An algorithm competition: First-order iterations versus Newton-based techniques

作     者：Juillard, M Laxton, D McAdam, P Pioro, H 

作者机构：Int Monetary Fund Res Dept Washington DC 20431 USA Univ Paris 08 CEPREMAP F-93526 St Denis 02 France Univ Strathclyde Glasgow Lanark Scotland 

出 版 物：《JOURNAL OF ECONOMIC DYNAMICS & CONTROL》 (经济动力学与控制杂志)

年 卷 期：1998年第22卷第8-9期

页      面：1291-1318页

核心收录：

学科分类：02[经济学] 0201[经济学-理论经济学] 

主　　题：rational expectations Newton algorithms macroeconomic models 

摘      要：The development and use of forward-looking macromodels in policy making institutions has proceeded at a much slower pace than what was predicted in the early 1980s. An important reason for this is that researchers have not had access to robust and efficient solution techniques for solving nonlinear forward-looking models. This paper discusses the properties of alternative algorithms for solving MULTIMOD, the IMF s multicountry model of the world economy. Relative to traditional first-order algorithms in use today, we find that Newton-based techniques are considerably faster and much less prone to simulation failure. (C) 1998 Elsevier Science B.V. All rights reserved.