Numerical Parallel Algorithms For Large Scale Macroeconometric Models

Bogdan Oancea, Tudorel Andrei (), Stelian Stancu () and Andreea Iluzia Iacob ()

Analele Stiintifice ale Universitatii "Alexandru Ioan Cuza" din Iasi - Stiinte Economice (1954-2015), 2010, vol. 2010SE, 341-356

Abstract: In this paper we develop algorithms to solve macro econometric models with forward-looking variables based on Newton method for nonlinear systems of equations. The most difficult step for New-ton methods represents the resolution of a large linear system for each iteration. Thus, we compare the performances resulted by solving this linear system using two iterative methods and the direct method. We also describe an implementation of the parallel versions of such algorithms using a software package. Our experiments confirm that the iterative methods have a low computational complexity and storage requirements, but the parallel versions of direct methods show a superior speedup."

Keywords: macro econometric model; rational expectations model; linear algebra; Newton methods; Krylov techniques; direct methods; software package. (search for similar items in EconPapers)
JEL-codes: B23 C87 (search for similar items in EconPapers)
Date: 2010
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