Krylov methods for solving models with forward-looking variables

DOI10.1016/S0165-1889(98)00012-8zbMath0913.90046OpenAlexW2008655047MaRDI QIDQ1274210

Giorgio Pauletto, Manfred Gilli

Publication date: 12 January 1999

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1889(98)00012-8

zbMATH Keywords

simulationKrylov methodsreal world econometric model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84) Economic growth models (91B62) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

Related Items (10)

Inexact Newton methods for model simulation ⋮ A Krylov subspace approach to large portfolio optimization ⋮ A distributed block approach to solving near-block-diagonal systems with an application to a large macroeconometric model ⋮ Block Jacobi Preconditioning for Solving Dynamic General Equilibrium Models ⋮ Solution of finite-horizon multivariate linear rational expectations models and sparse linear systems ⋮ Policy iteration accelerated with Krylov methods ⋮ Simple reordering techniques for expanding the convergence radius of first-order iterative techniques ⋮ The use of interval arithmetic in solving a non-linear rational expectation based multiperiod output-inflation process model: the case of the IN/GB method ⋮ Solving finite difference schemes arising in trivariate option pricing. ⋮ The parametric path method: an alternative to Fair--Taylor and L--B--J for solving perfect foresight models.

Uses Software

• KELLEY
• symrcm

Cites Work

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