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DynareOBC v2.72.1620
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@tholden tholden released this 11 Dec 16:39
· 354 commits to master since this release
v2.72.1620
1057d1a

This is a pure bug fix release. The previous release failed when ran with the sparse option. This release fixes that bug. The release notes from the previous release follow.

This release fixes a bug preventing the use of cubature in models with only a single shock, as well as updating various dependencies.

It also changes how impulse responses are calculated in the presence of correlated shocks. Rather than following Dynare and using the Cholesky decomposition, DynareOBC now takes the matrix square root. In most cases, this is far more sensible. For example, in a symmetric multi-country model, with correlated productivity shocks across countries, taking the matrix square root ensures that the impulse responses are identical in all countries, something that is not true under the Cholesky decomposition.

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