Simulation with large econometric models: The quest for a solution

Issue title: Computational Econometrics: Its Impact on the Development of Quantitative Economics

Guest editors: Charles G. Renfro

Article type: Research Article

Authors: Schink, George R.^a

Affiliations: [a] LECG, LLC, 1725 Eye Street, N.W., Suite 800, Washington, DC 20006, USA. Tel.: +1 202 973 9885; Fax: +1 202 466 4487; E-mail: George_Schink@lecg.com | 601 West 113th Street, #12G, New York, NY 10025, USA. E-mail: cgrenfro@modler.com

Abstract: This paper describes the development of algorithms to solve large-scale macroeconometric models. The bulk of this paper was written in 1970 when the problem of finding solutions for these large-scale models was still an issue. During the 1960s, large powerful (for that time period) computers became available for use by economists who proceeded to use this powerful new tool to develop and apply econometric software to the problem of estimating large-scale macroeconometric models such as the Wharton Quarterly Model and the Brookings Model. Having succeeded in estimating these models, the next problem was to find a way to solve them either in the context of simulation experiments or forecasting exercises. During the late 1960s, the author investigated the problem of solving these large-scale models and found several acceptable methods which are presented in this paper.

DOI: 10.3233/JEM-2004-0227

Journal: Journal of Economic and Social Measurement, vol. 29, no. 1-3, pp. 135-143, 2004