Econometrics on GPUs

• Authors: Michael Creel.
• BSE Working Paper: 112104 | September 15
• Keywords: Bayesian estimation , simulation-based methods , parallel computing , graphical processing unit , GPU , econometrics
• JEL codes: C13, C14, C15, C33
• Bayesian estimation
• simulation-based methods
• parallel computing
• graphical processing unit
• GPU
• econometrics

A graphical processing unit (GPU) is a hardware device normally used to manipulate computer memory for the display of images. GPU computing is the practice of using a GPU device for scientific or general purpose computations that are not necessarily related to the display of images. Many problems in econometrics have a structure that allows for successful use of GPU computing. We explore two examples. The first is simple: repeated evaluation of a likelihood function at different parameter values. The second is a more complicated estimator that involves simulation and non parametric fitting. We find speedups from 1.5 up to 55.4 times, compared to computations done on a single CPU ore. These speedups an be obtained with very little expense, energy consumption, and time dedicated to system maintenance, compared to equivalent performance solutions using CPUs. Code for the examples is provided.