English, Article, Journal or magazine article edition: Parameterized Expectations Algorithm and the Moving Bounds: a comment on convergence properties Javier J. Pérez; A. Jesús Sánchez

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Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Parameterized Expectations Algorithm and the Moving Bounds: a comment on convergence properties
Author
  • Javier J. Pérez
  • A. Jesús Sánchez
Physical Description
  • preprint
Notes
  • In this paper we analyze the convergence properties of the moving bounds algorithm to initialize the Parameterized Expectations Algorithm suggested by Maliar and Maliar (2003) [Journal of Business and Economic Statistics 1, pp. 88-92]. We carry out a Monte Carlo experiment to check its performance against some initialization alternatives based on homotopy principles. We do so within the framework of two standard neoclassical growth models. We show that: (i) speed of convergence is poor as compared to alternatives; (ii) starting from a not very accurate initial guess might prevent convergence in relatively simple models. The results suggest the need to fine tune Maliar and Maliar's method to improve its convergence properties.
  • Nonlinear models; Numerical solution methods; Parameterized Expectations algorithm; Optimal growth
  • RePEc:cea:doctra:e2005_12
Language
  • English
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