Econometric Analysis of Large Factor Models

Parallel algorithms for large scale econometric models

In this paper we have developed algorithms to solve macroeconometric models with forward-looking variables based on Newton method for nonlinear systems of equations. The most difficult step for Newton methods represents the resolution of a large linear system for each iteration. Thus, we compare the performances resulted by solving this linear system using two iterative methods and the direct m...

Econometric Analysis of Models with Social Interactions

On the Qualitative Analysis of Econometric Models

In this paper, I review a number of techniques which are based on the qualitative features of an econometric model (presence of a variable in a relationship .) The issues addressed span from the reconstruction of the theoretical structure behind the model speciication (which is oftentimes lost as the size of the model increases) to the possibility of reordering the equations aimed at achieving ...

Lexicographic All Circuits Enumeration in Large Scale Macro-econometric Models

This contribution is deliberately application-oriented. Conversely, the considered application introduces new circumstances and helpful designs for the graph techniques and interpretations. This study seeks to improve the knowledge of the the cyclical structure of macro-econometric models. The retained application is a recent academic model from Fair ’94 for the United States. This empirical ec...

Analysis of Hierarchical Bayesian Models for Large Space Time Data of the Housing Prices in Tehran

Housing price data is correlated to their location in different neighborhoods and their correlation is type of spatial (location). The price of housing is varius in different months, so they also have a time correlation. Spatio-temporal models are used to analyze this type of the data. An important purpose of reviewing this type of the data is to fit a suitable model for the spatial-temporal an...