Parameterized Expectations Algorithm and the Moving Bounds: a comment on convergence properties
Javier Pérez () and
Antonio Jesus Sanchez Fuentes ()
No E2005/12, Economic Working Papers at Centro de Estudios Andaluces from Centro de Estudios Andaluces
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.
Keywords: Nonlinear models; Numerical solution methods; Parameterized Expectations algorithm; Optimal growth (search for similar items in EconPapers)
JEL-codes: C63 E17 (search for similar items in EconPapers)
Pages: 13 pages
New Economics Papers: this item is included in nep-cmp, nep-dge and nep-mac
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Persistent link: https://EconPapers.repec.org/RePEc:cea:doctra:e2005_12
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