Similar Search Results

Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox

Casarin, Roberto; Grassi, Stefano; Ravazzolo, Francesco; … - School of Economics and Management, University of Aarhus - 2013

This paper presents the Matlab package DeCo (Density Combination) which is based on the paper by Billio et al. (2013 … standard CPU computing and for Graphical Process Unit (GPU) parallel computing. For the GPU implementation we use the Matlab … with a speed up of the execution time up to seventy times compared to a standard CPU Matlab implementation on a multicore …

Persistent link: https://www.econbiz.de/10010851235

Asymmetric unemployment rate dynamics in Australia

Bårdsen, Gunnar; Hurn, Stan; McHugh, Zoë - School of Economics and Management, University of Aarhus - 2010

The unemployment rate in Australia is modelled as an assymmetric and non-linear function of aggregate demand, productivity, real wages and unemployment benefits. Negative changes in aggregate demand cause the unemployment rate to rise rapidly, while real wage rigidity contributes its to slow...

Persistent link: https://www.econbiz.de/10008476281

Heterogeneous Computing in Economics: A Simplified Approach

Dziubinski, Matt P.; Grassi, Stefano - School of Economics and Management, University of Aarhus - 2012

This paper shows the potential of heterogeneous computing in solving dynamic equilibrium models in economics. We illustrate the power and simplicity of the C++ Accelerated Massive Parallelism recently introduced by Microsoft. Starting from the same exercise as Aldrich et al. (2011) we document a...

Persistent link: https://www.econbiz.de/10010851202

Conditionally-uniform Feasible Grid Search Algorithm

Dziubinski, Matt P. - School of Economics and Management, University of Aarhus - 2012

We present and evaluate a numerical optimization method (together with an algorithm for choosing the starting values) pertinent to the constrained optimization problem arising in the estimation of the GARCH models with inequality constraints, in particular the Simplified Component GARCH Model...

Persistent link: https://www.econbiz.de/10009421016

How to Maximize the Likelihood Function for a DSGE Model

Andreasen, Martin Møller - School of Economics and Management, University of Aarhus - 2008

This paper extends two optimization routines to deal with objective functions for DSGE models. The optimization routines are i) a version of Simulated Annealing developed by Corana, Marchesi & Ridella (1987), and ii) the evolutionary algorithm CMA-ES developed by Hansen, Müller & Koumoutsakos...

Persistent link: https://www.econbiz.de/10005440050