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DynareOBC v2.83.1661
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@tholden tholden released this 13 Sep 15:26
· 313 commits to master since this release
v2.83.1661
fb28b33

This release introduces two new options:

  • ImportanceSamplingMinConstraintProbability which controls how unlikely hitting the bound in future has to be in some state before it is ignored.
  • SecondOrderConditionalCovariance which tells DynareOBC to use a second order approximation to the conditional covariance. This was the old default, but since it is rather slow, I have made the default the faster, less accurate alternative.

Additionally, in this release I have:

  • Scaled importance sampling weights in a way which should be both more accurate, and more numerically robust. (The first stage integration is used to get an accurate measure of the probability of hitting the bound, and then this probability is used for weighting in the second stage.)
  • Fixed a bug that was creating an infinite loop in installing the Visual C++ redistributables.
  • Increased speed for cubature and importance sampling.
  • Moments can now be generated for the automatically created dynareOBCZeroLowerBounded1 endogenous variables.
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