Taking Perturbation to the Accuracy Frontier: A Hybrid of Local and Global Solutions

Lilia Maliar, Serguei Maliar and Sébastien Villemot

Computational Economics, 2013, vol. 42, issue 3, 307-325

Abstract: Local (perturbation) methods compute solutions in one point and tend to deliver far lower accuracy levels than global solution methods. We develop a hybrid method that solves for some policy functions locally (using a perturbation method) and that solves for the other policy functions globally (using closed-form expressions and a numerical solver). We applied our hybrid method to solve large-scale RBC models used in the comparison analysis of Kollmann et al. (J Econ Dyn Control 35:186–202, 2011b ). We obtain more accurate solutions than those produced by any other (either local or global) solution method participating in that comparison. Our running time is a few seconds. Copyright Springer Science+Business Media New York 2013

Keywords: Dynare; Perturbation; Hybrid; Accuracy; Numerical methods; Approximation; C63; C68; C88; F41 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (11)

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Working Paper: Taking Perturbation to the Accuracy Frontier: A Hybrid of Local and Global Solutions (2012)
Working Paper: Taking Perturbation to the Accuracy Frontier: A Hybrid of Local and Global Solutions (2012)
Working Paper: Taking Perturbation to the Accuracy Frontier: A Hybrid of Local and Global Solutions (2012)
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DOI: 10.1007/s10614-012-9342-y

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