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

Lilia Maliar, Serguei Maliar and Sébastien Villemot

No 6, Dynare Working Papers from CEPREMAP

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.

Keywords: Dynare; Perturbation; Hybrid; Accuracy; Numerical methods; Approximation (search for similar items in EconPapers)
JEL-codes: C63 C68 C88 F41 (search for similar items in EconPapers)
Pages: 17 pages
Date: 2011-05, Revised 2012-07
New Economics Papers: this item is included in nep-cmp
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Related works:
Journal Article: Taking Perturbation to the Accuracy Frontier: A Hybrid of Local and Global Solutions (2013)
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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Persistent link: https://EconPapers.repec.org/RePEc:cpm:dynare:006

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