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Block distributed methods for solving multi-country econometric models

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  • Jon Faust
  • Ralph W. Tryon

Abstract

This paper examines variations on a baseline Fair-Taylor algorithm used to solve multi-country, rational expectations models. One notable feature of these variations is the ability to exploit small-scale distributed processing using a network of workstations or PCs. Using four processors to solve MX-4 (152 endogenous variables), the largest speedup factor relative to Fair-Taylor is 59; for RE-7 (978 endogenous variables) the maximum speedup factor is 12.

Suggested Citation

  • Jon Faust & Ralph W. Tryon, 1995. "Block distributed methods for solving multi-country econometric models," International Finance Discussion Papers 516, Board of Governors of the Federal Reserve System (U.S.).
  • Handle: RePEc:fip:fedgif:516
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    References listed on IDEAS

    as
    1. Fair, Ray C & Taylor, John B, 1983. "Solution and Maximum Likelihood Estimation of Dynamic Nonlinear Rational Expectations Models," Econometrica, Econometric Society, vol. 51(4), pages 1169-1185, July.
    2. Gilli, Manfred, 1992. "Causal Ordering and Beyond," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 33(4), pages 957-971, November.
    3. Faust, Jon & Tryon, Ralph, 1995. "A Distributed Block Approach to Solving Near-Block-Diagonal Systems with an Application to a Large Macroeconometric Model," Computational Economics, Springer;Society for Computational Economics, vol. 8(4), pages 303-316, November.
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    6. 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.
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