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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.
    4. Mansur, Ahsan & Whalley, John, 1982. "A Decomposition Algorithm for General Equilibrium Computation with Application to International Trade Models," Econometrica, Econometric Society, vol. 50(6), pages 1547-1557, November.
    5. Fisher, P. G. & Hallett, A. J. Hughes, 1988. "Efficient solution techniques for linear and non-linear rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 12(4), pages 635-657, November.
    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.
    7. Gilli, M & Pauletto, G & Garbely, M, 1992. "Equation Reordering for Iterative Processes--A Comment," Computer Science in Economics & Management, Kluwer;Society for Computational Economics, vol. 5(2), pages 147-153, May.
    8. Blanchard, Olivier Jean & Kahn, Charles M, 1980. "The Solution of Linear Difference Models under Rational Expectations," Econometrica, Econometric Society, vol. 48(5), pages 1305-1311, July.
    9. van der Laan, Gerard, 1985. "The Computation of General Equilibrium in Economies with a Block Diagonal Pattern," Econometrica, Econometric Society, vol. 53(3), pages 658-665, May.
    10. Joseph E. Gagnon, 1989. "A forward-looking multicountry model: MX3," International Finance Discussion Papers 359, Board of Governors of the Federal Reserve System (U.S.).
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    Keywords

    Econometric models;

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