Peter J Wilcoxen > Computational General Equilibrium

Solution Methods

Numerical methods and software for solving large general equilibrium models.

General

Numerical Methods in General

Press, William H., Brian P. Flannery, Saul A. Teukolsky and William T. Vetterling (1986), Numerical Recipes, New York: Cambridge University Press, Sections 2.0, 2.1, 9.6, 15.0, 15.1, 15.4, and 16.0-16.3.

Two-Point Boundary Value Problems in Economics

Wilcoxen, Peter J (1995), Intertemporal Optimization in General Equilibrium: A Practical Introduction. Discusses solving intertemporal models with foresight, which typically take the form of two-point boundary value systems of differential equations.

Algorithms

Newton's Method

Also see the downloadable software section below.

Johansen's Method

Dixon, Peter B., B.R. Parmenter, Alan A. Powell and Peter J. Wilcoxen (1992), Notes and Problems in Applied General Equilibrium Economics, Amsterdam: North-Holland, Chapter 3, "The Johansen Approach".

Johansen, Leif (1960), A Multi-Sectoral Study of Economic Growth, Amsterdam: North-Holland.

Shooting
Multiple Shooting

Lipton, David, James Poterba, Jeffrey Sachs and Lawrence Summers (1982), "Multiple Shooting in Rational Expectations Models," Econometrica, 50(5): 1329-1333.

Fair-Taylor

Fair, R.C. and J.B. Taylor (1983), "Solution and Maximum Likelihood Estimation of Dynamic Nonlinear Rational Expectations Models," Econometrica, 51(4), 1169-1185.

Fair, Ray C. and John B. Taylor (1990), "Full Information Estimation and Stochastic Simulation Models with Rational Expectations," Journal of Applied Econometrics, 5: 381-392.

Also see the downloadable software section below.

Finite Differences
Simplex -Based Approaches

Scarf, Herbert (1973), The Computation of Economic Equilibria, New Haven: Yale University Press, Chapter 2.

Shoven, John B. and John Whalley (1992), Applying General Equilibrium, New York: Cambridge University Press, Chapter 3.

Programming Languages

Ox

A well-designed matrix programming language. An alternative to Gauss and Matlab. See About Ox

Gempack

Codsi, George, K.R. Pearson and Peter J. Wilcoxen (1992), "General-Purpose Software for Intertemporal Economic Models", Computer Science in Economics and Management.

Impact Project (1992), "An Introduction to GEMPACK," GEMPACK Document Number 1, Melbourne: The Impact Project, Monash University.

See also: About Gempack.

GAMS

Brooke, Anthony, David Kendrick and Alexander Meeraus (1988), GAMS: A User's Guide, Redwood City, California: The Scientific Press. (The GAMS manual.)

See also: About GAMS.

Fortran and C

See the downloadable software section.

Downloadable Software

Fair-Taylor Algorithm
Newton's Method in Ox
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Peter J Wilcoxen, The Maxwell School, Syracuse University
Revised 02/24/2005