APRScenario 0.0.4.0

Bug fixes

• Fixed a critical transcription error in the moving-average (IRF) recursion of mat_forc() / big_b_and_M(): the code computed M_i = sum_j M_j B_j instead of M_i = sum_j M_{i-j} B_j (Antolin-Diaz, Petrella and Rubio-Ramirez, 2021, Appendix A). Impact and one-step-ahead responses were unaffected, but all IRF matrices two or more steps after the shock were incorrect. Consequently, results from scenarios(), forc_h() and KL() at forecast horizons of 3 or more periods change with this release and should be recomputed. The corrected matrices now reproduce bsvars::compute_impulse_responses() at machine precision (see the new regression tests).

• Fixed the shock-to-horizon pairing in the simulation loop of forc_h() (the shock dated t+tt was multiplied by the IRF of tt-1 steps instead of h-tt steps). Per-horizon forecast quantiles were unaffected in distribution; the joint distribution of simulated paths across horizons is now coherent.

New features

• Cross-platform parallelization, contributed by Tito Quadri. big_b_and_M() and scenarios() gain n_cores and parallel arguments; work is distributed over posterior draws using forked processes on Unix/macOS or a PSOCK cluster on Windows (parallel = "auto" picks the backend). The computation is also restructured to build all horizons in a single pass per draw, which makes it substantially faster even in the default serial mode.

• forc_h() restructured like scenarios(): forecast matrices are built in a single pass per draw and the shock simulation uses batched per-draw matrix products, both parallelized over posterior draws on all platforms (roughly 15x faster serially, more with several workers). Given the same seed, results are identical for any max_cores value and backend.

• Windows compatibility of the remaining fork-based steps: gen_mats() and KL() now fall back to serial execution on Windows instead of erroring when more than one core is requested (these steps are computationally light; the heavy draw-level computation in big_b_and_M()/scenarios()/forc_h() is parallelized on all platforms via PSOCK clusters).

• DESCRIPTION gains URL and BugReports fields.

Authors

• Tito Quadri joins as package author.