Computational Solution of Large-Scale Macroeconometric Models

Abstract

Preface. 1: Introduction. 2: A Review of Solution Techniques. 2.1. LU Factorization. 2.2. QR Factorization. 2.3. Direct Methods for Sparse Matrices. 2.4. Stationary Iterative Methods. 2.5. Nonstationary Iterative Methods. 2.6. Newton Methods. 2.7. Finite Difference Newton Method. 2.8. Simplified Newton Method. 2.9. Quasi-Newton Methods. 2.10. Nonlinear First-Order Methods. 2.11. Solution by Minimization. 2.12. Globally Convergent Methods. 2.13. Stopping Criteria and Scaling. 3: Solution of Large-Scale Macroeconometric Models. 3.1. Block Triangular Decomposition of the Jacobian Matrix. 3.2. Orderings of the Jacobian Matrix. 3.3. Point Methods versus Block Methods. 3.4. Essential Feedback Vertex Sets and the Newton Method. 4: Model Simulation on Parallel Computers. 4.1. Introduction to Parallel Computing. 4.2. Model Simulation Experiences. 5: Rational Expectations Models. 5.1. Introduction. 5.2. The Model MULTIMOD. 5.3. Solution Techniques for Forward-Looking Models. A: Appendix. A.1. Finite Precision Arithmetic. A.2. Condition of a Problem. A.3. Complexity of Algorithms. Index.