@sebastien Do I understand it correctly that pruning at higher order would require changing the Dynare++ routines?

Implementing higher order pruning within Dynare++ is probably the most natural route, but it’s not the only one. We could also implement something in MATLAB, as has been done for 2nd and 3rd order. As always, it’s a trade-off between performance and ease of implementation.

Given that higher order solutions result in massive computations, we should go for performance.

If you think we should implement higher-order pruning, please open a new ticket (ideally with some references to a description of the algorithm).