Dynare forums

Dear all,

I would like to seek for some advice regarding technical specification of computer that would make dynare run faster... specifically, I was trying to estimate a 29 equations model on a notebook with 1.6 G Hz processor with 1.5 GB ram, but it took 6 hours to finish running the estimation... since I am interested in estimating an open economy version of the model, but it would have 57 equations, so I suspect even my 3.2 GHz processor with 2.5 GB ram desktop would take at least half a day to finish with one estimation... so I wonder what specification of the computer would you recommend, i.e should I look for a computer with even faster processor (or dual processors) or even larger ram or would any of those really help?

Thanks

Regards,

Wing

Dear Wing,

there is no easy solution. Just a few remarks

1) An estimation with Metropolis iterations is by an large a night job. Plan your work accordingly.
2) Currently, what takes the most time is to compute the steady state of a nonlinear model where the estimated parameters affect the steady state. If you have an analytical solution for the steady state, write a *_steadystate.m function
3) Then the computation time increase in the number of variables and the number of estimated parameters. Eliminate from your model all nonessential variables that you may be tempted to include just for reporting purpose (various interesting ratios)
4) We are going to release soon for testing Dynare version 4 that computes derivatives analytically rather than numerically as now. Expect to diminish your computation time by a factor of two.
5) A dual processor machine won't help you because Matlab doesn't take advantage of it. We have a vague project to investigate tools to take advantage of a multi-processor configuration for Metropolis iterations that are indeed embarassingly parallel.

Best wishes

Michel

Following up on this one, I am curious to know whether Dynare for Matlab on a 64-bit machine with Linux o/s would run any faster than Dynare for laptop on a Windows xp desktop machine? Did any of the users have any experience? Thanks

Are there any changes since then? Running the particle filter, I lost my patience after one week with not getting results. As I’m going to buy a new computer, would you advise me what is more important for the speed of running Dynare – processor or RAM?

For particle filtering, both are important. Unless you use a gigantic particle number, CPU speed should be more important for that particular application.

Thank you, Johannes!