Alternatives to initialize the Parameterized Expectations Algorithm
AbstractIn this paper we analyze the convergence properties of some standard approaches to initialize the Parameterized Expectations Algorithm. We carry out a Monte Carlo experiment to compare their performance in computational terms. We do so within the framework of the standard neoclassical growth model and of the monetary model of Cooley and Hansen (Cooley, T.F., Hansen, G., 1989. The Inflation Tax in a Real Business Cycle Model. American Economic Review 79, 733-748).
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 102 (2009)
Issue (Month): 2 (February)
Contact details of provider:
Web page: http://www.elsevier.com/locate/ecolet
Nonlinear models Numerical solution methods Parameterized Expectations Algorithm Optimal growth;
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Cooley, T.F. & Hansen, G.D., 1988.
"The Inflation Tax In A Real Business Cycle Model,"
RCER Working Papers
155, University of Rochester - Center for Economic Research (RCER).
- Lilia Maliar & Serguei Maliar, 2005.
"Parameterized Expectations Algorithm: How to Solve for Labor Easily,"
Society for Computational Economics, vol. 25(3), pages 269-274, June.
- Lilia Maliar & Serguei Maliar, 2004. "Parameterized Expectations Algorithm: How To Solve For Labor Easily," Working Papers. Serie AD 2004-40, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Albert Marcet & David A. Marshall, 1994.
"Solving nonlinear rational expectations models by parameterized expectations: Convergence to stationary solutions,"
Economics Working Papers
76, Department of Economics and Business, Universitat Pompeu Fabra.
- Albert Marcet & David A. Marshall, 1994. "Solving nonlinear rational expectations models by parameterized expectations: convergence to stationary solutions," Discussion Paper / Institute for Empirical Macroeconomics 91, Federal Reserve Bank of Minneapolis.
- Albert Marcet & David A. Marshall, 1994. "Solving nonlinear rational expectations models by parameterized expectations: convergence to stationary solutions," Working Paper Series, Macroeconomic Issues 94-20, Federal Reserve Bank of Chicago.
- Maliar, Lilia & Maliar, Serguei, 2003.
"Parameterized Expectations Algorithm and the Moving Bounds,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 21(1), pages 88-92, January.
- Lilia Maliar & Serguei Maliar, 2001. "Parametrized Expectations Algorithm And The Moving Bounds," Working Papers. Serie AD 2001-23, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Lilia Maliar & Serguei Maliar, 2003. "Matlab code for Solving a Neoclassical Growh Model with a Parametrized Expectations Algorithm and Moving Bounds," QM&RBC Codes 54, Quantitative Macroeconomics & Real Business Cycles.
- Den Haan, Wouter J & Marcet, Albert, 1994.
"Accuracy in Simulations,"
Review of Economic Studies,
Wiley Blackwell, vol. 61(1), pages 3-17, January.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.