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An Application of Nonstationary Iterative Methods for Solving a Multi-Country Model with Rational Expectations

Manfred Gilli () and Giorgio Pauletto ()

Computing in Economics and Finance 1996 from Society for Computational Economics

Abstract: In this paper we present an implementation of a Newton method based on iterative Krylov subspace methods such as GMRES, QMR and BiCGSTAB for solving large nonlinear macroeconometric models. These methods are tested for the solution of the model MULTIMOD and the computational costs of the different techniques are compared together with a sparse direct method.

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More papers in Computing in Economics and Finance 1996 from Society for Computational Economics Department of Econometrics, University of Geneva, 102 Bd Carl-Vogt, 1211 Geneva 4, Switzerland. Contact information at EDIRC.
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