An Application of Nonstationary Iterative Methods for Solving a Multi-Country Model with Rational Expectations
AbstractIn this paper we present an implementation of a Newton method based on iterative Krylov subspace methods such as GMRES, QMR and BiCGSTAB for solving large nonlinear macroeconometric models. These methods are tested for the solution of the model MULTIMOD and the computational costs of the different techniques are compared together with a sparse direct method.
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Bibliographic InfoPaper provided by Society for Computational Economics in its series Computing in Economics and Finance 1996 with number _045.
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Postal: Department of Econometrics, University of Geneva, 102 Bd Carl-Vogt, 1211 Geneva 4, Switzerland
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- Ray C. Fair & John B. Taylor, 1980.
"Solution and Maximum Likelihood Estimation of Dynamic Nonlinear RationalExpectations Models,"
NBER Technical Working Papers
0005, National Bureau of Economic Research, Inc.
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