Numerical parallel algorithms for large scale macro econometric models
Numerical parallel algorithms for large scale macro econometric models
Author(s): Bogdan Oancea, Tudorel Andrei, Stelian Stancu, Andreea Iluzia IacobSubject(s): Supranational / Global Economy, ICT Information and Communications Technologies
Published by: Editura Universităţii »Alexandru Ioan Cuza« din Iaşi
Keywords: macro econometric model; rational expectations model; linear algebra; Newton methods; Krylov techniques; direct methods; software package;
Summary/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 Newton 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 speed up.
Journal: Analele Ştiinţifice ale Universităţii »Alexandru Ioan Cuza« din Iaşi. Ştiinţe economice
- Issue Year: 57/2010
- Issue No: Spec
- Page Range: 341-355
- Page Count: 15
- Language: English