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Numerical Parallel Algorithms For Large Scale Macroeconometric Models

Author

Listed:
  • Bogdan Oancea

    (Artifex University, Bucharest, Romania)

  • Tudorel Andrei

    (Academy of Economic Studies, Bucharest, Romania)

  • Stelian Stancu

    (Academy of Economic Studies, Bucharest, Romania)

  • Andreea Iluzia Iacob

    (Academy of Economic Studies, Bucharest, Romania)

Abstract
In this paper we develop algorithms to solve macro econometric models with forward-looking variables based on Newton method for nonlinear systems of equations. The most difficult step for New-ton methods represents the resolution of a large linear system for each iteration. Thus, we compare the performances resulted by solving this linear system using two iterative methods and the direct method. We also describe an implementation of the parallel versions of such algorithms using a software package. Our experiments confirm that the iterative methods have a low computational complexity and storage requirements, but the parallel versions of direct methods show a superior speedup."

Suggested Citation

  • Bogdan Oancea & Tudorel Andrei & Stelian Stancu & Andreea Iluzia Iacob, 2010. "Numerical Parallel Algorithms For Large Scale Macroeconometric Models," Analele Stiintifice ale Universitatii "Alexandru Ioan Cuza" din Iasi - Stiinte Economice (1954-2015), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 2010, pages 341-356, july.
    • Handle: RePEc:aic:journl:y:2010:v:se:p:341-356
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    More about this item

    Keywords

    macro econometric model; rational expectations model; linear algebra; Newton methods; Krylov techniques; direct methods; software package.;
    All these keywords.

    JEL classification:

    • B23 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Econometrics; Quantitative and Mathematical Studies
    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software

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