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DynareOBC v2.00.1428
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@tholden tholden released this 09 Feb 17:18
· 546 commits to master since this release
v2.00.1428
0acf79b

This is a bug-fixing replacement for the previous release.

Two bugs are fixed. Firstly, there was a bug wherein during estimation, the scaling of the M matrix was not being updated appropriately. Secondly, there was a bug that led to crashes from InitialChecks in rare situations where MATLAB reported a matrix as being full rank, but it still failed to possess an inverse. This release also includes cosmetic updates to the Estimation paper.

The release notes of the previous release follow.

This releases introduces a major change to the core algorithm used to solve the LCP. In essence, rather than trying repeated brute force approaches at progressively longer horizons, DynareOBC now more carefully analyses the M matrix, permitting it to use a non-brute force approach most of the time.

Additionally, this release introduces the new estimation approach, which uses an Extended Skew T (EST) distribution to approximate the distribution of the state. The EST approximation should better capture the skewness and kurtosis introduced by occasionally binding constraints.

This release also updates the approach for detecting VC redistributables, to one that is hopefully more robust. You may be asked to update your VC redistributables after upgrading to this release.

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