An Application of Nonstationary Iterative Methods for Solving a Multi-Country Model with Rational Expectations

Manfred Gilli and Giorgio Pauletto
Department of Econometrics, University of Geneva
Manfred.Gilli@metri.unige.ch
http://www.unige.ch/ses/metri/gilli
Giorgio.Pauletto@metri.unige.ch
http://www.unige.ch/ses/metri/pauletto

Abstract

In this paper we present an implementation of a Newton method based on iterative Krylov subspace methods such as GMRES, QMR and BiCGSTAB for solving large nonlinear macroeconometric models. These methods are tested for the solution of the model MULTIMOD and the computational costs of the different techniques are compared together with a sparse direct method.