DynareOBC v2.10.1472

This release is primarily focused on refactoring the code structure for greater manageability. All of the estimation code has been moved into a separate sub-module, with its own examples, documentation and tests, and throughout the folder structure has been improved.

However, this release does add one significant new feature (by request), namely the ability to set the initial state from which a simulation run starts, using the InitialStateFile option. Furthermore, a reduced, updated, version of the OptiToolbox is now included with DynareOBC, reducing the amount DynareOBC downloads on its first run (though increasing the size of the release here).

Additionally, this release fixes bugs in estimation, bugs in models without OBCs, bugs in the "bypass" command and bugs in the simulation of model local variables.

DynareOBC v2.00.1428

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.

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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.

DynareOBC v2.00.1419

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.

DynareOBC v1.6.1188

Due to release v1.6.1186 initially having incorrect packaging, I am releasing an almost identical new release just 24 hours later.

v1.6.1186 was a minor update release. It:

• replaces the old slides with some new non-technical slides,
• introduces some new sample NK mod files,
• performs clean-up of DynareOBC both before and after each run,
• performs clean-up everywhere on the path, as well as in the current folder, to prevent some rare problems,
• improves the handling of comments within MOD files.

Additionally, this release (v1.6.1188):

• reduces the default MaxCubatureDegree to 5, which ought to mean more NK models are able to run with the default options,
• reintroduces the technical slides.

DynareOBC v1.6.1186

This is a minor update release. This release:

• replaces the old slides with some new non-technical slides,
• introduces some new sample NK mod files,
• performs clean-up of dynareOBC both before and after each run,
• performs clean-up everywhere on the path, as well as in the current folder, to prevent some rare problems,
• improves the handling of comments within MOD files.

DynareOBC v1.5.1179

This is a further minor bug fix release. The following two bugs are fixed:

• With Dynare 4.4.3 (rather than unstable), at least during estimation, DynareOBC was failing at third order, since k_order_solver was not being manually specified.
• Estimation was sometimes timing out even on the initial evaluation.

DynareOBC v1.5.1177

This is a further bug fix release. Fixed bugs include:

• DynareOBC was failing to store globals on parallel pool workers on old versions of MATLAB (those without gcp).
• CMAESWrapper was wrongly detecting the number of parallel workers on old versions of MATLAB (those without gcp).
• The CLP solver was failing in some situations. It has now been removed from the list of LP solvers to use.
• Following a problem that led to a corrupted FastStart.mat, DynareOBC was failing when attempting to load the corrupted file.

DynareOBC v1.5.1168

This is another minor bug-fix release. This release fixes a bug that was previously preventing MOD files including a _steadystate.m file that set parameters from working as intended. It also adds support for _steadystate2.m files.

DynareOBC v1.5.1166

This minor bug fix release fixes an issue only present when using the very latest Dynare Unstable, causing an error in DispMoments.

DynareOBC v1.5.1165

This minor update fixes the URLs to download the required VC++ redistributables, as the previous ones were deleted by Microsoft. It also incorporates the following minor improvements:

• The "linear" keyword is now always removed from the model statements.
• The main DynareOBC file now has the documentation as it's top comment, so MATLAB help for DynareOBC displays the documentation.