Ven der Giessen's reordering algorithm in the program for stochastic simulation of econometric models

Bianchi, Carlo and Calzolari, Giorgio and Doret, Remi (1978): Ven der Giessen's reordering algorithm in the program for stochastic simulation of econometric models. Published in: IBM Italy Technical Report No. Z513-5101 (December 1978): pp. 1-26.

Abstract

This paper describes the application of a reordering algorithm to the equations of econometric models. The algorithm was proposed in 1970 by Van der Giessen and is here applied to the equation format required by the program for stochastic simulation developed at the IBM Scientific Center in Pisa.

• Item Type: MPRA Paper
• Language: English
• Keywords: Nonlinear econometric models; numerical solution methods
• Subjects: C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables; C - Mathematical and Quantitative Methods > C8 - Data Collection and Data Estimation Methodology ; Computer Programs > C87 - Econometric Software

References

[1] Bianchi, C., G. Calzolari and P.Corsi, "A Program for Stochastic Simulation of Econometric Models", Econometrica, 46 (1978), 235-236.

[2] Bianchi, C., G. Calzolari and P.Corsi, "Stochastic Simulation of Econometric Models: Installation Procedures and User's Instructions", IBM Technical Report 0513-3568, Pisa, (1978).

[3] IBM, "Virtual Machine Facility/370: CMS Command and Macro Reference", GC20-1818, IBM, New York, (1976).

[4] Klein, L. R. (1969): "Estimation of lnterdependent Systems in Macroeconometrics", Econometrica, 37 (1969), 171-192.

[5] Van der Giessen,A.A., "Solving non Linear Systems by Computer: a New Method", Statistica Neederlandica, 24 (1970), 41-50.