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

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 theoretica...

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Published in:Journal of computational and applied mathematics 2012-09, Vol.236 (15), p.3676-3684
Main Authors: López-Espín, Jose J., Vidal, Antonio M., Giménez, Domingo
Format: Article
Language:English
Subjects:
Algorithms
Econometrics
Least squares method
Libraries
Mathematical analysis
Mathematical models
Matrices
Parallel computing
Portability
QR-decomposition
Simultaneous equations
Simultaneous equations models
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description 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.
doi_str_mv 10.1016/j.cam.2011.07.005
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subjects Algorithms
Econometrics
Least squares method
Libraries
Mathematical analysis
Mathematical models
Matrices
Parallel computing
Portability
QR-decomposition
Simultaneous equations
Simultaneous equations models
title Two-stage least squares and indirect least squares algorithms for simultaneous equations models
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