Computationally-intensive econometrics using a distributed matrix-programming language
This paper reviews the need for powerful computing facilities in econometrics, focusing on concrete problems which arise in financial economics and in macroeconomics. We argue that the profession is being held back by the lack of easy-to-use generic software which is able to exploit the availability...
| Հիմնական հեղինակներ: | , , |
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| Ձևաչափ: | Journal article |
| Լեզու: | English |
| Հրապարակվել է: |
2002
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| Խորագրեր: |
| _version_ | 1826303051837734912 |
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| author | Doornik, J Hendry, D Shephard, N |
| author_facet | Doornik, J Hendry, D Shephard, N |
| author_sort | Doornik, J |
| collection | OXFORD |
| description | This paper reviews the need for powerful computing facilities in econometrics, focusing on concrete problems which arise in financial economics and in macroeconomics. We argue that the profession is being held back by the lack of easy-to-use generic software which is able to exploit the availability of cheap clusters of distributed computers. Our response is to extend, in a number of directions, the well-known matrix-programming interpreted language Ox developed by the first author. We note three possible levels of extensions: (i) Ox with parallelization explicit in the Ox code; (ii) Ox with a parallelized run-time library; and (iii) Ox with a parallelized interpreter. This paper studies and implements the first case, emphasizing the need for deterministic computing in science. We give examples in the context of financial economics and time-series modelling. |
| first_indexed | 2024-03-07T05:56:45Z |
| format | Journal article |
| id | oxford-uuid:eac84318-fb16-4af6-ad02-b2e1e8714ee8 |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-07T05:56:45Z |
| publishDate | 2002 |
| record_format | dspace |
| spelling | oxford-uuid:eac84318-fb16-4af6-ad02-b2e1e8714ee82022-03-27T11:04:48ZComputationally-intensive econometrics using a distributed matrix-programming languageJournal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:eac84318-fb16-4af6-ad02-b2e1e8714ee8EconometricsEconomicsEnglishOxford University Research Archive - Valet2002Doornik, JHendry, DShephard, NThis paper reviews the need for powerful computing facilities in econometrics, focusing on concrete problems which arise in financial economics and in macroeconomics. We argue that the profession is being held back by the lack of easy-to-use generic software which is able to exploit the availability of cheap clusters of distributed computers. Our response is to extend, in a number of directions, the well-known matrix-programming interpreted language Ox developed by the first author. We note three possible levels of extensions: (i) Ox with parallelization explicit in the Ox code; (ii) Ox with a parallelized run-time library; and (iii) Ox with a parallelized interpreter. This paper studies and implements the first case, emphasizing the need for deterministic computing in science. We give examples in the context of financial economics and time-series modelling. |
| spellingShingle | Econometrics Economics Doornik, J Hendry, D Shephard, N Computationally-intensive econometrics using a distributed matrix-programming language |
| title | Computationally-intensive econometrics using a distributed matrix-programming language |
| title_full | Computationally-intensive econometrics using a distributed matrix-programming language |
| title_fullStr | Computationally-intensive econometrics using a distributed matrix-programming language |
| title_full_unstemmed | Computationally-intensive econometrics using a distributed matrix-programming language |
| title_short | Computationally-intensive econometrics using a distributed matrix-programming language |
| title_sort | computationally intensive econometrics using a distributed matrix programming language |
| topic | Econometrics Economics |
| work_keys_str_mv | AT doornikj computationallyintensiveeconometricsusingadistributedmatrixprogramminglanguage AT hendryd computationallyintensiveeconometricsusingadistributedmatrixprogramminglanguage AT shephardn computationallyintensiveeconometricsusingadistributedmatrixprogramminglanguage |