Two-stage least squares and indirect least squares algorithms for simultaneous equations models

详细信息	查看全文 | 推荐本文 |

• 作者：Jose J. Ló ; pez-Espí ; n^a ; ^{jlopez@umh.es} ; Antonio M. Vidal^b ; ^{avidal@dsic.upv.es} ; Domingo Gimé ; nez^c ; ^{domingo@um.es}
• 关键词：Simultaneous equations models ; Econometrics ; QR-decomposition ; Parallel computing
• 刊名：Journal of Computational and Applied Mathematics
• 出版年：2012
• 期刊代码：72_03770427
• 类别：cp
• 出版时间：September, 2012
• 卷：236
• 期：15
• 页码：3676-3684
• 文件大小：248 K

摘要

This paper analyzes the solution of simultaneous equations models. Efficient algorithms for the two-stage least squares method using QR-decomposition are developed and studied. The reduction of the execution time when the structure of the matrices in each equation is exploited is analyzed theoretically and experimentally. An efficient algorithm for the indirect least squares method is developed. Some techniques are used to accelerate the solution of the problem: parallel versions for multicore systems, and extensive use of the MKL library, thus obtaining efficient, portable versions of the algorithms.