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DynareOBC v2.70.1608
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@tholden tholden released this 14 Oct 16:52
· 366 commits to master since this release
v2.70.1608
3b1174a

This release introduces some significant improvements to cubature and IRF calculation. It also changes some popular options, justifying the bump in the version number. In particular:

  • This release makes performing no cubature the default, so there is no longer any need to use the NoCubature option, which is only left for backwards compatibility. My hope is that this change will make DynareOBC easier for people to get started with.
  • This release replaces the old MaxCubatureDegree option, with the new option GaussianCubatureDegree. Specifying a value for this option turns on Gaussian cubature (the old default).
  • This release introduces a new cubature algorithm based on points from a higher order Sobol sequence, which may be invoked by setting the HigherOrderSobolDegree option.
  • This release introduces a new option ImportanceSampling that increases the efficiency of the other cubature rules via importance sampling. This could potentially lead to large accuracy gains. (Accuracy results with the new option will be available shortly.)
  • This release introduces a new option MedianIRFs for calculating median IRFs, rather than mean IRFs. This is necessary to replicate the results of this paper: https://ideas.repec.org/p/zbw/esprep/168441.html
  • This release removes one point from the cubature rule used with FastCubature. This is a minor performance improvement, which may improve accuracy on some models, and worsen it on others.
  • This release improves the reliability of the CubatureAcceleration option.
  • This release improves the performance of the higher order Sobol integration used within the EST-NLSS sub-module.
  • This release also contains minor performance improvements, coding standards fixes, and updates to sub-modules.
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