@@ -138,7 +138,12 @@ steady state or the dynamic residuals when the nonlinear solver is used. (#349)
- :warning: `mode_compute` will recursively update the covariance matrix across the `NumberOfMh` Metropolis-Hastings runs, starting with the `InitialCovarianceMatrix` in the first run, instead of computing it from scratch in every Metropolis-Hastings run (e5102eee)
- Implementation of the Sequential Monte-Carlo sampler (new value `hssmc` for option `posterior_sampling_method`) as described by Herbst and Schorfheide (JAE, 2014).
- Implementation of the Sequential Monte-Carlo sampler (new value `hssmc` for option `posterior_sampling_method`) as described by Herbst and Schorfheide (JAE, 2014).
- Implementation of IRF matching with stochastic simulations. Dynare supports both Frequentist (as in Christiano, Eichenbaum, and Evans (2005, JPE)) as well as Bayesian IRF matching approaches (as in Christiano, Trabandt, and Walentin (2010, Handbook)). The core idea of IRF matching is to treat empirical impulse responses (e.g. given from a SVAR or local projection estimation outside) as data
and select model parameters that align the model's IRFs closely with their empirical counterparts.
New option `mom_method=IRF_MATCHING` to `method_of_moments` command and new blocks `matched_irfs` and matched_irfs_weights` to specify the values and weights of the empirical impulse response functions.
