Sparse Direct Methods for Model Simulation

Manfred Gilli () and Giorgio Pauletto ()

Cahiers du Département d'Econométrie from Département d'Econométrie, Université de Genève

Abstract: In this paper, different strategies to exploit the sparse structure in the solution techniques for macroeconometric models with forward-looking variables are discussed. First, the stacked model is decomposed into recursive submodels without destroying its original block pattern. Next, we concentrate on how to efficiently solve the sparse linear system in the Newton algorithm. In this frame, a multiple block diagonal LU factorization and a sparse Gaussian elimination are presented. The algorithms are compared by solving the country model for Japan in MULTIMOD.

Keywords: Newton type algorithms; Block LU; Sparse Gaussian Elimination; Forward-looking Models (search for similar items in EconPapers)
JEL-codes: C63 C87 (search for similar items in EconPapers)
Date: 1995
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Journal Article: Sparse direct methods for model simulation (1997)
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Persistent link: http://EconPapers.repec.org/RePEc:gen:geneem:95.06

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