Block distributed methods for solving multi-country econometric models
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.
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| Date of creation: | 1995 |
| Date of revision: | |
| Handle: | RePEc:fip:fedgif:516 |
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References listed on IDEAS
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- 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.).
- Ray C. Fair & John B. Taylor, 1980.
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Cowles Foundation Discussion Papers
564, Cowles Foundation for Research in Economics, Yale University.
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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.
- Jon Faust & Ralph W. Tryon, 1994.
"A distributed block approach to solving near-block-diagonal systems with an application to a large macroeconometric model,"
International Finance Discussion Papers
488, Board of Governors of the Federal Reserve System (U.S.).
- 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, Society for Computational Economics, vol. 8(4), pages 303-16, November.
- 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 957-71, November.
- 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.
- Blanchard, Olivier Jean & Kahn, Charles M, 1980. "The Solution of Linear Difference Models under Rational Expectations," Econometrica, Econometric Society, vol. 48(5), pages 1305-11, July.
- 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.
- 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 1547-57, November.
- Gilli, M & Pauletto, G & Garbely, M, 1992. "Equation Reordering for Iterative Processes--A Comment," Computer Science in Economics & Management, Society for Computational Economics, vol. 5(2), pages 147-53, May.
- van der Laan, Gerard, 1985. "The Computation of General Equilibrium in Economies with a Block Diagonal Pattern," Econometrica, Econometric Society, vol. 53(3), pages 658-65, May.
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