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Solution ofMacroeconometric Models
Giorgio Pauletto
November 1995Department of EconometricsUniversity of Geneva
Contents
1 Introduction 12 A Review of Solution Techniques 4
2.1 LU Factorization . . . . . . . . . . . . . . . . . . . . . . . . . . . 52.1.1 Pivoting . . . . . . . . . . . . . . . . . . . . . . . . . . . . 72.1.2 Computational Complexity . . . . . . . . . . . . . . . . . 82.1.3 Practical Implementation . . . . . . . . . . . . . . . . . . 82.2 QR Factorization . . . . . . . . . . . . . . . . . . . . . . . . . . . 82.2.1 Computational Complexity . . . . . . . . . . . . . . . . . 102.2.2 Practical Implementation . . . . . . . . . . . . . . . . . . 102.3 Direct Methods for Sparse Matrices . . . . . . . . . . . . . . . . . 102.3.1 Data Structures and Storage Schemes . . . . . . . . . . . 112.3.2 Fill-in in Sparse LU . . . . . . . . . . . . . . . . . . . . . 132.3.3 Computational Complexity . . . . . . . . . . . . . . . . . 142.3.4 Practical Implementation . . . . . . . . . . . . . . . . . . 142.4 Stationary Iterative Methods . . . . . . . . . . . . . . . . . . . . 142.4.1 Jacobi Method . . . . . . . . . . . . . . . . . . . . . . . . 152.4.2 Gauss-Seidel Method . . . . . . . . . . . . . . . . . . . . . 152.4.3 Successive Overrelaxation Method . . . . . . . . . . . . . 162.4.4 Fast Gauss-Seidel Method . . . . . . . . . . . . . . . . . . 172.4.5 Block Iterative Methods . . . . . . . . . . . . . . . . . . . 172.4.6 Convergence . . . . . . . . . . . . . . . . . . . . . . . . . 192.4.7 Computational Complexity . . . . . . . . . . . . . . . . . 202.5 Nonstationary Iterative Methods . . . . . . . . . . . . . . . . . . 212.5.1 Conjugate Gradient . . . . . . . . . . . . . . . . . . . . . 212.5.2 Preconditioning . . . . . . . . . . . . . . . . . . . . . . . . 222.5.3 Conjugate Gradient Normal Equations . . . . . . . . . . . 24
CONTENTS ii
2.5.4 Generalized Minimal Residual . . . . . . . . . . . . . . . . 252.5.5 BiConjugate Gradient Method . . . . . . . . . . . . . . . 272.5.6 BiConjugate Gradient Stabilized Method . . . . . . . . . 282.5.7 Implementation of Nonstationary Iterative Methods . . . 292.6 Newton Methods . . . . . . . . . . . . . . . . . . . . . . . . . . . 292.6.1 Computational Complexity . . . . . . . . . . . . . . . . . 312.6.2 Convergence . . . . . . . . . . . . . . . . . . . . . . . . . 312.7 Finite Difference Newton Method . . . . . . . . . . . . . . . . . . 322.7.1 Convergence of the Finite Difference Newton Method . . 332.8 Simplified Newton Method . . . . . . . . . . . . . . . . . . . . . . 342.8.1 Convergence of the Simplified Newton Method . . . . . . 352.9 Quasi-Newton Methods . . . . . . . . . . . . . . . . . . . . . . . 352.10 Nonlinear First-order Methods . . . . . . . . . . . . . . . . . . . 372.10.1 Convergence . . . . . . . . . . . . . . . . . . . . . . . . . 382.11 Solution by Minimization . . . . . . . . . . . . . . . . . . . . . . 392.12 Globally Convergent Methods . . . . . . . . . . . . . . . . . . . . 412.12.1 Line-search . . . . . . . . . . . . . . . . . . . . . . . . . . 412.12.2 Model-trust Region . . . . . . . . . . . . . . . . . . . . . . 432.13 Stopping Criteria and Scaling . . . . . . . . . . . . . . . . . . . . 44
3 Solution of Large Macroeconometric Models 46
3.1 Blocktriangular Decomposition of the Jacobian Matrix . . . . . . 473.2 Orderings of the Jacobian Matrix . . . . . . . . . . . . . . . . . . 483.2.1 The Logical Framework of the Algorithm . . . . . . . . . 503.2.2 Practical Considerations . . . . . . . . . . . . . . . . . . . 563.3 Point Methods versus Block Methods . . . . . . . . . . . . . . . . 563.3.1 The Problem . . . . . . . . . . . . . . . . . . . . . . . . . 573.3.2 Discussion of the Block Method . . . . . . . . . . . . . . . 573.3.3 Ordering and Convergence for First-order Iterations . . . 593.4 Essential Feedback Vertex Sets and the Newton Method . . . . . 61
4 Model Simulation on Parallel Computers 62
4.1 Introduction to Parallel Computing . . . . . . . . . . . . . . . . . 624.1.1 A Taxonomy for Parallel Computers . . . . . . . . . . . . 634.1.2 Communication Tasks . . . . . . . . . . . . . . . . . . . . 674.1.3 Synchronization Issues . . . . . . . . . . . . . . . . . . . . 69
Solution of Macroeconometric Models
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Sections
« prev | next »- Introduction
- 2.1 LU Factorization
- 2.1.2 Computational Complexity
- 2.1.3 Practical Implementation
- 2.2 QR Factorization
- 2.2.1 Computational Complexity
- 2.2.2 Practical Implementation
- 2.3 Direct Methods for Sparse Matrices
- 2.3.1 Data Structures and Storage Schemes
- 2.3.2 Fill-in in Sparse LU
- 2.3.3 Computational Complexity
- 2.3.4 Practical Implementation
- 2.4 Stationary Iterative Methods
- 2.4.1 Jacobi Method
- 2.4.2 Gauss-Seidel Method
- 2.4.3 Successive Overrelaxation Method
- Algorithm 3 Successive Overrelaxation Method
- 2.4.4 Fast Gauss-Seidel Method
- 2.4.5 Block Iterative Methods
- 2.4.6 Convergence
- 2.4.7 Computational Complexity
- 2.5 Nonstationary Iterative Methods
- 2.5.1 Conjugate Gradient
- 2.5.2 Preconditioning
- 2.5.3 Conjugate Gradient Normal Equations
- 2.5.4 Generalized Minimal Residual
- 2.5.5 BiConjugate Gradient Method
- 2.5.6 BiConjugate Gradient Stabilized Method
- 2.5.7 Implementation of Nonstationary Iterative Methods
- 2.6 Newton Methods
- 2.6.1 Computational Complexity
- 2.6.2 Convergence
- 2.7 Finite Difference Newton Method
- 2.7.1 Convergence of the Finite Difference Newton Me- thod
- 2.8 Simplified Newton Method
- 2.8.1 Convergence of the Simplified Newton Method
- 2.9 Quasi-Newton Methods
- 2.10 Nonlinear First-order Methods
- 2.10.1 Convergence
- 2.11 Solution by Minimization
- 2.12 Globally Convergent Methods
- 2.12.1 Line-search
- 2.12.2 Model-trust Region
- 2.13 Stopping Criteria and Scaling
- 3.1 Blocktriangular Decomposition of the Jaco-
- 3.2 Orderings of the Jacobian Matrix
- 3.2.1 The Logical Framework of the Algorithm
- 3.2.2 Practical Considerations
- 3.3 Point Methods versus Block Methods
- 3.3.1 The Problem
- 3.3.2 Discussion of the Block Method
- 3.3.3 Ordering and Convergence for First-order Iterations
- 3.4 Essential Feedback Vertex Sets and the New-
- 4.1 Introduction to Parallel Computing
- 4.1.1 A Taxonomy for Parallel Computers
- 4.1.2 Communication Tasks
- 4.1.3 Synchronization Issues
- 4.1.4 Speedup and Efficiency of an Algorithm
- 4.2 Model Simulation Experiences
- 4.2.1 Econometric Models and Solution Algorithms
- 4.2.2 Parallelization Potential for Solution Algorithms
- 4.2.3 Practical Results
- 5.1 Introduction
- 5.1.1 Formulation of RE Models
- 5.1.2 Uniqueness and Stability Issues
- 5.2 The Model MULTIMOD
- 5.2.1 Overview of the Model
- 5.2.2 Equations of a Country Model
- 5.2.3 Structure of the Complete Model
- 5.3 Solution Techniques for RE Models
- 5.3.1 Extended Path
- 5.3.2 Stacked-time Approach
- 5.3.3 Block Iterative Methods
- 5.3.4 Newton Methods
- Appendix A
- A.1 Finite Precision Arithmetic
- A.2 Condition of a Problem
- A.3 Complexity of Algorithms
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