IDEAS home Printed from https://ideas.repec.org/a/aic/journl/y2010vsep341-356.html
   My bibliography  Save this article

Numerical Parallel Algorithms For Large Scale Macroeconometric Models

Author

Listed:
  • Bogdan Oancea

    (Artifex University, Bucharest, Romania)

  • Tudorel Andrei

    (Academy of Economic Studies, Bucharest, Romania)

  • Stelian Stancu

    (Academy of Economic Studies, Bucharest, Romania)

  • Andreea Iluzia Iacob

    (Academy of Economic Studies, Bucharest, Romania)

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."

Suggested Citation

  • Bogdan Oancea & Tudorel Andrei & Stelian Stancu & Andreea Iluzia Iacob, 2010. "Numerical Parallel Algorithms For Large Scale Macroeconometric Models," Analele Stiintifice ale Universitatii "Alexandru Ioan Cuza" din Iasi - Stiinte Economice (1954-2015), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 2010, pages 341-356, july.
    • Handle: RePEc:aic:journl:y:2010:v:se:p:341-356
    as

    Download full text from publisher

    File URL: http://anale.feaa.uaic.ro/anale/resurse/sta2oancea(2).pdf
    Download Restriction: no
    File URL: http://anale.feaa.uaic.ro/anale/ro/Arhiva%202010-OANCEA_ANDREI_STANCU_IACOB/334
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    macro econometric model; rational expectations model; linear algebra; Newton methods; Krylov techniques; direct methods; software package.;
    All these keywords.

    JEL classification:

    • B23 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Econometrics; Quantitative and Mathematical Studies
    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:aic:journl:y:2010:v:se:p:341-356. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sireteanu Napoleon-Alexandru (email available below). General contact details of provider: https://edirc.repec.org/data/feaicro.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.