Taking Perturbation to the Accuracy Frontier: A Hybrid of Local and Global Solutions
AbstractLocal (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.
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Bibliographic InfoPaper provided by CEPREMAP in its series Dynare Working Papers with number 6.
Length: 17 pages
Date of creation: May 2011
Date of revision: Jul 2012
Dynare; Perturbation; Hybrid; Accuracy; Numerical methods; Approximation;
Other versions of this item:
- Lilia Maliar & Serguei Maliar & Sébastien Villemot, 2013. "Taking Perturbation to the Accuracy Frontier: A Hybrid of Local and Global Solutions," Computational Economics, Society for Computational Economics, vol. 42(3), pages 307-325, October.
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- C68 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computable General Equilibrium Models
- C88 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Other Computer Software
- F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
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