An improved solution technique for large economic models with consistent expectations
type: Item
instance of: scholarly article
title: An improved solution technique for large economic models with consistent expectations
zbMATH Open document ID: 0566.90024
DOI: 10.1016/0167-6911(85)90067-2
published in: Systems \& Control Letters
publication date: 1985-01-01T00:00:00Z
review text: Rational expectations, when applied to the large macro-economic models, implies that the expectation of a variable must be the same as the eventual model forecast of that variable. This has presented large model users with some particular problems as the traditional model solution techniques are not capable of solving such models. Currently two different approaches have been used to solve this problem. These are described by \textit{S. Holly} and \textit{M. B. Zarrop} [Eur. Econ. Rev. 20, 23-40 (1983)], and \textit{R. C. Fair} [Amer. Econ. Rev. 69, 539-552 (1979)]. This note describes the technique which has been implemented as part of the National Institute's model solution software (NIMODEL); the technique is a simple extension of the traditional Gauss-Seidel solution technique; it appears to offer a considerable increase in efficiency and reliability.
Mathematics Subject Classification ID: 91B84
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 91B62
zbMATH DE Number: 3904292
zbMATH Keywords: Rational expectations
zbMATH Keywords: large macro-economic models
zbMATH Keywords: solution techniques
zbMATH Keywords: Gauss-Seidel
author: Stephen G. Hall
MaRDI profile type: Publication
full work available at URL: 0167-6911(85)90067-2
OpenAlex ID: W2079902472
cites work: Q5343726
description: scientific article; zbMATH DE number 3904292