Computational Solution Of Large Scale Macroeconometric Models

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Computational Solution of Large-Scale Macroeconometric Models

Giorgio Pauletto
Computational Solution of Large Scale Macroeconometric Models Book PDF

Author : Giorgio Pauletto
Publisher : Springer Science & Business Media
Page : 175 pages
File Size : 50,8 Mb
Release : 2013-03-14
Category : Business & Economics
ISBN : 9781475726312

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Computational Solution of Large-Scale Macroeconometric Models by Giorgio Pauletto Pdf

This book is the result of my doctoral dissertation research at the Department of Econometrics of the University of Geneva, Switzerland. This research was also partially financed by the Swiss National Science Foundation (grants 12- 31072.91 and 12-40300.94). First and foremost, I wish to express my deepest gratitude to Professor Manfred Gilli, my thesis supervisor, for his constant support and help. I would also like to thank the president of my jury, Professor Fabrizio Carlevaro, as well as the other members of the jury, Professor Andrew Hughes Hallett, Professor Jean-Philippe Vial and Professor Gerhard Wanner. I am grateful to my colleagues and friends of the Departement of Econometrics, especially David Miceli who provided constant help and kind understanding during all the stages of my research. I would also like to thank Pascale Mignon for proofreading my text and im proving my English. Finally, I am greatly indebted to my parents for their kindness and encourage ments without which I could never have achieved my goals. Giorgio Pauletto Department of Econometrics, University of Geneva, Geneva, Switzerland Chapter 1 Introduction The purpose of this book is to present the available methodologies for the solution of large-scale macroeconometric models. This work reviews classical solution methods and introduces more recent techniques, such as parallel com puting and nonstationary iterative algorithms.

Macroeconomic Modelling

S.G. Hall,S.G.B. Henry
Macroeconomic Modelling Book PDF

Author : S.G. Hall,S.G.B. Henry
Publisher : Elsevier
Page : 432 pages
File Size : 50,7 Mb
Release : 2014-06-28
Category : Business & Economics
ISBN : 9781483295473

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Macroeconomic Modelling by S.G. Hall,S.G.B. Henry Pdf

This book arose out of research carried out by the authors in the period 1983-1987 whilst at the National Institute of Economic and Social Research. A number of things combined to impart the basic thrust of the research: partly the developments in formulating and estimating rational expectations models, and partly actual developments in the UK economy itself.An application of recent developments in dynamic modelling to a complete macroeconometric model of the UK is presented. Rational expectations modelling, co-integration and disequilibrium modelling are covered. The book also develops computational procedures for obtaining efficient solutions to large-scale models, and illustrates model solutions assuming rational expectations and stochastic simulations. Finally, sections on the analysis of models using optimal control methods illustrate applications of a large-scale econometric model. This section also discusses policy applications, including the derivation of time-consistent policies in the presence of rational expectations, giving quantified illustrations.

Observers and Macroeconomic Systems

Ric D. Herbert
Observers and Macroeconomic Systems Book PDF

Author : Ric D. Herbert
Publisher : Springer Science & Business Media
Page : 329 pages
File Size : 48,5 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9781461555834

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Observers and Macroeconomic Systems by Ric D. Herbert Pdf

Observers and Macroeconomic Systems is concerned with the computational aspects of using a control-theoretic approach to the analysis of dynamic macroeconomic systems. The focus is on using a separate model for the development of the control policies. In particular, it uses the observer-based approach whereby the separate model learns to behave in a similar manner to the economic system through output-injections. The book shows how this approach can be used to learn the forward-looking behaviour of economic actors which is a distinguishing feature of dynamic macroeconomic models. It also shows how it can be used in conjunction with low-order models to undertake policy analysis with a large practical econometric model. This overcomes some of the computational problems arising from using just the large econometric models to compute optimal policy trajectories. The work also develops visual simulation software tools that can be used for policy analysis with dynamic macroeconomic systems.

Analyses in Macroeconomic Modelling

Andrew J. Hughes Hallett,Peter McAdam
Analyses in Macroeconomic Modelling Book PDF

Author : Andrew J. Hughes Hallett,Peter McAdam
Publisher : Springer Science & Business Media
Page : 295 pages
File Size : 48,5 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9781461552192

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Analyses in Macroeconomic Modelling by Andrew J. Hughes Hallett,Peter McAdam Pdf

Macroeconomic Modelling has undergone radical changes in the last few years. There has been considerable innovation in developing robust solution techniques for the new breed of increasingly complex models. Similarly there has been a growing consensus on their long run and dynamic properties, as well as much development on existing themes such as modelling expectations and policy rules. This edited volume focuses on those areas which have undergone the most significant and imaginative developments and brings together the very best of modelling practice. We include specific sections on (I) Solving Large Macroeconomic Models, (II) Rational Expectations and Learning Approaches, (III) Macro Dynamics, and (IV) Long Run and Closures. All of the contributions offer new research whilst putting their developments firmly in context and as such will influence much future research in the area. It will be an invaluable text for those in policy institutions as well as academics and advanced students in the fields of economics, mathematics, business and government. Our contributors include those working in central banks, the IMF, European Commission and established academics.

Computational Econometrics

Charles G. Renfro
Computational Econometrics Book PDF

Author : Charles G. Renfro
Publisher : IOS Press
Page : 420 pages
File Size : 55,5 Mb
Release : 2004
Category : Business & Economics
ISBN : 158603426X

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Computational Econometrics by Charles G. Renfro Pdf

This publication contains a substantial amount of detail about the broad history of the development of econometric software based on the personal recollections of many people. For economists, the computer has increasingly become the primary applied research tool, and it is software that makes the computer work.

Rational Expectations in Macroeconomic Models

P. Fisher
Rational Expectations in Macroeconomic Models Book PDF

Author : P. Fisher
Publisher : Springer Science & Business Media
Page : 215 pages
File Size : 48,9 Mb
Release : 2013-04-17
Category : Business & Economics
ISBN : 9789401580021

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Rational Expectations in Macroeconomic Models by P. Fisher Pdf

It is commonly believed that macroeconomic models are not useful for policy analysis because they do not take proper account of agents' expectations. Over the last decade, mainstream macroeconomic models in the UK and elsewhere have taken on board the `Rational Expectations Revolution' by explicitly incorporating expectations of the future. In principle, one can perform the same technical exercises on a forward expectations model as on a conventional model -- and more! Rational Expectations in Macroeconomic Models deals with the numerical methods necessary to carry out policy analysis and forecasting with these models. These methods are often passed on by word of mouth or confined to obscure journals. Rational Expectations in Macroeconomic Models brings them together with applications which are interesting in their own right. There is no comparable textbook in the literature. The specific subjects include: (i) solving for model consistent expectations; (ii) the choice of terminal condition and time horizon; (iii) experimental design: i.e., the effect of temporary vs permanent, anticipated vs. unanticipated shocks; deterministic vs. stochastic, dynamic vs. static simulation; (iv) the role of exchange rate; (v) optimal control and inflation-output tradeoffs. The models used are those of the Liverpool Research Group in Macroeconomics, the London Business School and the National Institute of Economic and Social Research.

Computational Techniques for Modelling Learning in Economics

Thomas Brenner
Computational Techniques for Modelling Learning in Economics Book PDF

Author : Thomas Brenner
Publisher : Springer Science & Business Media
Page : 392 pages
File Size : 55,7 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9781461550297

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Computational Techniques for Modelling Learning in Economics by Thomas Brenner Pdf

Computational Techniques for Modelling Learning in Economics offers a critical overview of the computational techniques that are frequently used for modelling learning in economics. It is a collection of papers, each of which focuses on a different way of modelling learning, including the techniques of evolutionary algorithms, genetic programming, neural networks, classifier systems, local interaction models, least squares learning, Bayesian learning, boundedly rational models and cognitive learning models. Each paper describes the technique it uses, gives an example of its applications, and discusses the advantages and disadvantages of the technique. Hence, the book offers some guidance in the field of modelling learning in computation economics. In addition, the material contains state-of-the-art applications of the learning models in economic contexts such as the learning of preference, the study of bidding behaviour, the development of expectations, the analysis of economic growth, the learning in the repeated prisoner's dilemma, and the changes of cognitive models during economic transition. The work even includes innovative ways of modelling learning that are not common in the literature, for example the study of the decomposition of task or the modelling of cognitive learning.

Observers and Macroeconomic Systems

Ric D. Herbert
Observers and Macroeconomic Systems Book PDF

Author : Ric D. Herbert
Publisher : Springer Science & Business Media
Page : 338 pages
File Size : 46,8 Mb
Release : 1998-10-31
Category : Business & Economics
ISBN : 9780792382393

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Observers and Macroeconomic Systems by Ric D. Herbert Pdf

Observers and Macroeconomic Systems is concerned with the computational aspects of using a control-theoretic approach to the analysis of dynamic macroeconomic systems. The focus is on using a separate model for the development of the control policies. In particular, it uses the observer-based approach whereby the separate model learns to behave in a similar manner to the economic system through output-injections. The book shows how this approach can be used to learn the forward-looking behaviour of economic actors which is a distinguishing feature of dynamic macroeconomic models. It also shows how it can be used in conjunction with low-order models to undertake policy analysis with a large practical econometric model. This overcomes some of the computational problems arising from using just the large econometric models to compute optimal policy trajectories. The work also develops visual simulation software tools that can be used for policy analysis with dynamic macroeconomic systems.

Parallel Algorithms for Linear Models

Erricos Kontoghiorghes
Parallel Algorithms for Linear Models Book PDF

Author : Erricos Kontoghiorghes
Publisher : Springer Science & Business Media
Page : 216 pages
File Size : 40,9 Mb
Release : 2000-01-31
Category : Business & Economics
ISBN : 0792377206

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Parallel Algorithms for Linear Models by Erricos Kontoghiorghes Pdf

Parallel Algorithms for Linear Models provides a complete and detailed account of the design, analysis and implementation of parallel algorithms for solving large-scale linear models. It investigates and presents efficient, numerically stable algorithms for computing the least-squares estimators and other quantities of interest on massively parallel systems. The monograph is in two parts. The first part consists of four chapters and deals with the computational aspects for solving linear models that have applicability in diverse areas. The remaining two chapters form the second part, which concentrates on numerical and computational methods for solving various problems associated with seemingly unrelated regression equations (SURE) and simultaneous equations models. The practical issues of the parallel algorithms and the theoretical aspects of the numerical methods will be of interest to a broad range of researchers working in the areas of numerical and computational methods in statistics and econometrics, parallel numerical algorithms, parallel computing and numerical linear algebra. The aim of this monograph is to promote research in the interface of econometrics, computational statistics, numerical linear algebra and parallelism.

Quantitative Economic Policy

Reinhard Neck,Christian Richter,Peter Mooslechner
Quantitative Economic Policy Book PDF

Author : Reinhard Neck,Christian Richter,Peter Mooslechner
Publisher : Springer Science & Business Media
Page : 386 pages
File Size : 47,5 Mb
Release : 2008-03-04
Category : Political Science
ISBN : 9783540746843

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Quantitative Economic Policy by Reinhard Neck,Christian Richter,Peter Mooslechner Pdf

Econometric techniques and models are still being extensively used in the business of forecasting and policy advice. This book presents recent advances in the theory and applications of quantitative economic policy, with particular emphasis on fiscal and monetary policies in a European and global context. The volume honors Andrew Hughes Hallett, a pioneer and major scientist in quantitative economic policy analysis, whose contributors are among his friends and former students.

Agent-Based Computer Simulation of Dichotomous Economic Growth

Roger A. McCain
Agent Based Computer Simulation of Dichotomous Economic Growth Book PDF

Author : Roger A. McCain
Publisher : Springer Science & Business Media
Page : 164 pages
File Size : 49,7 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9781461546139

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Agent-Based Computer Simulation of Dichotomous Economic Growth by Roger A. McCain Pdf

Agent-Based Computer Simulation of Dichotomous Economic Growth reports a project in agent-based computer stimulation of processes of economic growth in a population of boundedly rational learning agents. The study is an exercise in comparative simulation. That is, the same family of growth models will be simulated under different assumptions about the nature of the learning process and details of the production and growth processes. The purpose of this procedure is to establish a relationship between the assumptions and the simulation results. The study brings together a number of theoretical and technical developments, only some of which may be familiar to any particular reader. In this first chapter, some issues in economic growth are reviewed and the objectives of the study are outlined. In the second chapter, the simulation techniques are introduced and illustrated with baseline simulations of boundedly rational learning processes that do not involve the complications of dealing with long-run economic growth. The third chapter sketches the consensus modern theory of economic growth which is the starting point for further study. In the fourth chapter, a family of steady growth models are simulated, bringing the simulation, growth and learning aspects of the study together. In subsequent chapters, variants on the growth model are explored in a similar way. The ninth chapter introduces trade, with a spacial trading model that is combined with the growth model in the tenth chapter. The book returns again and again to the key question: to what extent can the simulations `explain' the puzzles of economic growth, and particularly the key puzzle of dichotomization, by constructing growth and learning processes that produce the puzzling results? And just what assumptions of the simulations are most predictable associated with the puzzling results?

Electromagnetic Scattering using the Iterative Multi-Region Technique

Mohamed H. Al Sharkawy,Veysel Demir
Electromagnetic Scattering using the Iterative Multi Region Technique Book PDF

Author : Mohamed H. Al Sharkawy,Veysel Demir
Publisher : Springer Nature
Page : 99 pages
File Size : 51,5 Mb
Release : 2022-06-01
Category : Technology & Engineering
ISBN : 9783031017025

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Electromagnetic Scattering using the Iterative Multi-Region Technique by Mohamed H. Al Sharkawy,Veysel Demir Pdf

In this work, an iterative approach using the finite difference frequency domain method is presented to solve the problem of scattering from large-scale electromagnetic structures. The idea of the proposed iterative approach is to divide one computational domain into smaller subregions and solve each subregion separately. Then the subregion solutions are combined iteratively to obtain a solution for the complete domain. As a result, a considerable reduction in the computation time and memory is achieved. This procedure is referred to as the iterative multiregion (IMR) technique. Different enhancement procedures are investigated and introduced toward the construction of this technique. These procedures are the following: 1) a hybrid technique combining the IMR technique and a method of moment technique is found to be efficient in producing accurate results with a remarkable computer memory saving; 2) the IMR technique is implemented on a parallel platform that led to a tremendous computational time saving; 3) together, the multigrid technique and the incomplete lower and upper preconditioner are used with the IMR technique to speed up the convergence rate of the final solution, which reduces the total computational time. Thus, the proposed iterative technique, in conjunction with the enhancement procedures, introduces a novel approach to solving large open-boundary electromagnetic problems including unconnected objects in an efficient and robust way. Contents: Basics of the FDFD Method / IMR Technique for Large-Scale Electromagnetic Scattering Problems: 3D Case / IMR Technique for Large-Scale Electromagnetic Scattering Problems: 2D Case / The IMR Algorithm Using a Hybrid FDFD and Method of Moments Technique / Parallelization of the Iterative Multiregion Technique / Combined Multigrid Technique and IMR Algorithm / Concluding Remarks / Appendices

Applications in Finance, Investments, and Banking

Diem Ho,Thomas Schneeweis
Applications in Finance Investments and Banking Book PDF

Author : Diem Ho,Thomas Schneeweis
Publisher : Springer Science & Business Media
Page : 356 pages
File Size : 41,6 Mb
Release : 1998-12-31
Category : Business & Economics
ISBN : 0792382943

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Applications in Finance, Investments, and Banking by Diem Ho,Thomas Schneeweis Pdf

Not as in trying to get work as a teller, but applying mathematical and economic tools to optimization in portfolio management, regulatory issues in financial product management, and investment management issues in both domestic and international markets. In eight studies, examines principles for controlling asset liability management strategies in banks and insurance companies; a unified approach to performance attribution, volatility; diversifying earnings forecast errors through composites of market-based analyst and time-series predictions, the valuation of cross-currency interest-sensitive claims with application to Diff swaps, and other topics. Double spaced. No index. Annotation copyrighted by Book News, Inc., Portland, OR

Network Economics

Anna Nagurney
Network Economics Book PDF

Author : Anna Nagurney
Publisher : Springer Science & Business Media
Page : 452 pages
File Size : 43,5 Mb
Release : 1998-12-31
Category : Business & Economics
ISBN : 0792383508

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Network Economics by Anna Nagurney Pdf

The second and revised edition of Network Economics: A Variational Inequality Approach provides an updated treatment of network economics through the inclusion of new theoretical results and new applications, as well as problems for self-study purposes and/or for use in the classroom. This volume remains true to the first edition in that it provides a unified treatment of finite-dimensional variational inequalities, algorithms, and applications. Physical networks are pervasive in today's society in the form of transportation networks, telecommunication networks, energy networks, and financial networks, whereas mathematical networks provide a mechanism for studying a plethora of economic equilibrium problems through a common graphic structure. Network Economics establishes the connections among economic equilibrium problems through their network structure and demonstrates how the structure can then be used to address policy interventions, as well as to construct efficient numerical schemes for the computation of equilibria. The network framework provides not only a mechanism for the graphic representation of economic problems and a means for visualizing their similarities and differences, but, in addition, a novel theoretical approach. Problems treated include: congested transportation systems, oligopolistic market equilibrium problems, problems of human migration, and general financial and economic equilibrium problems. New applications covered in this second edition include environmental networks and knowledge networks.

Dynamic General Equilibrium Modeling

Burkhard Heer,Alfred Maussner
Dynamic General Equilibrium Modeling Book PDF

Author : Burkhard Heer,Alfred Maussner
Publisher : Springer Science & Business Media
Page : 719 pages
File Size : 50,5 Mb
Release : 2011-10-20
Category : Business & Economics
ISBN : 9783540856849

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Dynamic General Equilibrium Modeling by Burkhard Heer,Alfred Maussner Pdf

Modern business cycle theory and growth theory uses stochastic dynamic general equilibrium models. In order to solve these models, economists need to use many mathematical tools. This book presents various methods in order to compute the dynamics of general equilibrium models. In part I, the representative-agent stochastic growth model is solved with the help of value function iteration, linear and linear quadratic approximation methods, parameterised expectations and projection methods. In order to apply these methods, fundamentals from numerical analysis are reviewed in detail. In particular, the book discusses issues that are often neglected in existing work on computational methods, e.g. how to find a good initial value. In part II, the authors discuss methods in order to solve heterogeneous-agent economies. In such economies, the distribution of the individual state variables is endogenous. This part of the book also serves as an introduction to the modern theory of distribution economics. Applications include the dynamics of the income distribution over the business cycle or the overlapping-generations model. In an accompanying home page to this book, computer codes to all applications can be downloaded.