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 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.
Doornik
Jurgen A
JA
Nuffield College, University of Oxford, Oxford OX1 1NF, UK. jurgen.doornik@nuffield.ox.ac.uk
Hendry
David F
DF
Shephard
Neil
N
D003195:Computer Communication Networks; D003198:Computer Simulation; D003205:Computing Methodologies; D005240:Feasibility Studies; D017059:Models, Econometric; D017711:Nonlinear Dynamics; D011381:Programming Languages; D012984:Software; D012985:Software Design; D013269:Stochastic Processes