IDEAS home Printed from
   My bibliography  Save this paper

An Application of Sparse Methods to Solving a Multi-Country Model With Rational Expectations


  • Gary S. Anderson

    () (Board of Governors, Federal Reserve System, Washington)


Anderson and Moore presents a procedure for solving linear perfect foresight models and Andersonn[Anderson1993] shows how to apply this technique to non linear models. The technique requires eigenvalue computations for a sparse linear system to deal with the long run dynamics and computations with large sparse band diagonal matrices for computing the nonlinear trajectory of the model variables. This paper applies methods for exploiting the special structure of these band diagonal linear systems Bai's SRRIT algorithm [Bai and Stewart1992] for computing vectors spanning the invariant space of a sparse linear system. These techniques dramatically reduce computational requirements while enhancing the accuracy and robustness of the original algorithm. The paper presents solution results for a variant of the multicountry model presented in Edison, Marques and Tyon

Suggested Citation

  • Gary S. Anderson, "undated". "An Application of Sparse Methods to Solving a Multi-Country Model With Rational Expectations," Computing in Economics and Finance 1996 _063, Society for Computational Economics.
  • Handle: RePEc:sce:scecf6:_063

    Download full text from publisher

    File URL:
    Download Restriction: no

    References listed on IDEAS

    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. Anderson, Gary & Moore, George, 1985. "A linear algebraic procedure for solving linear perfect foresight models," Economics Letters, Elsevier, vol. 17(3), pages 247-252.
    3. repec:adr:anecst:y:1990:i:17:p:04 is not listed on IDEAS
    4. Gilli, Manfred & Pauletto, Giorgio, 1997. "Sparse direct methods for model simulation," Journal of Economic Dynamics and Control, Elsevier, vol. 21(6), pages 1093-1111, June.
    5. 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.
    Full references (including those not matched with items on IDEAS)

    More about this item


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:sce:scecf6:_063. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.