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Solving Nonlinear Dynamic Models on Parallel Computers

  • Coleman, Wilbur John, II

This paper describes an algorithm that takes advantage of parallel computing to solve discrete-time recursive systems that have an endogenous state variable. The algorithm is shown to work well on a CRAY X-MP vector processor as well as on a network of stand-alone workstations that simulates a multiprocessor computer.

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Article provided by American Statistical Association in its journal Journal of Business and Economic Statistics.

Volume (Year): 11 (1993)
Issue (Month): 3 (July)
Pages: 325-30

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Handle: RePEc:bes:jnlbes:v:11:y:1993:i:3:p:325-30
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  1. Coleman, Wilbur John, II, 1990. "Solving the Stochastic Growth Model by Policy-Function Iteration," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(1), pages 27-29, January.
  2. Brock, William A. & Mirman, Leonard J., 1972. "Optimal economic growth and uncertainty: The discounted case," Journal of Economic Theory, Elsevier, vol. 4(3), pages 479-513, June.
  3. Taylor, John B & Uhlig, Harald, 1990. "Solving Nonlinear Stochastic Growth Models: A Comparison of Alternative Solution Methods," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(1), pages 1-17, January.
  4. Robert E. Lucas, Jr. & Nancy L. Stokey, 1985. "Money and Interest in a Cash-in-Advance Economy," NBER Working Papers 1618, National Bureau of Economic Research, Inc.
  5. Wilbur John Coleman II & Christian Gilles & Pamela Labadie, 1992. "The liquidity premium in average interest rates," International Finance Discussion Papers 432, Board of Governors of the Federal Reserve System (U.S.).
  6. Lucas, Robert E, Jr, 1980. "Equilibrium in a Pure Currency Economy," Economic Inquiry, Western Economic Association International, vol. 18(2), pages 203-20, April.
  7. Jeremy Greenwood & Gregory W. Huffman, 1992. "On the existence and uniqueness of nonoptimal equilibria in dynamic stochastic economies," Staff Report 151, Federal Reserve Bank of Minneapolis.
  8. Aiyagari, S. Rao & Gertler, Mark, 1990. "Asset Returns With Transactions Costs And Uninsured Individual Risk: A Stage Iii Exercise," Working Papers 90-43, C.V. Starr Center for Applied Economics, New York University.
  9. Scheinkman, Jose A & Weiss, Laurence, 1986. "Borrowing Constraints and Aggregate Economic Activity," Econometrica, Econometric Society, vol. 54(1), pages 23-45, January.
  10. Ayse Imrohoroglu & Edward C. Prescott, 1991. "Evaluating the welfare effects of alternative monetary arrangements," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Sum, pages 3-10.
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