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Krylov methods for solving models with forward-looking variables

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  • Gilli, Manfred
  • Pauletto, Giorgio

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File URL: http://www.sciencedirect.com/science/article/B6V85-3TMR2BM-6/2/06de60a6b76b8523617b6c908c133664
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Bibliographic Info

Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 22 (1998)
Issue (Month): 8-9 (August)
Pages: 1275-1289

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Handle: RePEc:eee:dyncon:v:22:y:1998:i:8-9:p:1275-1289

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Web page: http://www.elsevier.com/locate/jedc

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References

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  1. Gilli, Manfred & Pauletto, Giorgio, 1997. "Sparse direct methods for model simulation," Journal of Economic Dynamics and Control, Elsevier, vol. 21(6), pages 1093-1111, June.
  2. Boucekkine, Raouf, 1995. "An alternative methodology for solving nonlinear forward-looking models," Journal of Economic Dynamics and Control, Elsevier, vol. 19(4), pages 711-734, May.
  3. Hallett, A. J. Hughes & Piscitelli, Laura, 1998. "Simple reordering techniques for expanding the convergence radius of first-order iterative techniques," Journal of Economic Dynamics and Control, Elsevier, vol. 22(8-9), pages 1319-1333, August.
  4. Ray C. Fair & John B. Taylor, 1980. "Solution and Maximum Likelihood Estimation of Dynamic Nonlinear Rational Expectations Models," Cowles Foundation Discussion Papers 564, Cowles Foundation for Research in Economics, Yale University.
  5. Juillard, Michel & Laxton, Douglas & McAdam, Peter & Pioro, Hope, 1998. "An algorithm competition: First-order iterations versus Newton-based techniques," Journal of Economic Dynamics and Control, Elsevier, vol. 22(8-9), pages 1291-1318, August.
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Citations

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Cited by:
  1. Binder, Michael & Pesaran, Hashem, 2000. "Solution of finite-horizon multivariate linear rational expectations models and sparse linear systems," Journal of Economic Dynamics and Control, Elsevier, vol. 24(3), pages 325-346, March.
  2. Jiri Popiera & Jan Bruha, 2007. "Inquiries on Dynamics of Transition Economy Convergence in a Two-Country Model," 2007 Meeting Papers 587, Society for Economic Dynamics.
  3. Jan Bruha & Jiri Podpiera & Stanislav Polák, 2007. "The Convergence Dynamics of a Transition Economy," IMF Working Papers 07/116, International Monetary Fund.
  4. Bajeux-Besnainou, Isabelle & Bandara, Wachindra & Bura, Efstathia, 2012. "A Krylov subspace approach to large portfolio optimization," Journal of Economic Dynamics and Control, Elsevier, vol. 36(11), pages 1688-1699.
  5. Gilli, Manfred & Kellezi, Evis & Pauletto, Giorgio, 2002. "Solving finite difference schemes arising in trivariate option pricing," Journal of Economic Dynamics and Control, Elsevier, vol. 26(9-10), pages 1499-1515, August.
  6. Hallett, A. J. Hughes & Piscitelli, Laura, 1998. "Simple reordering techniques for expanding the convergence radius of first-order iterative techniques," Journal of Economic Dynamics and Control, Elsevier, vol. 22(8-9), pages 1319-1333, August.
  7. Judd, Kenneth L., 2002. "The parametric path method: an alternative to Fair-Taylor and L-B-J for solving perfect foresight models," Journal of Economic Dynamics and Control, Elsevier, vol. 26(9-10), pages 1557-1583, August.
  8. Bruha, Jan & Podpiera, Jirí & Polák, Stanislav, 2010. "The convergence dynamics of a transition economy: The case of the Czech Republic," Economic Modelling, Elsevier, vol. 27(1), pages 116-124, January.
  9. Mrkaic, Mico, 2002. "Policy iteration accelerated with Krylov methods," Journal of Economic Dynamics and Control, Elsevier, vol. 26(4), pages 517-545, April.

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