An Application of Nonstationary Iterative Methods for Solving a Multi-Country Model with Rational Expectations
In 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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Cowles Foundation Discussion Papers
564, Cowles Foundation for Research in Economics, Yale University.
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