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Sparse direct methods for model simulation. (English) Zbl 0901.90036

Summary: In this paper, different strategies to exploit the sparse structure in the solution techniques for macroeconometric models with forward-looking variables are discussed. First, the stacked model is decomposed into recursive submodels without destroying its original block pattern. Next, we concentrate on how to efficiently solve the sparse linear system in the Newton algorithm. In this frame, a multiple block diagonal LU factorization and a sparse Gaussian elimination are presented. The algorithms are compared by solving the country model for Japan in MULTIMOD.

MSC:

91B62 Economic growth models
62P20 Applications of statistics to economics
90C90 Applications of mathematical programming

Software:

symrcm; Dynare; MA28
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References:

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