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Computational Economics

, Volume 42, Issue 3, pp 307–325 | Cite as

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

  • Lilia Maliar
  • Serguei MaliarEmail author
  • Sébastien Villemot
Article

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 

JEL Classification

C63 C68 C88 F41 

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Copyright information

© Springer Science+Business Media New York 2012

Authors and Affiliations

  • Lilia Maliar
    • 1
    • 2
  • Serguei Maliar
    • 1
    • 2
    Email author
  • Sébastien Villemot
    • 3
  1. 1.Hoover Institution at Stanford UniversityStanfordUSA
  2. 2.University of AlicanteAlicanteSpain
  3. 3.CEPREMAPParis School of EconomicsParisFrance

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