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Reverse Shooting In A Multi-Dimensional Setting

Author

Listed:
  • Ric D. Herbert
  • Peter J. Stemp

Abstract

This paper investigates the properties of dynamic solutions that have been derived using the well-known reverse-shooting algorithm. Given an arbitrary large-scale model about which we have limited information, how successful is the algorithm likely to be in solving this model? We address this question using a range of investment models, both linear and non-linear. By extending the investment models to allow for multidimensional specifications of the capital stock, we are able to examine the computational efficiency of the reverse shooting algorithm as the dimensionality of the capital stock is allowed to increase. Our approach provides insights into how the complexity of the solutions to a broad range of macroeconomic models increases with the dimensionality of the models.

Suggested Citation

  • Ric D. Herbert & Peter J. Stemp, 2002. "Reverse Shooting In A Multi-Dimensional Setting," Department of Economics - Working Papers Series 858, The University of Melbourne.
    • Handle: RePEc:mlb:wpaper:858
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    File URL: http://www.economics.unimelb.edu.au/downloads/wpapers-02/858.pdf
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    More about this item

    Keywords

    Macroeconomics; Reverse shooting; Saddlepath instability; Computational techniques; Investment models;
    All these keywords.

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications

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