrn.com/abstract=2721705 or http://dx.doi.org/10.2139/ssrn.2721705

Nalan Basturk (Contact Author)

Maastricht University - Department of Quantitative Economics ( email )

P.O. Box 616
Maastricht, 6200 MD
Netherlands

Stefano Grassi

University of Kent - Canterbury Campus ( email )

Keynes College
Canterbury, Kent CT2 7NP
United Kingdom

Lennart F. Hoogerheide

VU University Amsterdam ( email )

De Boelelaan 1105
Amsterdam, ND North Holland 1081 HV
Netherlands

Herman K. Van Dijk

Tinbergen Institute ( email )

Gustav Mahlerplein 117
Burg. Oudlaan 50
Amsterdam/Rotterdam, 1082 MS
Netherlands
+31104088955 (Phone)
+31104089031 (Fax)

HOME PAGE: http://people.few.eur.nl/hkvandijk/

Econometric Institute ( email )

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