2022-01-07 11:57:51 +01:00
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Announcement for Dynare 5.0 (on 2022-01-07)
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===========================================
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We are pleased to announce the release of Dynare 5.0.
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This major release adds new features and fixes various bugs.
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The Windows, macOS and source packages are already available for download at
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[the Dynare website](https://www.dynare.org/download/).
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All users are strongly encouraged to upgrade.
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This release is compatible with MATLAB versions ranging from 8.3 (R2014a) to
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9.11 (R2021b), and with GNU Octave version 6.4.0 (under Windows).
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The new tools for semi-structural models and the improvements on the nonlinear
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2022-01-07 16:52:14 +01:00
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solvers were funded by the European Central Bank. Special thanks to Nikola
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Bokan (ECB) for his contributions and numerous bug reports and fixes.
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2022-01-07 11:57:51 +01:00
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Major user-visible changes
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--------------------------
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- New routines for simulating semi-structural (backward) models where
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some equations incorporate expectations based on future values of a VAR or
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trend component model. See the `var_model`, `trend_component_model` and
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`var_expectation_model` commands, and the `var_expectation` operator.
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- New routines for simulating semi-structural models where some equations are
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specified using the polynomial adjustment costs (PAC) approach, as in the
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FRB/US model (see Brayton et al., 2014 and Brayton et al., 2000) and the
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ECB-BASE model (see Angelini et al., 2019). The forward-looking terms of the
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PAC equations can be computed either using a satellite VAR model, or using
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full model-consistent expectations. See the `pac_model` command and the
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`pac_expectation` operator.
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- New Method of Moments toolbox that provides functionality to estimate
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parameters by (i) Generalized Method of Moments (GMM) up to 3rd-order pruned
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perturbation approximation or (ii) Simulated Method of Moments (SMM) up to
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any perturbation approximation order. The toolbox is inspired by replication
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2022-01-07 12:26:38 +01:00
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codes accompanying Andreasen et al. (2018), Born and Pfeifer (2014), and
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2022-01-07 11:57:51 +01:00
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Mutschler (2018). It is accessible via the new `method_of_moments` command
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and the new `matched_moments` block. Moreover, by default, a new non-linear
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least squares optimizer based on `lsqnonlin` is used for minimizing the
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method of moments objective function (available under `mode_compute=13`).
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2022-01-07 12:26:38 +01:00
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GMM can further benefit from using gradient-based optimizers (using
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2022-01-07 11:57:51 +01:00
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`analytic_standard_errors` option and/or passing `'Jacobian','on'` to the
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optimization options) as the Jacobian of the moment conditions can be
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computed analytically.
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- Implementation of the Occbin algorithm by Guerrieri and Iacoviello (2015),
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together with the inversion filter of Cuba-Borda, Guerrieri, Iacoviello, and
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Zhong (2019) and the piecewise Kalman filter of Giovannini, Pfeiffer, and
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Ratto (2021). It is available via the new block `occbin_constraints` and the
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2022-01-07 12:26:38 +01:00
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new commands `occbin_setup`, `occbin_solver`, `occbin_graph`, and
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2022-01-07 11:57:51 +01:00
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`occbin_write_regimes`.
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- Stochastic simulations
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- `stoch_simul` now supports theoretical moments at `order=3` with
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`pruning`.
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- `stoch_simul` now reports second moments based on the pruned state space
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if the `pruning` option is set (in previous Dynare releases it would
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report a second-order accurate result based on the linear solution).
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- Estimation
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- Performance optimization to pruned state space systems and Lyapunov
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2022-01-07 11:57:51 +01:00
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solvers.
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- New option `mh_posterior_mode_estimation` to `estimation` to perform
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mode-finding by running the MCMC.
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2022-01-07 12:26:38 +01:00
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- New heteroskedastic filter and smoother, where shock standard errors may
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*unexpectedly* change in every period. Triggered by the
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2022-01-07 11:57:51 +01:00
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`heteroskedastic_filter` option of the `estimation` command, and
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configured via the `heteroskedastic_shocks` block.
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- New option `mh_tune_guess` for setting the initial value for
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`mh_tune_jscale`.
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- New option `smoother_redux` to `estimation` and `calib_smoother` to
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trigger computing the Kalman smoother on a restricted state space instead
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of the full one.
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- New block `filter_initial_state` for setting the initial condition of the
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Kalman filter/smoother.
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- New option `mh_initialize_from_previous_mcmc` to the `estimation` command
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that allows to pick initial values for a new MCMC from a previous one.
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- The `xls_sheet` option of the `estimation` command now takes a quoted
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string as value. The former unquoted syntax is still accepted, but no
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longer recommended.
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2022-01-07 12:26:38 +01:00
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- New option `particle_filter_options` to set various particle filter options.
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2022-01-07 11:57:51 +01:00
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- Perfect foresight and extended path
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- New specialized algorithm in `perfect_foresight_solver` to deal with
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purely static problems.
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- The `debug` option of `perfect_foresight_solver` provides debugging
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information if the Jacobian is singular.
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- In deterministic models (perfect foresight or extended path), exogenous
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variables with lead/lags are now replaced by auxiliary variables. This
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brings those models in line with the transformation done on stochastic
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2022-01-07 12:26:38 +01:00
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models. However, note that the transformation is still not exactly the same
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2022-01-07 11:57:51 +01:00
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between the two classes of models, because there is no need to take into
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2022-01-07 12:26:38 +01:00
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account the Jensen inequality for the latter. In deterministic models,
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2022-01-07 11:57:51 +01:00
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there is a one-to-one mapping between exogenous with lead/lags and
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auxiliaries, while in stochastic models, an auxiliary endogenous may
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correspond to a more complex nonlinear expression.
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- Optimal policy
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- Several improvements to `evaluate_planner_objective`:
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- it now applies a consistent approximation order when doing the
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computation;
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- in addition to the conditional welfare, it now also provides the
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unconditional welfare;
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- in a stochastic context, it now works with higher order approximation
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(only the conditional welfare is available for order ⩾ 3);
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- it now also works in a perfect foresight context.
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- `discretionary_policy` is now able to solve nonlinear models (it will
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then use their first-order approximation, and the analytical steady state
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must be provided).
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- Identification
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- New option `schur_vec_tol` to the `identification` command, for setting
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2022-01-07 12:26:38 +01:00
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the tolerance level used to find nonstationary variables in the Schur
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decomposition of the transition matrix.
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- The `identification` command now supports optimal policy.
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- Shock decomposition
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- The `fast_realtime` option of the `realtime_shock_decomposition` command
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now accepts a vector of integers, which runs the smoother for all the
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specified data vintages.
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- Macro processor
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- Macroprocessor variables can be defined without a value (they are
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assigned integer 1).
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- LaTeX and JSON outputs
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- New `nocommutativity` option to the `dynare` command. This option tells
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the preprocessor not to use the commutativity of addition and
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multiplication when looking for common subexpressions. As a consequence,
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when using this option, equations in various outputs (LaTeX, JSON…) will
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appear as the user entered them (without terms or factors swapped). Note
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that using this option may have a performance impact on the preprocessing
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stage, though it is likely to be small.
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- Model-local variables are now substituted out as part of the various
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model transformations. This means that they will no longer appear in
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LaTeX or in JSON files (for the latter, they are still visible with
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`json=parse` or `json=check`).
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- Compilation of the model (`use_dll` option)
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- Block decomposition (option `block` of `model`) can now be used in
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conjunction with the `use_dll` option.
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- The `use_dll` option can now directly be given to the `dynare` command.
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- dseries classes
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- Routines for converting between time series frequencies (e.g. daily to
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monthly) have been added.
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- dseries now supports bi-annual and daily frequency data.
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- dseries can now import data from [DBnomics](https://db.nomics.world), via
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the [mdbnomics](https://git.dynare.org/dbnomics/mdbnomics) plugin. Note
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that this does not yet work under Octave. For the time being, the
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DBnomics plugin must be installed separately.
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- Misc improvements
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- The `histval_file` and `initval_file` commands have been made more
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flexible and now have functionalities similar to the `datafile` option of
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the `estimation` command.
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- When using the `loglinear` option, the output from Dynare now clearly
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shows that the results reported concern the log of the original variable.
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- Options `block` and `bytecode` of `model` can now be used in conjunction
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with model-local variables (variables declared with a pound-sign `#`).
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- The `model_info` command now prints the typology of endogenous variables
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for non-block decomposed models.
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- The total computing time of a run (in seconds) is now saved to `oo_.time`.
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- New `notime` option to the `dynare` command, to disable the printing and
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the saving of the total computing time.
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- New `parallel_use_psexec` command-line Windows-specific option for
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parallel local clusters: when `true` (the default), use `psexec` to spawn
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processes; when `false`, use `start`.
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- When compiling from source, it is no longer necessary to pass the
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`MATLAB_VERSION` version to the configure script; the version is now
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automatically detected.
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Incompatible changes
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--------------------
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- Dynare will now generally save its output in the `MODFILENAME/Output` folder
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(or the `DIRNAME/Output` folder if the `dirname` option was specified)
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instead of the main directory. Most importantly, this concerns the
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`_results.mat` and the `_mode.mat` files.
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- The structure of the `oo_.planner_objective` field has been changed, in
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relation to the improvements to `evaluate_planner_objective`.
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- The preprocessor binary has been renamed to `dynare-preprocessor`, and is
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now located in a dedicated `preprocessor` subdirectory.
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- The `dynare` command no longer accepts `output=dynamic` and `output=first`
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(these options actually had no effect).
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- The minimal required MATLAB version is now R2014a (8.3).
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- The 32-bit support has been dropped for Windows.
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Bugs that were present in 4.6.4 and that have been fixed in 5.0
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---------------------------------------------------------------
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* Equations marked with `static`-tags were not detrended when a `deflator` was
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specified
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* Parallel execution of `dsge_var` estimation was broken
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* The preprocessor would incorrectly simplify forward-looking constant
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equations of the form `x(+1)=0` to imply `x=0`
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* Under some circumstances, the use of the `model_local_variable` statement
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would lead to a crash of the preprocessor
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* When using the `block`-option without `bytecode` the residuals of the static
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model were incorrectly displayed
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* When using `k_order_solver`, the `simult_` function ignored requested
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approximation orders that differed from the one used to compute the decision
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rules
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* Stochastic simulations of the `k_order_solver` without `pruning` iterated on
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the policy function with a zero shock vector for the first (non-endogenous)
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period
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* `estimation` would ignore the mean of non-zero observables if the mean was 0
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for the initial parameter vector
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* `mode_check` would crash if a parameter was estimated to be exactly 0
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* `load_mh_file` would not be able to load the proposal density if the previous run
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was done in parallel
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* `load_mh_file` would not work with MCMC runs from Dynare versions before
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4.6.2
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* `ramsey_model` would not correctly work with `lmmcp`
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* `ramsey_model` would crash if a non-scalar error code was encountered during
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steady state finding.
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* Using undefined objects in the `planner_objective` function would yield an
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erroneous error message about the objective containing exogenous variables
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* `model_diagnostics` did not correctly handle a previous `loglinear` option
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* `solve_algo=3` (csolve) would ignore user-set `maxit` and `tolf` options
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* The `planner_objective` values were not based on the correct initialization
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of auxiliary variables (if any were present)
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* The `nostrict` command line option was not ignoring unused endogenous
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variables in `initval`, `endval`, and `histval`
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* `prior_posterior_statistics_core` could crash for models with eigenvalues
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very close to 1
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* The display of the equation numbers in `debug` mode related to issues in the
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Jacobian would not correctly take auxiliary equations into account
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* The `resid` command was not correctly taking auxiliary and missing equations
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related to optimal policy (`ramsey_model`, `discretionary_policy`) into
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account
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* `bytecode` would lock the `dynamic.bin` file upon encountering an exception,
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requiring a restart of MATLAB to be able to rerun the file
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* Estimation with the `block` model option would crash when calling the block
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Kalman filter
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* The `block` model option would crash if no `initval` statement was present
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* Having a variable with the same name as the mod-file present in the base
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workspace would result in a crash
|
|
|
|
|
* `oo_.FilteredVariablesKStepAheadVariances` was wrongly computed in the Kalman
|
|
|
|
|
smoother based on the previous period forecast error variance
|
|
|
|
|
* Forecasts after `estimation` would not work if there were lagged exogenous
|
|
|
|
|
variables present
|
|
|
|
|
* Forecasts after `estimation` with MC would crash if measurement errors were
|
|
|
|
|
present
|
|
|
|
|
* Smoother results would be infinity for auxiliary variables associated with
|
|
|
|
|
lagged exogenous variables
|
|
|
|
|
* In rare cases, the posterior Kalman smoother could crash due to previously
|
|
|
|
|
accepted draws violating the Blanchard-Kahn conditions when using an
|
|
|
|
|
unrestricted state space
|
|
|
|
|
* `perfect_foresight_solver` would crash for purely static problems
|
|
|
|
|
* Monte Carlo sampling in `identification` would crash if the minimal state
|
|
|
|
|
space for the Komunjer and Ng test could not be computed
|
|
|
|
|
* Monte Carlo sampling in `identification` would skip the computation of
|
|
|
|
|
identification statistics for all subsequent parameter draws if an error was
|
|
|
|
|
triggered by one draw
|
|
|
|
|
* The `--steps`-option of Dynare++ was broken
|
|
|
|
|
* `smoother2histval` would crash if variable names were too similar
|
|
|
|
|
* `smoother2histval` was not keeping track of whether previously stored results
|
|
|
|
|
were generated with `loglinear`
|
|
|
|
|
* The `initval_file` option was not supporting Dynare’s translation of a model
|
|
|
|
|
into a one lead/lag-model via auxiliary variables
|
|
|
|
|
|
|
|
|
|
References
|
|
|
|
|
----------
|
|
|
|
|
|
2022-01-07 12:26:38 +01:00
|
|
|
|
- Andreasen et al. (2018): “The pruned state-space system for non-linear DSGE
|
|
|
|
|
models: Theory and empirical applications,” Review of Economic Studies,
|
2022-01-07 11:57:51 +01:00
|
|
|
|
85(1), 1–49
|
|
|
|
|
|
|
|
|
|
- Angelini, Bokan, Christoffel, Ciccarelli and Zimic (2019): “Introducing
|
|
|
|
|
ECB-BASE: The blueprint the new ECB semi-structural model for the euro area,”
|
|
|
|
|
ECB Working Paper no. 2315
|
|
|
|
|
|
|
|
|
|
- Born and Pfeifer (2014): “Policy risk and the business cycle,” Journal of
|
|
|
|
|
Monetary Economics, 68, 68–85
|
|
|
|
|
|
2022-01-07 12:26:38 +01:00
|
|
|
|
- Brayton, Davis and Tulip (2000): “Polynomial adjustment costs in FRB/US,”
|
2022-01-07 11:57:51 +01:00
|
|
|
|
Unpublished manuscript
|
|
|
|
|
|
2022-01-07 12:26:38 +01:00
|
|
|
|
- Brayton, Laubach, and Reifschneider (2014): “The FRB/US Model: A tool for
|
|
|
|
|
macroeconomic policy analysis,” FEDS Notes. Washington: Board of Governors
|
2022-01-07 11:57:51 +01:00
|
|
|
|
of the Federal Reserve System, https://doi.org/10.17016/2380-7172.0012
|
|
|
|
|
|
|
|
|
|
- Cuba-Borda, Guerrieri, Iacoviello, and Zhong (2019): “Likelihood evaluation
|
|
|
|
|
of models with occasionally binding constraints,” Journal of Applied
|
|
|
|
|
Econometrics, 34(7), 1073–1085
|
|
|
|
|
|
2022-01-07 12:26:38 +01:00
|
|
|
|
- Giovannini, Pfeiffer, and Ratto (2021): “Efficient and robust inference of
|
2022-01-07 11:57:51 +01:00
|
|
|
|
models with occasionally binding constraints,” Working Paper 2021-03, Joint
|
|
|
|
|
Research Centre, European Commission
|
|
|
|
|
|
|
|
|
|
- Guerrieri and Iacoviello (2015): “OccBin: A toolkit for solving dynamic
|
|
|
|
|
models with occasionally binding constraints easily,” Journal of Monetary
|
|
|
|
|
Economics, 70, 22–38
|
|
|
|
|
|
|
|
|
|
- Mutschler (2018): “Higher-order statistics for DSGE models,” Econometrics
|
|
|
|
|
and Statistics, 6(C), 44–56
|
|
|
|
|
|
|
|
|
|
|
2021-03-17 18:03:32 +01:00
|
|
|
|
Announcement for Dynare 4.6.4 (on 2021-03-18)
|
|
|
|
|
=============================================
|
|
|
|
|
|
|
|
|
|
We are pleased to announce the release of Dynare 4.6.4.
|
|
|
|
|
|
|
|
|
|
This maintenance release fixes various bugs.
|
|
|
|
|
|
|
|
|
|
The Windows, macOS and source packages are already available for download at
|
|
|
|
|
[the Dynare website](https://www.dynare.org/download/).
|
|
|
|
|
|
|
|
|
|
All users are strongly encouraged to upgrade.
|
|
|
|
|
|
|
|
|
|
This release is compatible with MATLAB versions ranging from 7.9 (R2009b) to
|
|
|
|
|
9.10 (R2021a), and with GNU Octave version 6.2.0 (under Windows).
|
|
|
|
|
|
|
|
|
|
Here is a list of the problems identified in version 4.6.3 and that have been
|
|
|
|
|
fixed in version 4.6.4:
|
|
|
|
|
|
|
|
|
|
* Passing multiple shock values through a MATLAB/Octave vector in a `mshocks`
|
|
|
|
|
block would not work
|
|
|
|
|
* The `mode_compute=12` option was broken
|
|
|
|
|
* The `use_mh_covariance_matrix` option was ignored
|
|
|
|
|
* The `load_mh_file` option together with `mh_replic=0` would not allow
|
|
|
|
|
computing `moments_varendo` for a different list of variables
|
|
|
|
|
* The `forecast` option was ignored when using `mode_compute=0` without a
|
|
|
|
|
mode-file to execute the smoother
|
|
|
|
|
* The `discretionary_policy` command would crash in the presence of news shocks
|
|
|
|
|
* The `ramsey_constraints` block would crash if the constraints contained
|
|
|
|
|
defined `parameters`
|
|
|
|
|
* Identification would display a wrong error message if a unit root was present
|
|
|
|
|
and `diffuse_filter` had been set
|
|
|
|
|
* Particle filter estimation would crash if the initial state covariance became
|
|
|
|
|
singular for a draw
|
|
|
|
|
* Particle filter estimation would crash if `k_order_solver` option was
|
|
|
|
|
specified with `options_.particle.pruning`
|
|
|
|
|
* The initial state covariance in particle filter estimation could be `NaN`
|
|
|
|
|
when using `nonlinear_filter_initialization=2` despite
|
|
|
|
|
`options_.particles.pruning=1`
|
|
|
|
|
* Output of `smoother` results when using particle filters would be based on
|
|
|
|
|
`order=1`
|
|
|
|
|
* Output of `moments_varendo` results when using particle filters would be
|
|
|
|
|
based on `order=1`
|
|
|
|
|
* When decreasing the `order` in `.mod` files, `oo_.dr` could contain stale
|
|
|
|
|
results from higher orders
|
|
|
|
|
* Estimation results using the particle filter at `order=3` would be incorrect
|
|
|
|
|
if the restricted state space differed from the unrestricted one
|
|
|
|
|
* The `mode_compute=102` option (SOLVEOPT) could return with `Inf` instead of
|
|
|
|
|
the last feasible value
|
|
|
|
|
* Using `analytic_derivation` for Bayesian estimation would result in wrong
|
|
|
|
|
results when the multivariate Kalman filter entered the steady state stage
|
|
|
|
|
* Using `analytic_derivation` for maximum likelihood estimation would result in
|
|
|
|
|
a crash
|
|
|
|
|
* When using the Bayesian smoother with `filtered_vars`, the field for
|
|
|
|
|
`Filtered_Variables_X_step_ahead` used the length of vector instead of the
|
|
|
|
|
actual steps in `filter_step_ahead`
|
|
|
|
|
* `mode_compute=1,3` crashed when `analytic_derivation` was specified
|
|
|
|
|
* `mode_compute=1,3,102` did only allow for post-MATLAB 2016a option names
|
|
|
|
|
* The `cova_compute=0` option was not working with user-defined
|
|
|
|
|
`MCMC_jumping_covariance`
|
|
|
|
|
* The `mode_compute=1` option was not working with `analytic_derivation`
|
|
|
|
|
* Not all commands were honouring the `M_.dname` folder when saving
|
|
|
|
|
* LaTeX output of the simulated variance decomposition for observables with
|
|
|
|
|
measurement error could have a wrong variable label
|
|
|
|
|
|
2020-11-23 14:58:11 +01:00
|
|
|
|
Announcement for Dynare 4.6.3 (on 2020-11-23)
|
2020-11-20 15:54:11 +01:00
|
|
|
|
=============================================
|
|
|
|
|
|
|
|
|
|
We are pleased to announce the release of Dynare 4.6.3.
|
|
|
|
|
|
|
|
|
|
This maintenance release fixes various bugs.
|
|
|
|
|
|
|
|
|
|
The Windows, macOS and source packages are already available for download at
|
|
|
|
|
[the Dynare website](https://www.dynare.org/download/).
|
|
|
|
|
|
|
|
|
|
All users are strongly encouraged to upgrade.
|
|
|
|
|
|
|
|
|
|
This release is compatible with MATLAB versions ranging from 7.9 (R2009b) to
|
|
|
|
|
9.9 (R2020b), and with GNU Octave versions 5.2.0 (under Windows) and 4.4.1
|
|
|
|
|
(under macOS).
|
|
|
|
|
|
|
|
|
|
Here is a list of the problems identified in version 4.6.2 and that have been
|
|
|
|
|
fixed in version 4.6.3:
|
|
|
|
|
|
|
|
|
|
* Using an unknown symbol in `irf_shocks` option of `stoch_simul` would lead to
|
|
|
|
|
a crash of the preprocessor
|
2020-11-23 14:58:11 +01:00
|
|
|
|
* `identification` would crash for purely forward-looking models
|
2020-11-20 15:54:11 +01:00
|
|
|
|
* The `endogenous_prior` option did not properly handle missing observations
|
|
|
|
|
* The auxiliary particle filter with pruning and resampling would crash
|
|
|
|
|
* Initialization of the state variance for particle filters was buggy
|
|
|
|
|
* An `@#else` clause after an `@#ifndef` was not correctly interpreted
|
|
|
|
|
* An `@#elseif` clause after an `@#ifdef` or an `@#ifndef` was not correctly
|
|
|
|
|
interpreted
|
|
|
|
|
* Perfect foresight simulations of models with a single equation would crash
|
|
|
|
|
when using either the `lmmcp` option or the `linear_approximation`
|
|
|
|
|
* Inequality constraints on endogenous variables (when using the `lmmcp`
|
|
|
|
|
option) were not enforced on purely backward or purely forward models
|
|
|
|
|
* Perfect foresight simulations with `bytecode` and `block` options could crash
|
|
|
|
|
if there was a purely forward variable whose value in all periods could be
|
|
|
|
|
evaluated backward (typically a process of the form `y=a*y(+1)+e`)
|
|
|
|
|
* `extended_path` was broken with `bytecode`
|
|
|
|
|
* Under Windows, with Octave, the k-order perturbation and MS-SBVAR MEX files
|
|
|
|
|
could not be loaded
|
|
|
|
|
* On Fedora (and possibly other GNU/Linux distributions), compilation from
|
|
|
|
|
source would fail against Octave 5
|
|
|
|
|
|
2020-09-07 12:35:56 +02:00
|
|
|
|
Announcement for Dynare 4.6.2 (on 2020-09-07)
|
|
|
|
|
=============================================
|
|
|
|
|
|
|
|
|
|
We are pleased to announce the release of Dynare 4.6.2.
|
|
|
|
|
|
|
|
|
|
This maintenance release fixes various bugs.
|
|
|
|
|
|
|
|
|
|
The Windows, macOS and source packages are already available for download at
|
|
|
|
|
[the Dynare website](https://www.dynare.org/download/).
|
|
|
|
|
|
|
|
|
|
All users are strongly encouraged to upgrade.
|
|
|
|
|
|
|
|
|
|
This release is compatible with MATLAB versions ranging from 7.9 (R2009b) to
|
|
|
|
|
9.8 (R2020a), and with GNU Octave versions 5.2.0 (under Windows) and 4.4.1
|
|
|
|
|
(under macOS).
|
|
|
|
|
|
|
|
|
|
*Note for Windows users:* upon launching the Dynare installer, you may get a
|
|
|
|
|
warning emitted by Windows Defender SmartScreen, saying that this is an
|
|
|
|
|
unrecognized app and that it was prevented from starting. You can safely ignore
|
|
|
|
|
this warning, as long as you can verify on the next screen that CEPREMAP is the
|
|
|
|
|
editor of the software. This security warning is due to the fact that we had to
|
|
|
|
|
renew our code signing certificate (which had expired), and it takes some time
|
|
|
|
|
to rebuild our reputation as a software editor using the new certificate.
|
|
|
|
|
|
|
|
|
|
Here is a list of the problems identified in version 4.6.1 and that have been
|
|
|
|
|
fixed in version 4.6.2:
|
|
|
|
|
|
|
|
|
|
* Perfect foresight simulations of purely backward models could deliver an
|
|
|
|
|
incorrect result if some exogenous variable appeared with a lag of 2 or more
|
|
|
|
|
(and neither `block` nor `bytecode` option was used)
|
|
|
|
|
* Perfect foresight simulations of linear models could deliver an incorrect
|
|
|
|
|
result if the following four conditions were met:
|
|
|
|
|
+ the model was actually declared as linear through the `linear` option
|
|
|
|
|
+ there was an exogenous variable with a lead or a lag
|
|
|
|
|
+ `stack_solve_algo` was equal to 0 (the default) or 7
|
|
|
|
|
+ neither `block` nor `bytecode` option was used
|
|
|
|
|
* In stochastic simulations, for variables that actually do not leave the
|
|
|
|
|
steady state, reported simulated moments could be spurious (due to division
|
|
|
|
|
by zero)
|
|
|
|
|
* Displayed variance decompositions would only take into account measurement
|
|
|
|
|
errors if measurement errors were present for all observed variables
|
|
|
|
|
* The posterior variance decompositions with measurement errors computed with
|
|
|
|
|
`moments_varendo` were incorrect
|
|
|
|
|
* `moments_varendo` would not update `oo_.PosteriorTheoreticalMoments` if it
|
|
|
|
|
was already present, from *e.g.* an earlier run of `estimation`
|
|
|
|
|
* Identification would in some cases compute wrong Jacobian of moments
|
|
|
|
|
* Identification would display incorrect results if parameter dependence was
|
|
|
|
|
implemented via a steady state file
|
|
|
|
|
* `generate_trace_plots` would crash when measurement errors were present
|
|
|
|
|
* `estimation` would crash for correlated measurement errors
|
|
|
|
|
* Parallel execution/testing could crash instead of aborting with a proper
|
|
|
|
|
error message
|
|
|
|
|
* Under macOS, Dynare would incorrectly claim that it is compiled for Octave
|
|
|
|
|
5.2.0 (it is actually compiled for Octave 4.4.1)
|
|
|
|
|
* Using external functions in a model local variable would crash the
|
|
|
|
|
preprocessor
|
|
|
|
|
* Tolerance criteria for steady state computations were inconsistently set
|
|
|
|
|
* `stoch_simul` with its default `order=2` would crash with a message about
|
|
|
|
|
`hessian_eq_zero` not existing if an explicit `order=1` was present somewhere
|
|
|
|
|
else in the `.mod` file
|
|
|
|
|
* Model local variables were not written to the `modfile.json` JSON file
|
|
|
|
|
* Model local variables names would have two spurious underscores at their
|
|
|
|
|
point of definition in the `dynamic.json` and `static.json` files (but only
|
|
|
|
|
in the definition, not when they were used, which is inconsistent)
|
|
|
|
|
* The `solve_algo=9` option was not accessible. The `solve_algo=10` and
|
|
|
|
|
`solve_algo=11` options were not accessible with `block` (without `bytecode`)
|
|
|
|
|
* Under certain circumstances, `extended_path` would crash when used in
|
|
|
|
|
conjunction with the `block` option
|
|
|
|
|
* `extended_path` was not working with the `bytecode` option
|
|
|
|
|
* `shock_decomposition` was not accepting the options of `estimation` related
|
|
|
|
|
to smoothing
|
|
|
|
|
* `conditional_forecast` would display a warning even if the simulation was
|
|
|
|
|
successful
|
|
|
|
|
* The `prior_trunc` option of `identification` was not working
|
|
|
|
|
* The `rand_multivariate_student` value of the `proposal_distribution` option
|
|
|
|
|
was not working when used with the
|
|
|
|
|
`tailored_random_block_metropolis_hastings` posterior sampling method
|
|
|
|
|
* Perfect foresight simulations of backward models would crash if convergence
|
|
|
|
|
failed with complex-valued residuals
|
|
|
|
|
* The diffuse Kalman smoother would crash if `Finf` became singular
|
|
|
|
|
|
2020-03-12 16:55:05 +01:00
|
|
|
|
Announcement for Dynare 4.6.1 (on 2020-03-13)
|
|
|
|
|
=============================================
|
|
|
|
|
|
|
|
|
|
We are pleased to announce the release of Dynare 4.6.1.
|
|
|
|
|
|
|
|
|
|
This maintenance release fixes various bugs.
|
|
|
|
|
|
|
|
|
|
The Windows, macOS and source packages are already available for download at
|
|
|
|
|
[the Dynare website](https://www.dynare.org/download/).
|
|
|
|
|
|
|
|
|
|
All users are strongly encouraged to upgrade.
|
|
|
|
|
|
|
|
|
|
This release is compatible with MATLAB versions ranging from 7.9 (R2009b) to
|
|
|
|
|
9.7 (R2019b), and with GNU Octave versions 5.2.0 (under Windows) and 4.4.1
|
|
|
|
|
(under macOS).
|
|
|
|
|
|
|
|
|
|
Here is a list of the problems identified in version 4.6.0 and that have been
|
|
|
|
|
fixed in version 4.6.1:
|
|
|
|
|
|
|
|
|
|
* Installation on macOS would fail if the GCC compiler was supposed to be
|
|
|
|
|
installed and `www.google.com` was not reachable or blocked
|
|
|
|
|
* Dynare++ was missing the `dynare_simul.m` file
|
|
|
|
|
* The parameter vector `M_.params` would not be correctly updated after calls
|
|
|
|
|
to `stoch_simul` and `discretionary_policy` if parameters had been modified
|
|
|
|
|
in a steady state file
|
|
|
|
|
* The `stoch_simul` command with both the `nograph` and `TeX` options would
|
|
|
|
|
crash
|
|
|
|
|
* The `stoch_simul` command with the `noprint` option would crash
|
|
|
|
|
* The `prior moments` command would crash if the used parameter vector
|
|
|
|
|
triggered an error code
|
|
|
|
|
* In case of problem, the `discretionary_policy` command would crash instead of
|
|
|
|
|
aborting with a proper error code
|
|
|
|
|
* Computing of prior/posterior statistics would not work in parallel
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* Closing of parallel estimation on GNU/Linux could crash
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* The `histval` command would not work in combination with the
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`predetermined_variables` command
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* Ramsey optimal policy with multiple instruments would crash if a steady state
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file returned complex values, instead of providing an error message
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* The `model_diagnostics` command would not correctly update the parameter
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vector if the latter was set in a steady state file
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* The `model_diagnostics` command would ignore the `nocheck` steady state flag
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2020-02-20 21:33:54 +01:00
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Announcement for Dynare 4.6.0 (on 2020-02-20)
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=============================================
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2020-02-17 18:39:01 +01:00
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We are pleased to announce the release of Dynare 4.6.0.
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This major release adds new features and fixes various bugs.
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The Windows, macOS and source packages are already available for download at
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[the Dynare website](https://www.dynare.org/download/).
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All users are strongly encouraged to upgrade.
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This release is compatible with MATLAB versions ranging from 7.9 (R2009b) to
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9.7 (R2019b), and with GNU Octave versions 5.2.0 (under Windows) and 4.4.1
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(under macOS).
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2020-02-18 12:36:03 +01:00
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Major user-visible changes
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--------------------------
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2020-02-17 18:39:01 +01:00
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- Stochastic simulations
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- The perturbation method is now available at an arbitrary approximation
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order. In other words, the `order` option of `stoch_simul` accepts an
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arbitrary positive integer (of course, up to some model-specific
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computational limit).
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- New option `filtered_theoretical_moments_grid` of `stoch_simul`, that
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supersedes `hp_ngrid`.
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- Estimation
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- Nonlinear estimation is now also available at an arbitrary approximation
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order. In other words, the `order` option of `estimation` accepts an
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arbitrary positive integer (of course, up to some model-specific
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computational limit).
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- Various improvements to particle filters.
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- It is now possible to estimate models under optimal policy (see below).
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- Variance decomposition of observables now accounts for measurement error.
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- New option `mh_tune_jscale` of `estimation` command for tuning the scale
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parameter of the proposal distribution of the Random Walk Metropolis
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Hastings.
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- Added debugging info when parameters take a `NaN` or `Inf` value.
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- Option `mode_compute=1` is now available under Octave.
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- Perfect foresight and extended path
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- A significant speed improvement should be noted on large models (when
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neither `bytecode` nor `block` option is used). The stacked problem is
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now constructed using a dedicated machine-compiled library that greatly
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speeds up the process (in particular, the time spent in that step can
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become negligible when the `use_dll` option is used).
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- New options `print` and `noprint` of `perfect_foresight_solver` command.
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- Option `stack_solve_algo=2` is now available under Octave.
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- Steady state
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- Option `solve_algo=7` is now available under Octave.
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- Optimal policy
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- The `ramsey_policy` command is now deprecated. It is superseded by
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successive calls to `ramsey_model`, `stoch_simul`, and
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`evaluate_planner_objective` (in this order).
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- It is now possible to estimate a model under optimal policy (either
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Ramsey or discretionary) by running the `estimation` command after either
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`ramsey_model` or `discretionary_policy`. It is however not yet possible
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to estimate parameters that appear in the discount factor of the social
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planner.
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- Discretionary policy returns a more informative error message when the
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objective has nonzero derivatives with respect to some variables.
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- Identification
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- Added minimal system identification check of *Komunjer and Ng (2011)*.
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- Added spectrum identification check of *Qu and Tkachenko (2012)*.
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- Identification is now also available for approximation orders 2 and 3
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with either analytical or numerical parameter derivatives. The relevant
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moments and spectrum are computed from the pruned state space system
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as in *Mutschler (2015)*.
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- All tests (moments, spectrum, minimal system, strength) can be turned
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off.
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- More numerical options can be changed by the user.
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- Improved printing and storage (same folder) of results.
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- Sensitivity analysis
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- New `diffuse_filter` option to the `dynare_sensitivity` command.
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- Arbitrary expressions can now be passed for the interval boundaries in
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`irf_calibration` and `moment_calibration`. ⚠ This breaks the
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previous syntax, requiring that the lower/upper bounds be separated by
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commas.
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- Forecasting and smoothing
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- In `conditional_forecast_paths`, it is no longer required that all
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constrained paths be of the same length. There may now be a different
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number of controlled variables at each period. In that case, the order of
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declaration of endogenous controlled variables and of `controlled_varexo`
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matters: if the second endogenous variable is controlled for less periods
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than the first one, the second `controlled_varexo` isn't set for the last
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periods.
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- New option `parameter_set` to the `calib_smoother` command.
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- ⚠ The results of `conditional_forecast` command is now saved in
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`oo_` (used to be in a file)
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- Shock decomposition
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- Added `fast_realtime` option to real time shock decomposition (deactivated
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by default, runs the smoother only twice: once for the last in-sample and
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once for the last out-of-sample data point).
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- New `diff`, `flip`, `max_nrows`, `plot_init_date` and `plot_end_date`
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options to `plot_shock_decomposition`.
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- New `initial_decomposition_decomposition` command, for computing and
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plotting the decomposition of the effect of smoothed initial conditions of
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state variables.
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- New `squeeze_shock_decomposition` command, for removing decompositions of
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variables that are not of interest.
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- New `with_epilogue` option (common to `shock_decomposition`,
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`realtime_shock_decomposition` and `initial_condition_decomposition`).
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- New `init2shocks` block to attribute initial conditions to shocks.
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- Macro processor
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- New object types: real (supersedes integers), boolean (distinct from
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integers), tuple, user-defined function.
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- New operators: various mathematical functions, set operations on arrays
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(union, intersection, difference, cartesian power and product), type
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checking and conversion.
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- Added support for comprehensions (*e.g.* the set containing the squares of
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all even numbers between 1 and 5 can be constructed with `[ i^2 for i in
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1:5 when mod(i,2) == 0]`).
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- User-defined functions can be declared using the `@#define` operator (*e.g.*
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`@#define f(x) = 2*x^2+3*x+5`).
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- `@#elseif`-clauses are now supported in conditional statements.
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- `@#for` loops can iterate over several variables at the same time (*e.g.*
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`@#for (i,j) in X`, where `X` is an array containing tuples of size 2).
|
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|
2020-02-20 21:33:54 +01:00
|
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- Added the possibility to exclude some elements when iterating over `@#for`
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loops (*e.g.* `@#for i in 1:5 when mod(i,2) == 0` iterates over all even
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numbers between 1 and 5).
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|
2020-02-17 18:39:01 +01:00
|
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- A `defined()` function allows testing whether macro variables have been
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defined.
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- Empty arrays (with the `[]` syntax) are now possible.
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- Arrays of arrays are now supported.
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- New macro directives `@#echomacrovars` and `@#echomacrovars(save)` for
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displaying or saving the values of all macro-variables.
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- Inline comments are now supported.
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- ⚠ All division operations are now done with doubles (as opposed to
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integers). To achieve the old functionality, use the new `floor` operator.
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- ⚠ Colon syntax used to require braces around it to create an array
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(*e.g.* `[1:3]` would create `[1,2,3]`). Now this is not necessary (`1:3`
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creates `[1,2,3]` while `[1:3]` would create `[[1,2,3]]`).
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- ⚠ Previously, printing a boolean would print `1` or `0`. Now, it
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prints `true` or `false`. To achieve the old functionality, you must cast
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it to a real, *e.g.* `@{(real)(1!=0)}`.
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- LaTeX output
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- New command `write_latex_steady_state_model`.
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- New option `planner_discount_latex_name` of `ramsey_model` and
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`discretionary_policy`.
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- New command `model_local_variable` command for assigning a LaTeX name to
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model-local variables.
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- The `write_latex_static_model` and `write_latex_original_model` commands
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now support the `write_equation_tags` option.
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- Compilation of the model (`use_dll` option) made easier and faster
|
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- Under Windows, it is no longer necessary to manually install the
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compiler, since the latter is now shipped by the Dynare installer.
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- Under macOS, the Dynare installer now automatically downloads and
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installs the compiler.
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- It is no longer necessary to configure MATLAB to let it know where the
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compiler is, since the compilation is now done by the preprocessor.
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- The compilation phase is now faster on large models (this has been
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achieved by disabling a few time-consuming and not-so-useful optimization
|
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passes otherwise done by the compiler).
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- New `compilation_setup` block for specifying a custom compiler or custom
|
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compilation flags.
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- Model, variables and parameters declaration
|
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- New syntax to declare model variables and parameters on-the-fly in the
|
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|
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`model` block. To do this, simply follow the symbol name with a vertical
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line (`|`, pipe character) and either an `e`, an `x`, or a `p`. For
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|
example, to declare a parameter named `alpha` in the model block, you
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could write `alpha|p` directly in an equation where it appears.
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Similarly, to declare an endogenous variable `c` in the model block you
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could write `c|e`.
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- New syntax to declare model variable and parameters on-the-fly in
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equation tags. In the tag, simply state the type of variable to be
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declared (`endogenous`, `exogenous`, or `parameter` followed by an equal
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sign and the variable name in single quotes. Hence, to declare a variable
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`c` as endogenous in an equation tag, you can type `[endogenous='c']`.
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- New `epilogue` block for computing output variables of interest that may
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not be necessarily defined in the model (*e.g.* various kinds of
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real/nominal shares or relative prices, or annualized variables out of a
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quarterly model).
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- Command-line options
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- Added the possibility to declare Dynare command-line options in the `.mod`
|
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file.
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- New option `nopreprocessoroutput` to disable printing of messages from
|
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|
the preprocessor.
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- It is now possible to assign an arbitrary macro-expression to a
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|
macro-variable defined on the command-line, using the `-D` syntax.
|
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- New option `linemacro` to revert to the old format of the
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|
|
macro-processed file (see below).
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- Preprocessor outputs and inputs
|
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|
- Added JSON output to the preprocessor. A representation of the model file
|
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|
|
and the whole content of the `.mod` file is saved in `.json` files.
|
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|
These JSON files can be easily parsed from any language (C++, Fortran,
|
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|
|
Python, Julia, MATLAB, Octave…). This new feature opens the possibility to
|
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|
|
develop alternative back-ends for the Dynare language.
|
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|
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|
- ⚠ Most files generated by the preprocessor are now grouped under
|
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|
|
two subdirectories. Assuming your file is `FILENAME.mod`, then M-files
|
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|
|
and MEX-files will be under `+FILENAME/`, while other output (JSON,
|
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|
|
LaTeX, source code for the MEX files) will be under `FILENAME/`.
|
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|
|
- The macro-generated output is now more readable (no more line numbers and
|
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|
|
empty lines). The old behaviour can be restored using the `linemacro`
|
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|
|
option (see above).
|
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|
|
- Ability to call the preprocessor by passing the `.mod` file as a string
|
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|
|
argument from the macOS or GNU/Linux command line.
|
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|
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|
|
- dseries classes
|
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|
|
- New functionalities and efficiency improvements.
|
|
|
|
|
|
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|
|
- Complete rewrite using the new `classdef` syntax and exploiting in place
|
|
|
|
|
modifications when possible.
|
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|
- Integration of the `dates` classes within `dseries`.
|
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|
- Reporting classes
|
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|
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|
|
- Automatically create titlepage with page numbers/page titles.
|
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|
- Allow for the removal of headers and footers from a given page.
|
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|
- Allow user to set page number.
|
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|
- Split up report output. Create new files for the preamble, the body of
|
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|
|
the report, and each individual page of the report.
|
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|
|
- The classes have been converted to the new `classdef` syntax.
|
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|
- Misc
|
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|
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|
|
- External functions can be located in MATLAB/Octave namespaces.
|
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|
|
|
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|
|
- Improvements to the balanced growth path test that is performed after
|
|
|
|
|
Dynare has detrended the model (given the trends on variables declared by
|
|
|
|
|
the user): the default tolerance has been raised, and a different value
|
|
|
|
|
can be set with new option `balanced_growth_test_tol` to the `model`
|
|
|
|
|
block; as a consequence, failing the test is now an error again.
|
|
|
|
|
|
|
|
|
|
- New collection of MATLAB/Octave utilities to retrieve and alter objects:
|
|
|
|
|
`get_irf`, `get_mean`, `get_shock_stderr_by_name`, `get_smooth`,
|
|
|
|
|
`get_update`, `set_shock_stderr_value`.
|
|
|
|
|
|
|
|
|
|
- ⚠ Previously, when some MEX files were missing, Dynare would
|
|
|
|
|
automatically fall back to slower M-file functional alternative; this is
|
|
|
|
|
no longer the case. It is however still possible to manually add these
|
|
|
|
|
alternatives in the MATLAB/Octave path (they are located under
|
|
|
|
|
`matlab/missing/mex`; this only applies to the `mjdgges`, `gensylv`,
|
|
|
|
|
`A_times_B_kronecker_C`, `sparse_hessian_times_B_kronecker_C` and
|
|
|
|
|
`local_state_space_iteration_2` DLLs).
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Since there are a few backward-incompatible changes in this release, users may
|
|
|
|
|
want to have a look at the [upgrade
|
|
|
|
|
guide](https://git.dynare.org/Dynare/dynare/-/wikis/BreakingFeaturesIn4.6) to
|
|
|
|
|
adapt their existing codes.
|
|
|
|
|
|
|
|
|
|
|
2020-02-18 12:36:03 +01:00
|
|
|
|
Bugs that were present in 4.5.7 and that are fixed in 4.6.0
|
|
|
|
|
-----------------------------------------------------------
|
|
|
|
|
|
|
|
|
|
* Estimation: the check for stochastic singularity erroneously would only take
|
|
|
|
|
estimated measurement error into account.
|
|
|
|
|
* Estimation: if the Hessian at the mode was not positive definite, the Laplace
|
|
|
|
|
approximation returned a complex number, but only displayed the real-valued
|
|
|
|
|
part.
|
|
|
|
|
* Conditional Forecasting: using one period only would result in a crash.
|
|
|
|
|
* First-order approximation was not working with purely forward-looking models.
|
|
|
|
|
* The preprocessor would not allow for inline comments including macro
|
|
|
|
|
statements.
|
|
|
|
|
* Using the `STEADY_STATE()` operator on exogenous variables would lead to
|
|
|
|
|
crashes in stochastic simulations.
|
|
|
|
|
* `moment_calibration`: for autocorrelation functions, the x-axis labeling had
|
|
|
|
|
the wrong order.
|
|
|
|
|
* `plot_identification`: placement of white dots indicating infinite values was
|
|
|
|
|
incorrect
|
|
|
|
|
* Automatic detrending would sometime refuse to detrend model despite the user
|
|
|
|
|
having given correct trends.
|
|
|
|
|
* Using `use_dll` + `fast` options would not always recompile the model when
|
|
|
|
|
the equations were changed.
|
|
|
|
|
* Under certain circumstances, the combination of `bytecode` and
|
|
|
|
|
`stack_solve_algo=1` options could lead to crashes or wrong results.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
References
|
|
|
|
|
----------
|
|
|
|
|
|
|
|
|
|
- Komunjer, I. and S. Ng (2011), “[Dynamic Identification of Dynamic
|
|
|
|
|
Stochastic General Equilibrium
|
|
|
|
|
Models](https://www.onlinelibrary.wiley.com/doi/abs/10.3982/ECTA8916),”
|
|
|
|
|
*Econometrica*, 79(6), 1995–2032
|
|
|
|
|
|
|
|
|
|
- Qu, Z. and D. Tkachenko (2012), “[Identification and frequency domain
|
|
|
|
|
quasi‐maximum likelihood estimation of linearized dynamic stochastic
|
|
|
|
|
general equilibrium
|
|
|
|
|
models](https://onlinelibrary.wiley.com/doi/abs/10.3982/QE126),”
|
|
|
|
|
*Quantitative Economics*, 3(1), 95–132
|
|
|
|
|
|
|
|
|
|
- Mutschler, W. (2015), “[Identification of DSGE models—The effect of
|
|
|
|
|
higher-order approximation and
|
|
|
|
|
pruning](https://www.sciencedirect.com/science/article/pii/S0165188915000731),”
|
|
|
|
|
*Journal of Economic Dynamics and Control*, 56, 34–54
|
|
|
|
|
|
|
|
|
|
|
2019-02-06 17:26:10 +01:00
|
|
|
|
Announcement for Dynare 4.5.7 (on 2019-02-06)
|
|
|
|
|
=============================================
|
|
|
|
|
|
|
|
|
|
We are pleased to announce the release of Dynare 4.5.7.
|
|
|
|
|
|
|
|
|
|
This is a bugfix release.
|
|
|
|
|
|
2020-02-17 17:59:14 +01:00
|
|
|
|
The Windows packages are already available for download at: <http://www.dynare.org/download/dynare-stable>.
|
2019-02-06 17:26:10 +01:00
|
|
|
|
|
|
|
|
|
The Mac and GNU/Linux packages (for Debian and Ubuntu LTS) should follow soon.
|
|
|
|
|
|
|
|
|
|
This release is compatible with MATLAB versions 7.5 (R2007b) to 9.4 (R2018b)
|
|
|
|
|
and with GNU Octave versions 4.4.1.
|
|
|
|
|
|
|
|
|
|
Here is a list of the problems identified in version 4.5.6 and that have been
|
|
|
|
|
fixed in version 4.5.7:
|
|
|
|
|
|
|
|
|
|
- The mex-file conducting the QZ decomposition erroneously applied
|
|
|
|
|
the `qz_criterium` to the square absolute value of eigenvalues
|
|
|
|
|
instead of the absolute value itself (as done in mjdgges.m and the
|
|
|
|
|
AIM solver).
|
|
|
|
|
|
|
|
|
|
- In pathological cases, `mode_compute=5` (`newrat`) might enter an
|
|
|
|
|
infinite loop.
|
|
|
|
|
|
|
|
|
|
- `discretionary_policy` might erroneously state that the derivatives
|
|
|
|
|
of the objective function are non-zero if there are NaN present.
|
|
|
|
|
|
|
|
|
|
- Dynare++, when conducting the QZ decomposition, erroneously applied
|
|
|
|
|
the `qz_criterium` to the square absolute value of eigenvalues
|
|
|
|
|
instead of the absolute value itself.
|
|
|
|
|
|
|
|
|
|
- Dynare++: IRFs were incorrectly computed.
|
|
|
|
|
|
|
|
|
|
- `dynare_sensitivity` did not display the figures of
|
|
|
|
|
`irf_calibration`, it only stored them on the disk.
|
|
|
|
|
|
|
|
|
|
- Scatter plots generated by `dynare_sensitivity` did not correctly
|
|
|
|
|
display LaTeX names.
|
|
|
|
|
|
|
|
|
|
- Parameter updating via steady state files did not correctly work in
|
2020-02-17 17:59:14 +01:00
|
|
|
|
case of using `[static]`/`[dynamic]` equation tags.
|
2019-02-06 17:26:10 +01:00
|
|
|
|
|
|
|
|
|
- Memory leaks in `k_order_pert` (used by higher order stochastic
|
|
|
|
|
simulations) could lead to crashes.
|
|
|
|
|
|
|
|
|
|
- Predetermined variables were not properly set when used in model
|
|
|
|
|
local variables.
|
|
|
|
|
|
|
|
|
|
- Posterior moment computation did not correctly update the
|
|
|
|
|
covariance matrix of exogenous shocks during posterior sampling.
|
|
|
|
|
|
|
|
|
|
- Dynare was crashing with a cryptic message if a non estimated
|
|
|
|
|
parameter was initialized in the `estimated_params_init` block.
|
|
|
|
|
|
|
|
|
|
- The `forecast` command crashed if the model was declared as linear
|
|
|
|
|
and contained deterministic exogenous variables.
|
|
|
|
|
|
|
|
|
|
- Block decomposition is broken when used in conjunction with
|
|
|
|
|
`varexo_det`.
|
|
|
|
|
|
|
|
|
|
- The model was not correctly specified when `identification` was run
|
|
|
|
|
without another stochastic command in the `.mod` file
|
2020-02-17 17:59:14 +01:00
|
|
|
|
(*e.g.* `estimation`, `stoch_simul`, etc.).
|
2019-02-06 17:26:10 +01:00
|
|
|
|
|
|
|
|
|
- Realtime annualized shock decompositions added the wrong steady state
|
|
|
|
|
value.
|
|
|
|
|
|
|
|
|
|
- `mh_recover` option crashed when using slice sampler.
|
|
|
|
|
|
|
|
|
|
- x-axis values in plots of moment restrictions were wrong for
|
|
|
|
|
autocovariances.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2018-07-25 17:01:02 +02:00
|
|
|
|
Announcement for Dynare 4.5.6 (on 2018-07-25)
|
|
|
|
|
=============================================
|
|
|
|
|
|
|
|
|
|
We are pleased to announce the release of Dynare 4.5.6.
|
|
|
|
|
|
|
|
|
|
This is a bugfix release.
|
|
|
|
|
|
|
|
|
|
The Windows packages are already available for download at:
|
2020-02-17 17:59:14 +01:00
|
|
|
|
<http://www.dynare.org/download/dynare-stable>.
|
2018-07-25 17:01:02 +02:00
|
|
|
|
|
|
|
|
|
The Mac and GNU/Linux packages (for Debian and Ubuntu LTS) should follow soon.
|
|
|
|
|
|
2018-11-16 17:51:11 +01:00
|
|
|
|
This release is compatible with MATLAB versions 7.5 (R2007b) to 9.4 (R2018a)
|
2018-07-25 17:01:02 +02:00
|
|
|
|
and with GNU Octave versions 4.4.
|
|
|
|
|
|
|
|
|
|
Here is a list of the problems identified in version 4.5.5 and that have been
|
|
|
|
|
fixed in version 4.5.6:
|
|
|
|
|
|
|
|
|
|
- TaRB sampler: incorrect last posterior was returned if the last draw was
|
|
|
|
|
rejected.
|
|
|
|
|
|
|
|
|
|
- Fixed online particle filter by drawing initial conditions in the prior
|
2018-07-26 11:04:45 +02:00
|
|
|
|
distribution.
|
2018-07-25 17:01:02 +02:00
|
|
|
|
|
|
|
|
|
- Fixed evaluation of the likelihood in non linear / particle filters.
|
|
|
|
|
|
|
|
|
|
- Added missing documented `montecarlo` option in Gaussian Filter and
|
|
|
|
|
Nonlinear Kalman Filter.
|
|
|
|
|
|
|
|
|
|
- Added back a flag to deal with errors on Cholesky decomposition in the
|
|
|
|
|
Conditional Particle Filter.
|
|
|
|
|
|
|
|
|
|
- Macroprocessor `length()` operator was returning 1 when applied to a
|
|
|
|
|
string. Macroprocessor now raises an error when `length()` operator is
|
|
|
|
|
called on an integer and return the number of characters when applied to a
|
|
|
|
|
string.
|
|
|
|
|
|
|
|
|
|
- `mode_compute=8`: the error code during mode-finding was not correctly
|
|
|
|
|
handled, resulting in crashes.
|
|
|
|
|
|
|
|
|
|
- Identification was not correctly displaying a message for collinear parameters
|
|
|
|
|
if there was no unidentified parameter present.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2018-06-07 19:04:59 +02:00
|
|
|
|
Announcement for Dynare 4.5.5 (on 2018-06-08)
|
|
|
|
|
=============================================
|
|
|
|
|
|
|
|
|
|
We are pleased to announce the release of Dynare 4.5.5.
|
|
|
|
|
|
|
|
|
|
This is a bugfix release.
|
|
|
|
|
|
|
|
|
|
The Windows packages are already available for download at:
|
2020-02-17 17:59:14 +01:00
|
|
|
|
<http://www.dynare.org/download/dynare-stable>.
|
2018-06-07 19:04:59 +02:00
|
|
|
|
|
|
|
|
|
The Mac and GNU/Linux packages (for Debian and Ubuntu LTS) should follow soon.
|
|
|
|
|
|
2018-11-16 17:51:11 +01:00
|
|
|
|
This release is compatible with MATLAB versions 7.5 (R2007b) to 9.4 (R2018a)
|
2018-06-07 19:04:59 +02:00
|
|
|
|
and with GNU Octave versions 4.2.
|
|
|
|
|
|
|
|
|
|
Here is a list of the problems identified in version 4.5.4 and that have been
|
|
|
|
|
fixed in version 4.5.5:
|
|
|
|
|
|
|
|
|
|
- Identification was crashing during prior sampling if `ar` was initially too
|
|
|
|
|
low.
|
|
|
|
|
|
|
|
|
|
- The `align` method on `dseries` did not return a functional second `dseries`
|
|
|
|
|
output.
|
|
|
|
|
|
|
|
|
|
- Predetermined variables were not properly set when used in model local
|
|
|
|
|
variables.
|
|
|
|
|
|
|
|
|
|
- `perfect_foresight_solver` with option `stack_solve_algo=7` was not working
|
|
|
|
|
correctly when an exogenous variable has a lag greater than 1.
|
|
|
|
|
|
|
|
|
|
- `identification` with `prior_mc` option would crash if the number of moments
|
|
|
|
|
with non-zero derivative is smaller than the number of parameters.
|
|
|
|
|
|
|
|
|
|
- Calling several times `normcdf` or `normpdf` with the same arguments in a
|
|
|
|
|
model with block decomposition (but not bytecode) was leading to incorrect
|
|
|
|
|
results.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2018-01-29 16:31:24 +01:00
|
|
|
|
Announcement for Dynare 4.5.4 (on 2018-01-29)
|
|
|
|
|
=============================================
|
|
|
|
|
|
|
|
|
|
We are pleased to announce the release of Dynare 4.5.4.
|
|
|
|
|
|
|
|
|
|
This is a bugfix release.
|
|
|
|
|
|
|
|
|
|
The Windows packages are already available for download at:
|
2020-02-17 17:59:14 +01:00
|
|
|
|
<http://www.dynare.org/download/dynare-stable>.
|
2018-01-29 16:31:24 +01:00
|
|
|
|
|
|
|
|
|
The Mac and GNU/Linux packages (for Debian and Ubuntu LTS) should follow soon.
|
|
|
|
|
|
2018-01-29 20:17:45 +01:00
|
|
|
|
This release is compatible with MATLAB versions 7.5 (R2007b) to 9.3 (R2017b)
|
2018-01-29 16:31:24 +01:00
|
|
|
|
and with GNU Octave versions 4.2.
|
|
|
|
|
|
|
|
|
|
Here is a list of the problems identified in version 4.5.3 and that have been
|
|
|
|
|
fixed in version 4.5.4:
|
|
|
|
|
|
|
|
|
|
- The `type` option of `plot_shock_decomposition` was always set to `qoq` regardless of what is specified.
|
|
|
|
|
|
|
|
|
|
- Bug in GSA when no parameter was detected below pvalue threshold.
|
|
|
|
|
|
|
|
|
|
- Various bug fixes in shock decompositions.
|
|
|
|
|
|
|
|
|
|
- Bug in reading in macro arrays passed on `dynare` command line via the `-D` option.
|
|
|
|
|
|
|
|
|
|
- Estimation with missing values was crashing if the `prefilter` option was used.
|
|
|
|
|
|
2019-10-02 11:36:05 +02:00
|
|
|
|
- Added a workaround for a difference in behaviour between Octave and MATLAB regarding the creation
|
2018-01-29 16:31:24 +01:00
|
|
|
|
of function handles for functions that do not exist in the path. With Octave 4.2.1, steady state
|
|
|
|
|
files did not work if no auxiliary variables were created.
|
|
|
|
|
|
|
|
|
|
- The `stoch_simul` command was crashing with a cryptic message if option `order=3` was used without
|
|
|
|
|
setting `k_order_solver`.
|
|
|
|
|
|
|
|
|
|
- In cases where the prior bounds are infinite and the mode is estimated at exactly 0, no `mode_check`
|
|
|
|
|
graphs were displayed.
|
|
|
|
|
|
|
|
|
|
- Parallel execution of MCMC was broken in models without auxiliary variables.
|
|
|
|
|
|
|
|
|
|
- Reading data with column names from Excel might crash.
|
|
|
|
|
|
|
|
|
|
- The multivariate Kalman smoother was crashing in case of missing data in the observations and
|
|
|
|
|
`Finf` became singular.
|
|
|
|
|
|
|
|
|
|
- The `plot_shock_decomposition` command ignored various user-defined options like `fig_name`,
|
|
|
|
|
`use_shock_groups` or `interactive` and instead used the default options.
|
|
|
|
|
|
2020-02-17 17:59:14 +01:00
|
|
|
|
- Nested `@#ifdef` and `@#ifndef` statements don’t work in the macroprocessor.
|
2018-01-29 16:31:24 +01:00
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2017-10-19 22:54:59 +02:00
|
|
|
|
Announcement for Dynare 4.5.3 (on 2017-10-19)
|
|
|
|
|
=============================================
|
|
|
|
|
|
|
|
|
|
We are pleased to announce the release of Dynare 4.5.3.
|
|
|
|
|
|
|
|
|
|
This is a bugfix release. It comes less than 24 hours after the previous release,
|
|
|
|
|
because version 4.5.2 was affected by a critical bug for MATLAB older than R2016b.
|
|
|
|
|
|
|
|
|
|
The Windows packages are already available for download at:
|
2020-02-17 17:59:14 +01:00
|
|
|
|
<http://www.dynare.org/download/dynare-stable>.
|
2017-10-19 22:54:59 +02:00
|
|
|
|
|
|
|
|
|
The Mac and GNU/Linux packages (for Debian and Ubuntu LTS) should follow soon.
|
|
|
|
|
|
2018-01-29 20:17:45 +01:00
|
|
|
|
This release is compatible with MATLAB versions 7.5 (R2007b) to 9.3 (R2017b)
|
2017-10-19 22:54:59 +02:00
|
|
|
|
and with GNU Octave versions 4.2.
|
|
|
|
|
|
2017-10-19 23:48:48 +02:00
|
|
|
|
Here is a list of the problems identified in version 4.5.2 and that have been
|
|
|
|
|
fixed in version 4.5.3:
|
2017-10-19 22:54:59 +02:00
|
|
|
|
|
|
|
|
|
|
2020-02-17 17:59:14 +01:00
|
|
|
|
- `isfile` routine was failing with MATLAB older than R2016b. This bug did not
|
2017-10-19 22:54:59 +02:00
|
|
|
|
affect Octave.
|
|
|
|
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|
|
|
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|
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|
|
|
2017-10-18 11:16:57 +02:00
|
|
|
|
Announcement for Dynare 4.5.2 (on 2017-10-19)
|
|
|
|
|
=============================================
|
|
|
|
|
|
|
|
|
|
We are pleased to announce the release of Dynare 4.5.2.
|
|
|
|
|
|
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|
|
|
This is a bugfix release.
|
|
|
|
|
|
|
|
|
|
The Windows packages are already available for download at:
|
2020-02-17 17:59:14 +01:00
|
|
|
|
<http://www.dynare.org/download/dynare-stable>.
|
2017-10-18 11:16:57 +02:00
|
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|
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|
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|
The Mac and GNU/Linux packages (for Debian and Ubuntu LTS) should follow soon.
|
|
|
|
|
|
2018-01-29 20:17:45 +01:00
|
|
|
|
This release is compatible with MATLAB versions 7.5 (R2007b) to 9.3 (R2017b)
|
2017-10-18 11:16:57 +02:00
|
|
|
|
and with GNU Octave versions 4.2.
|
|
|
|
|
|
|
|
|
|
Here is a list of the problems identified in version 4.5.1 and that have been
|
|
|
|
|
fixed in version 4.5.2:
|
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|
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|
|
|
|
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|
- Fixed bug in perfect foresight solver:
|
|
|
|
|
|
|
|
|
|
+ If expected shocks were declared after the terminal period, as specified
|
|
|
|
|
by the `periods` option, Dynare was crashing.
|
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|
|
|
|
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|
|
+ Models declared with the `linear` option were crashing if exogenous
|
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|
variables were present with a lead or lag.
|
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|
- After ML or Bayesian estimation when the smoother option or `mh_replic=0`
|
|
|
|
|
were not specified, not all smoothed measurement errors were displayed.
|
|
|
|
|
|
|
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|
|
- Fixed error in reference manual about the `conditional_forecasts` command.
|
|
|
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|
|
- Fixed smoother behaviour, provide informative error instead of crashing when
|
|
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|
model cannot be solved.
|
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|
- The `nopathchange` preprocessor option was always triggered, regardless of
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|
whether it was passed or not.
|
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|
- When `ramsey_policy` is used, allow state variables to be set in `histval`
|
|
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|
block.
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|
- `histval` erroneously accepted leads, leading to cryptic crashes.
|
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|
- The prior MC draws from previous runs were not deleted, potentially
|
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|
|
resulting in loading stale files.
|
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|
|
- `estim_params_` was being declared `global` more than once.
|
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|
- Fixed crashes happening when simulating linear models with order>1.
|
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|
- Make empirical moments independent of `simul_replic`, as stated in the
|
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|
|
reference manual, by outputting moments computed with the first simulated
|
|
|
|
|
sample.
|
|
|
|
|
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|
|
- The `prior_function` required a preceding `estimation`-command to properly
|
|
|
|
|
set up the prior.
|
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|
|
- If the mode for a parameter was at exactly 0, `mode_check` was crashing.
|
|
|
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|
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|
|
- Fixed `get_posterior_parameters`-routine which should not do more than
|
2017-10-19 10:32:36 +02:00
|
|
|
|
getting parameters. As a consequense, the `shock_decomposition`-command
|
2017-10-18 11:16:57 +02:00
|
|
|
|
did not correctly set the `parameter_set` for use in subsequent function
|
|
|
|
|
calls if shocks are correlated or measurement error is present.
|
|
|
|
|
|
|
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|
|
- Fixed bug in Ramsey problem with constraints both on a policy instrument and
|
|
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|
|
another variable. Note that the constraint on a variable that is not an
|
|
|
|
|
instrument of the Ramsey problem must be written with an equation tag in the
|
|
|
|
|
model block.
|
2018-06-07 19:04:59 +02:00
|
|
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|
|
2017-10-18 11:16:57 +02:00
|
|
|
|
- Fixed bug in Ramsey problem with constraints on policy instrument.
|
|
|
|
|
|
|
|
|
|
- Fixed crash with optimizer 5 when not used with DSGE model at order 1.
|
|
|
|
|
|
|
|
|
|
- Fixed mex file used for third order approximation (was crashing on
|
2019-10-02 11:36:05 +02:00
|
|
|
|
MATLAB/Windows 7).
|
2017-10-18 11:16:57 +02:00
|
|
|
|
|
|
|
|
|
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|
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|
2017-07-24 09:56:58 +02:00
|
|
|
|
Announcement for Dynare 4.5.1 (on 2017-08-24)
|
|
|
|
|
=============================================
|
|
|
|
|
|
|
|
|
|
We are pleased to announce the release of Dynare 4.5.1.
|
|
|
|
|
|
|
|
|
|
This is a bugfix release.
|
|
|
|
|
|
|
|
|
|
The Windows packages are already available for download at:
|
2020-02-17 17:59:14 +01:00
|
|
|
|
<http://www.dynare.org/download/dynare-stable>.
|
2017-07-24 09:56:58 +02:00
|
|
|
|
|
|
|
|
|
The Mac and GNU/Linux packages (for Debian and Ubuntu LTS) should follow soon.
|
|
|
|
|
|
2018-01-29 20:17:45 +01:00
|
|
|
|
This release is compatible with MATLAB versions 7.5 (R2007b) to 9.2 (R2017a)
|
2017-07-24 09:56:58 +02:00
|
|
|
|
and with GNU Octave versions 4.2.
|
|
|
|
|
|
|
|
|
|
Here is a list of the problems identified in version 4.5.0 and that have been
|
|
|
|
|
fixed in version 4.5.1:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
- Fixed out of memory issue with simpsa optimization algorithm.
|
|
|
|
|
|
|
|
|
|
- Added missing plots for measurement errors with `generate_trace_plot`
|
|
|
|
|
command.
|
|
|
|
|
|
|
|
|
|
- Posterior moments after MCMC for very big models were not correctly computed
|
|
|
|
|
and their plotting might crash Dynare.
|
|
|
|
|
|
|
|
|
|
- Results of the posterior conditional variance decomposition after MCMC were
|
|
|
|
|
not correctly computed.
|
|
|
|
|
|
|
|
|
|
- Options `use_shock_groups` and `colormap` of the `shock_decomposition`
|
|
|
|
|
command were not working.
|
|
|
|
|
|
|
|
|
|
- Added a clean error message if sensitivity toolbox is used with recursive
|
|
|
|
|
estimation.
|
|
|
|
|
|
|
|
|
|
- Computation of posterior filtered variables was crashing in models with only
|
|
|
|
|
one variable.
|
|
|
|
|
|
|
|
|
|
- Fixed various typos and errors in the reference manual.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2017-07-24 09:44:02 +02:00
|
|
|
|
Announcement for Dynare 4.5.0 (on 2017-06-11)
|
2017-05-24 10:56:51 +02:00
|
|
|
|
=============================================
|
|
|
|
|
|
|
|
|
|
We are pleased to announce the release of Dynare 4.5.0.
|
|
|
|
|
|
|
|
|
|
This major release adds new features and fixes various bugs.
|
|
|
|
|
|
|
|
|
|
The Windows packages are already available for download at:
|
2020-02-17 17:59:14 +01:00
|
|
|
|
<http://www.dynare.org/download/dynare-stable>.
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
|
|
|
|
The Mac and Debian/Ubuntu packages should follow soon.
|
|
|
|
|
|
|
|
|
|
All users are strongly encouraged to upgrade.
|
|
|
|
|
|
2018-01-29 20:17:45 +01:00
|
|
|
|
This release is compatible with MATLAB versions ranging from 7.5 (R2007b) to
|
2017-05-24 10:56:51 +02:00
|
|
|
|
9.2 (R2017a) and with GNU Octave version 4.2.
|
|
|
|
|
|
|
|
|
|
Here is the list of major user-visible changes:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
- Ramsey policy
|
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Added command `ramsey_model` that builds the expanded model with
|
2020-02-17 17:59:14 +01:00
|
|
|
|
FOC conditions for the planner’s problem but doesn’t perform any
|
2017-05-29 10:41:58 +02:00
|
|
|
|
computation. Usefull to compute Ramsey policy in a perfect
|
|
|
|
|
foresight model,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ `ramsey_policy` accepts multipliers in its variable list and
|
|
|
|
|
displays results for them.
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
|
|
|
|
|
|
|
|
|
- Perfect foresight models
|
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ New commands `perfect_foresight_setup` (for preparing the
|
|
|
|
|
simulation) and `perfect_foresight_solver` (for computing it). The
|
|
|
|
|
old `simul` command still exist and is now an alias for
|
|
|
|
|
`perfect_foresight_setup` + `perfect_foresight_solver`. It is no
|
|
|
|
|
longer possible to manipulate by hand the contents of
|
|
|
|
|
`oo_.exo_simul` when using `simul`. People who want to do
|
|
|
|
|
it must first call `perfect_foresight_setup`, then do the
|
|
|
|
|
manipulations, then call `perfect_foresight_solver`,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ By default, the perfect foresight solver will try a homotopy
|
|
|
|
|
method if it fails to converge at the first try. The old behavior
|
|
|
|
|
can be restored with the `no_homotopy` option,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ New option `stack_solve_algo=7` that allows specifying a
|
|
|
|
|
`solve_algo` solver for solving the model,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ New option `solve_algo` that allows specifying a solver for
|
|
|
|
|
solving the model when using `stack_solve_algo=7`,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ New option `lmmcp` that solves the model via a Levenberg-Marquardt
|
|
|
|
|
mixed complementarity problem (LMMCP) solver,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ New option `robust_lin_solve` that triggers the use of a robust
|
|
|
|
|
linear solver for the default `solve_algo=4`,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ New options `tolf` and `tolx` to control termination criteria of
|
|
|
|
|
solvers,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ New option `endogenous_terminal_period` to `simul`,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Added the possibility to set the initial condition of the
|
|
|
|
|
(stochastic) extended path simulations with the histval block.
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
|
|
|
|
|
|
|
|
|
- Optimal simple rules
|
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Saves the optimal value of parameters to `oo_.osr.optim_params`,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ New block `osr_params_bounds` allows specifying bounds for the
|
|
|
|
|
estimated parameters,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ New option `opt_algo` allows selecting different optimizers while
|
|
|
|
|
the new option `optim` allows specifying the optimizer options,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ The `osr` command now saves the names, bounds, and indices for the
|
|
|
|
|
estimated parameters as well as the indices and weights of the
|
|
|
|
|
variables entering the objective function into `M_.osr`.
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
|
|
|
|
|
|
|
|
|
- Forecasts and Smoothing
|
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ The smoother and forecasts take uncertainty about trends and means
|
|
|
|
|
into account,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Forecasts accounting for measurement error are now saved in fields
|
|
|
|
|
of the form `HPDinf_ME` and `HPDsup_ME`,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ New fields `oo_.Smoother.Trend` and `oo_.Smoother.Constant` that
|
|
|
|
|
save the trend and constant parts of the smoothed variables,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ new field `oo_.Smoother.TrendCoeffs` that stores the trend
|
|
|
|
|
coefficients.
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Rolling window forecasts allowed in `estimation` command by
|
|
|
|
|
passing a vector to `first_obs`,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ The `calib_smoother` command now accepts the `loglinear`,
|
|
|
|
|
`prefilter`, `first_obs` and `filter_decomposition` options.
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
|
|
|
|
|
|
|
|
|
- Estimation
|
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ New options: `logdata`, `consider_all_endogenous`,
|
|
|
|
|
`consider_only_observed`, `posterior_max_subsample_draws`,
|
|
|
|
|
`mh_conf_sig`, `diffuse_kalman_tol`, `dirname`, `nodecomposition`
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2020-02-17 17:59:14 +01:00
|
|
|
|
+ `load_mh_file` and `mh_recover` now try to load chain’s proposal density,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ New option `load_results_after_load_mh` that allows loading some
|
|
|
|
|
posterior results from a previous run if no new MCMC draws are
|
|
|
|
|
added,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ New option `posterior_nograph` that suppresses the generation of
|
|
|
|
|
graphs associated with Bayesian IRFs, posterior smoothed objects,
|
|
|
|
|
and posterior forecasts,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Saves the posterior density at the mode in
|
|
|
|
|
`oo_.posterior.optimization.log_density`,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ The `filter_covariance` option now also works with posterior
|
|
|
|
|
sampling like Metropolis-Hastings,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ New option `no_posterior_kernel_density` to suppress computation
|
|
|
|
|
of kernel density of posterior objects,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Recursive estimation and forecasting now provides the individual
|
|
|
|
|
`oo_` structures for each sample in `oo_recursive_`,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ The `trace_plot` command can now plot the posterior density,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ New command `generate_trace_plots` allows generating all trace
|
|
|
|
|
plots for one chain,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ New commands `prior_function` and `posterior_function` that
|
|
|
|
|
execute a user-defined function on parameter draws from the
|
|
|
|
|
prior/posterior distribution,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ New option `huge_number` for replacement of infinite bounds with
|
|
|
|
|
large number during `mode_compute`,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ New option `posterior_sampling_method` allows selecting the new
|
|
|
|
|
posterior sampling options:
|
|
|
|
|
`tailored_random_block_metropolis_hastings` (Tailored randomized
|
|
|
|
|
block (TaRB) Metropolis-Hastings), `slice` (Slice sampler),
|
|
|
|
|
`independent_metropolis_hastings` (Independent
|
|
|
|
|
Metropolis-Hastings),
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ New option `posterior_sampler_options` that allow controlling the
|
|
|
|
|
options of the `posterior_sampling_method`, its `scale_file`-option
|
|
|
|
|
pair allows loading the `_mh_scale.mat`-file storing the tuned
|
|
|
|
|
scale factor from a previous run of `mode_compute=6`,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2020-02-17 17:59:14 +01:00
|
|
|
|
+ New option `raftery_lewis_diagnostics` that computes *Raftery and Lewis
|
|
|
|
|
(1992)* convergence diagnostics,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ New option `fast_kalman_filter` that provides fast Kalman filter
|
2020-02-17 17:59:14 +01:00
|
|
|
|
using Chandrasekhar recursions as described in *Ed Herbst (2015)*,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ The `dsge_var` option now saves results at the posterior mode into
|
|
|
|
|
`oo_.dsge_var`,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ New option `smoothed_state_uncertainty` to provide the uncertainty
|
|
|
|
|
estimate for the smoothed state estimate from the Kalman smoother,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ New prior density: generalized Weibull distribution,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Option `mh_recover` now allows continuing a crashed chain at the
|
|
|
|
|
last save mh-file,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ New option `nonlinear_filter_initialization` for the
|
|
|
|
|
`estimation` command. Controls the initial covariance matrix
|
|
|
|
|
of the state variables in nonlinear filters.
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ The `conditional_variance_decomposition` option now displays
|
|
|
|
|
output and stores it as a LaTeX-table when the `TeX` option is
|
|
|
|
|
invoked,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ The `use_calibration` to `estimated_params_init` now also works
|
|
|
|
|
with ML,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Improved initial estimation checks.
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
|
|
|
|
|
|
|
|
|
- Steady state
|
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ The default solver for finding the steady state is now a
|
|
|
|
|
trust-region solver (can be triggered explicitly with option
|
|
|
|
|
`solve_algo=4`),
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ New options `tolf` and `tolx` to control termination criteria of
|
|
|
|
|
solver,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ The debugging mode now provides the termination values in steady
|
|
|
|
|
state finding.
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
|
|
|
|
|
|
|
|
|
- Stochastic simulations
|
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ New options `nodecomposition`,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ New option `bandpass_filter` to compute bandpass-filtered
|
|
|
|
|
theoretical and simulated moments,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ New option `one_sided_hp_filter` to compute one-sided HP-filtered
|
|
|
|
|
simulated moments,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ `stoch_simul` displays a simulated variance decomposition when
|
|
|
|
|
simulated moments are requested,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ `stoch_simul` saves skewness and kurtosis into respective fields
|
|
|
|
|
of `oo_` when simulated moments have been requested,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ `stoch_simul` saves the unconditional variance decomposition in
|
|
|
|
|
`oo_.variance_decomposition`,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ New option `dr_display_tol` that governs omission of small terms
|
|
|
|
|
in display of decision rules,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ The `stoch_simul` command now prints the displayed tables as LaTeX
|
|
|
|
|
code when the new `TeX` option is enabled,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ The `loglinear` option now works with lagged and leaded exogenous
|
|
|
|
|
variables like news shocks,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ New option `spectral_density` that allows displaying the spectral
|
|
|
|
|
density of (filtered) endogenous variables,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ New option `contemporaneous_correlation` that allows saving
|
|
|
|
|
contemporaneous correlations in addition to the covariances.
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
|
|
|
|
|
|
|
|
|
- Identification
|
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ New options `diffuse_filter` and `prior_trunc`,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ The `identification` command now supports correlations via
|
|
|
|
|
simulated moments,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
|
|
|
|
|
|
|
|
|
- Sensitivity analysis
|
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ New blocks `irf_calibration` and `moment_calibration`,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Outputs LaTeX tables if the new `TeX` option is used,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ New option `relative_irf` to `irf_calibration` block.
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
|
|
|
|
|
|
|
|
|
- Conditional forecast
|
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Command `conditional_forecast` now takes into account `histval`
|
|
|
|
|
block if present.
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
|
|
|
|
|
|
|
|
|
- Shock decomposition
|
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ New option `colormap` to `shocks_decomposition` for controlling
|
|
|
|
|
the color map used in the shocks decomposition graphs,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ `shocks_decomposition` now accepts the `nograph` option,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ New command `realtime_shock_decomposition` that for each period `T= [presample,...,nobs]`
|
|
|
|
|
allows computing the:
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2020-02-17 17:59:14 +01:00
|
|
|
|
* realtime historical shock decomposition `Y(t|T)`, *i.e.* without observing data in `[T+1,...,nobs]`
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
* forecast shock decomposition `Y(T+k|T)`
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
* realtime conditional shock decomposition `Y(T+k|T+k)-Y(T+k|T)`
|
|
|
|
|
|
|
|
|
|
+ New block `shock_groups` that allows grouping shocks for the
|
|
|
|
|
`shock_decomposition` and `realtime_shock_decomposition` commands,
|
|
|
|
|
|
|
|
|
|
+ New command `plot_shock_decomposition` that allows plotting the
|
|
|
|
|
results from `shock_decomposition` and
|
|
|
|
|
`realtime_shock_decomposition` for different vintages and shock
|
|
|
|
|
groupings.
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
|
|
|
|
|
|
|
|
|
- Macroprocessor
|
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Can now pass a macro-variable to the `@#include` macro directive,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ New preprocessor flag `-I`, macro directive `@#includepath`, and
|
|
|
|
|
dynare config file block `[paths]` to pass a search path to the
|
|
|
|
|
macroprocessor to be used for file inclusion via `@#include`.
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
|
|
|
|
|
|
|
|
|
- Command line
|
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ New option `onlyclearglobals` (do not clear JIT compiled functions
|
2019-10-02 11:36:05 +02:00
|
|
|
|
with recent versions of MATLAB),
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ New option `minimal_workspace` to use fewer variables in the
|
|
|
|
|
current workspace,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ New option `params_derivs_order` allows limiting the order of the
|
|
|
|
|
derivatives with respect to the parameters that are calculated by
|
|
|
|
|
the preprocessor,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ New command line option `mingw` to support the MinGW-w64 C/C++
|
|
|
|
|
Compiler from TDM-GCC for `use_dll`.
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
|
|
|
|
|
|
|
|
|
- dates/dseries/reporting classes
|
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ New methods `abs`, `cumprod` and `chain`,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ New option `tableRowIndent` to `addTable`,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Reporting system revamped and made more efficient, dependency on
|
|
|
|
|
matlab2tikz has been dropped.
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
|
|
|
|
|
|
|
|
|
- Optimization algorithms
|
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ `mode_compute=2` Uses the simulated annealing as described by
|
2020-02-17 17:59:14 +01:00
|
|
|
|
*Corana et al. (1987)*,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2020-02-17 17:59:14 +01:00
|
|
|
|
+ `mode_compute=101` Uses SOLVEOPT as described by *Kuntsevich and
|
|
|
|
|
Kappel (1997)*,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2020-02-17 17:59:14 +01:00
|
|
|
|
+ `mode_compute=102` Uses `simulannealbnd` from MATLAB’s Global
|
2017-05-29 10:41:58 +02:00
|
|
|
|
Optimization Toolbox (if available),
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ New option `silent_optimizer` to shut off output from mode
|
|
|
|
|
computing/optimization,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ New options `verbosity` and `SaveFiles` to control output and
|
|
|
|
|
saving of files during mode computing/optimization.
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
|
|
|
|
|
|
|
|
|
- LaTeX output
|
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ New command `write_latex_original_model`,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ New option `write_equation_tags` to `write_latex_dynamic_model`
|
|
|
|
|
that allows printing the specified equation tags to the generate
|
|
|
|
|
LaTeX code,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ New command `write_latex_parameter_table` that writes the names and
|
|
|
|
|
values of model parameters to a LaTeX table,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ New command `write_latex_prior_table` that writes the descriptive
|
|
|
|
|
statistics about the prior distribution to a LaTeX table,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ New command `collect_latex_files` that creates one compilable LaTeX
|
|
|
|
|
file containing all TeX-output.
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
|
|
|
|
|
|
|
|
|
- Misc.
|
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Provides 64bit preprocessor,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Introduces new path management to avoid conflicts with other
|
|
|
|
|
toolboxes,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2020-02-17 17:59:14 +01:00
|
|
|
|
+ Full compatibility with MATLAB 2014b’s new graphic interface,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ When using `model(linear)`, Dynare automatically checks
|
|
|
|
|
whether the model is truly linear,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ `usedll`, the `msvc` option now supports `normcdf`, `acosh`,
|
|
|
|
|
`asinh`, and `atanh`,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ New parallel option `NumberOfThreadsPerJob` for Windows nodes that
|
|
|
|
|
sets the number of threads assigned to each remote MATLAB/Octave
|
|
|
|
|
run,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Improved numerical performance of
|
|
|
|
|
`schur_statespace_transformation` for very large models,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ The `all_values_required` option now also works with `histval`,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Add missing `horizon` option to `ms_forecast`,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ BVAR now saves the marginal data density in
|
|
|
|
|
`oo_.bvar.log_marginal_data_density` and stores prior and
|
|
|
|
|
posterior information in `oo_.bvar.prior` and
|
|
|
|
|
`oo_.bvar.posterior`.
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2020-02-17 17:59:14 +01:00
|
|
|
|
Bugs and problems identified in version 4.4.3 and that have been fixed in version 4.5.0:
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
|
|
|
|
|
|
|
|
|
- BVAR models
|
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ `bvar_irf` could display IRFs in an unreadable way when they moved from
|
|
|
|
|
negative to positive values,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ In contrast to what is stated in the documentation, the confidence interval
|
|
|
|
|
size `conf_sig` was 0.6 by default instead of 0.9.
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
|
|
|
|
|
|
|
|
|
- Conditional forecasts
|
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ The `conditional_forecast` command produced wrong results in calibrated
|
|
|
|
|
models when used at initial values outside of the steady state (given with
|
|
|
|
|
`initval`),
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ The `plot_conditional_forecast` option could produce unreadable figures if
|
|
|
|
|
the areas overlap,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ The `conditional_forecast` command after MLE crashed,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ In contrast to what is stated in the manual, the confidence interval size
|
|
|
|
|
`conf_sig` was 0.6 by default instead of 0.8.
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Conditional forecasts were wrong when the declaration of endogenous
|
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|
|
|
variables was not preceeding the declaration of the exogenous
|
|
|
|
|
variables and parameters.
|
2017-05-24 10:56:51 +02:00
|
|
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|
|
|
|
|
|
|
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|
|
- Discretionary policy
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|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Dynare allowed running models where the number of instruments did not match
|
|
|
|
|
the number of omitted equations,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Dynare could crash in some cases when trying to display the solution,
|
2017-05-24 10:56:51 +02:00
|
|
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|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Parameter dependence embedded via a `steady_state` was not taken into
|
|
|
|
|
account, typically resulting in crashes.
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
|
|
|
|
- dseries class
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|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ When subtracting a dseries object from a number, the number was instead
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|
|
subtracted from the dseries object.
|
2017-05-24 10:56:51 +02:00
|
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|
|
|
|
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|
|
- DSGE-VAR models
|
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|
2017-05-29 10:41:58 +02:00
|
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|
|
+ Dynare crashed when estimation encountered non-finite values in the Jacobian
|
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|
|
at the steady state,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ The presence of a constant was not considered for degrees of freedom
|
|
|
|
|
computation of the Gamma function used during the posterior computation; due
|
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|
|
|
to only affecting the constant term, results should be be unaffected, except
|
|
|
|
|
for model_comparison when comparing models with and without.
|
2017-05-24 10:56:51 +02:00
|
|
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|
|
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|
|
|
|
|
|
|
|
- Estimation command
|
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|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ In contrast to what was stated in the manual, the confidence interval size
|
|
|
|
|
`conf_sig` for `forecast` without MCMC was 0.6 by default instead of 0.9,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Calling estimation after identification could lead to crashes,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ When using recursive estimation/forecasting and setting some elements of
|
|
|
|
|
`nobs` to be larger than the number of observations T in the data,
|
|
|
|
|
`oo_recursive_` contained additional cell entries that simply repeated the
|
|
|
|
|
results obtained for `oo_recursive_T`,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Computation of Bayesian smoother could crash for larger models when
|
|
|
|
|
requesting `forecast` or `filtered_variables`,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Geweke convergence diagnostics were not computed on the full MCMC chain when
|
|
|
|
|
the `load_mh_file` option was used,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ The Geweke convergence diagnostics always used the default `taper_steps` and
|
|
|
|
|
`geweke_interval`,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Bayesian IRFs (`bayesian_irfs` option) could be displayed in an unreadable
|
|
|
|
|
way when they move from negative to positive values,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ If `bayesian_irfs` was requested when `mh_replic` was too low to compute
|
|
|
|
|
HPDIs, plotting was crashing,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ The x-axis value in `oo_.prior_density` for the standard deviation and
|
|
|
|
|
correlation of measurement errors was written into a field
|
|
|
|
|
`mearsurement_errors_*` instead of `measurement_errors_*`,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Using a user-defined `mode_compute` crashed estimation,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Option `mode_compute=10` did not work with infinite prior bounds,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ The posterior variances and covariances computed by `moments_varendo` were
|
|
|
|
|
wrong for very large models due to a matrix erroneously being filled up with
|
|
|
|
|
zeros,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Using the `forecast` option with `loglinear` erroneously added the unlogged
|
|
|
|
|
steady state,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ When using the `loglinear` option the check for the presence of a constant
|
|
|
|
|
was erroneously based on the unlogged steady state,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Estimation of `observation_trends` was broken as the trends specified as a
|
|
|
|
|
function of deep parameters were not correctly updated during estimation,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ When using `analytic_derivation`, the parameter values were not set before
|
|
|
|
|
testing whether the steady state file changes parameter values, leading to
|
|
|
|
|
subsequent crashes,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ If the steady state of an initial parameterization did not solve, the
|
|
|
|
|
observation equation could erroneously feature no constant when the
|
|
|
|
|
`use_calibration` option was used,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ When computing posterior moments, Dynare falsely displayed that moment
|
|
|
|
|
computations are skipped, although the computation was performed correctly,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ If `conditional_variance_decomposition` was requested, although all
|
|
|
|
|
variables contain unit roots, Dynare crashed instead of providing an error
|
|
|
|
|
message,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Computation of the posterior parameter distribution was erroneously based
|
|
|
|
|
on more draws than specified (there was one additional draw for every Markov
|
|
|
|
|
chain),
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ The estimation option `lyapunov=fixed_point` was broken,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Computation of `filtered_vars` with only one requested step crashed Dynare,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Option `kalman_algo=3` was broken with non-diagonal measurement error,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ When using the diffuse Kalman filter with missing observations, an additive
|
2020-02-17 17:59:14 +01:00
|
|
|
|
factor log(2π) was missing in the last iteration step,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Passing of the `MaxFunEvals` and `InitialSimplexSize` options to
|
|
|
|
|
`mode_compute=8` was broken,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Bayesian forecasts contained initial conditions and had the wrong length in
|
|
|
|
|
both plots and stored variables,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Filtered variables obtained with `mh_replic=0`, ML, or
|
|
|
|
|
`calibrated_smoother` were padded with zeros at the beginning and end and
|
|
|
|
|
had the wrong length in stored variables,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Computation of smoothed measurement errors in Bayesian estimation was broken,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ The `selected_variables_only` option (`mh_replic=0`, ML, or
|
|
|
|
|
`calibrated_smoother`) returned wrong results for smoothed, updated, and
|
|
|
|
|
filtered variables,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Combining the `selected_variables_only` option with forecasts obtained
|
|
|
|
|
using `mh_replic=0`, ML, or `calibrated_smoother` leaded to crashes,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ `oo_.UpdatedVariables` was only filled when the `filtered_vars` option was specified,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ When using Bayesian estimation with `filtered_vars`, but without
|
|
|
|
|
`smoother`, then `oo_.FilteredVariables` erroneously also contained filtered
|
|
|
|
|
variables at the posterior mean as with `mh_replic=0`,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Running an MCMC a second time in the same folder with a different number of
|
|
|
|
|
iterations could result in crashes due to the loading of stale files,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Results displayed after Bayesian estimation when not specifying
|
|
|
|
|
the `smoother` option were based on the parameters at the mode
|
|
|
|
|
from mode finding instead of the mean parameters from the
|
|
|
|
|
posterior draws. This affected the smoother results displayed, but
|
|
|
|
|
also calls to subsequent command relying on the parameters stored
|
|
|
|
|
in `M_.params` like `stoch_simul`,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ The content of `oo_.posterior_std` after Bayesian estimation was based on
|
|
|
|
|
the standard deviation at the posterior mode, not the one from the MCMC, this
|
|
|
|
|
was not consistent with the reference manual,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ When the initialization of an MCMC run failed, the metropolis.log file was
|
2019-10-02 11:36:05 +02:00
|
|
|
|
locked, requiring a restart of MATLAB to restart estimation,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ If the posterior mode was right at the corner of the prior bounds, the
|
|
|
|
|
initialization of the MCMC erroneously crashed,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ If the number of dropped draws via `mh_drop` coincided with the number of
|
2020-02-17 17:59:14 +01:00
|
|
|
|
draws in a `_mh`-file, `oo_.posterior.metropolis.mean` and
|
2017-05-29 10:41:58 +02:00
|
|
|
|
`oo_.posterior.metropolis.Variance` were NaN.
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
|
|
|
|
|
|
|
|
|
- Estimation and calibrated smoother
|
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ When using `observation_trends` with the `prefilter` option, the mean shift
|
|
|
|
|
due to the trend was not accounted for,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ When using `first_obs`>1, the higher trend starting point of
|
|
|
|
|
`observation_trends` was not taken into account, leading, among other things,
|
|
|
|
|
to problems in recursive forecasting,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ The diffuse Kalman smoother was crashing if the forecast error variance
|
|
|
|
|
matrix becomes singular,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ The multivariate Kalman smoother provided incorrect state estimates when
|
|
|
|
|
all data for one observation are missing,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ The multivariate diffuse Kalman smoother provided incorrect state estimates
|
|
|
|
|
when the `Finf` matrix becomes singular,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ The univariate diffuse Kalman filter was crashing if the initial covariance
|
|
|
|
|
matrix of the nonstationary state vector is singular,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
|
|
|
|
|
|
|
|
|
- Forecats
|
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ In contrast to what is stated in the manual, the confidence interval size
|
|
|
|
|
`conf_sig` was 0.6 by default instead of 0.9.
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Forecasting with exogenous deterministic variables provided wrong decision
|
|
|
|
|
rules, yielding wrong forecasts.
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Forecasting with exogenous deterministic variables crashed when the
|
|
|
|
|
`periods` option was not explicitly specified,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Option `forecast` when used with `initval` was using the initial values in
|
|
|
|
|
the `initval` block and not the steady state computed from these initial
|
|
|
|
|
values as the starting point of forecasts.
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
|
|
|
|
|
|
|
|
|
- Global Sensitivity Analysis
|
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Sensitivity with ML estimation could result in crashes,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Option `mc` must be forced if `neighborhood_width` is used,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Fixed dimension of `stock_logpo` and `stock_ys`,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Incomplete variable initialization could lead to crashes with `prior_range=1`.
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
|
|
|
|
|
|
|
|
|
- Indentification
|
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Identification did not correctly pass the `lik_init` option,
|
|
|
|
|
requiring the manual setting of `options_.diffuse_filter=1` in
|
|
|
|
|
case of unit roots,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Testing identification of standard deviations as the only
|
|
|
|
|
parameters to be estimated with ML leaded to crashes,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Automatic increase of the lag number for autocovariances when the
|
|
|
|
|
number of parameters is bigger than the number of non-zero moments
|
|
|
|
|
was broken,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ When using ML, the asymptotic Hessian was not computed,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Checking for singular values when the eigenvectors contained only
|
|
|
|
|
one column did not work correctly,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
|
|
|
|
|
|
|
|
|
- Model comparison
|
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Selection of the `modifiedharmonicmean` estimator was broken,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
|
|
|
|
|
|
|
|
|
- Optimal Simple Rules
|
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ When covariances were specified, variables that only entered with
|
|
|
|
|
their variance and no covariance term obtained a wrong weight,
|
|
|
|
|
resulting in wrong results,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Results reported for stochastic simulations after `osr` were based
|
|
|
|
|
on the last parameter vector encountered during optimization,
|
|
|
|
|
which does not necessarily coincide with the optimal parameter
|
|
|
|
|
vector,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Using only one (co)variance in the objective function resulted in crashes,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ For models with non-stationary variables the objective function was computed wrongly.
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
|
|
|
|
|
|
|
|
|
- Ramsey policy
|
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ If a Lagrange multiplier appeared in the model with a lead or a lag
|
|
|
|
|
of more than one period, the steady state could be wrong.
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ When using an external steady state file, incorrect steady states
|
|
|
|
|
could be accepted,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ When using an external steady state file with more than one
|
|
|
|
|
instrument, Dynare crashed,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ When using an external steady state file and running `stoch_simul`
|
|
|
|
|
after `ramsey_planner`, an incorrect steady state was used,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ When the number of instruments was not equal to the number of
|
|
|
|
|
omitted equations, Dynare crashed with a cryptic message,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ The `planner_objective` accepted `varexo`, but ignored them for computations,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
|
|
|
|
|
|
|
|
|
- Shock decomposition
|
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Did not work with the `parameter_set=calibration` option if an
|
|
|
|
|
`estimated_params` block is present,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Crashed after MLE.
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
|
|
|
|
|
|
|
|
|
- Perfect foresight models
|
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ The perfect foresight solver could accept a complex solution
|
|
|
|
|
instead of continuing to look for a real-valued one,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ The `initval_file` command only accepted column and not row vectors,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ The `initval_file` command did not work with Excel files,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Deterministic simulations with one boundary condition crashed in
|
|
|
|
|
`solve_one_boundary` due to a missing underscore when passing
|
|
|
|
|
`options_.simul.maxit`,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Deterministic simulation with exogenous variables lagged by more
|
|
|
|
|
than one period crashed,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Termination criterion `maxit` was hard-coded for `solve_algo=0`
|
|
|
|
|
and could no be changed,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ When using `block`/`bytecode`, relational operators could not be enforced,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ When using `block` some exceptions were not properly handled,
|
|
|
|
|
leading to code crashes,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Using `periods=1` crashed the solver (bug only partially fixed).
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
|
|
|
|
|
|
|
|
|
- Smoothing
|
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ The univariate Kalman smoother returned wrong results when used
|
|
|
|
|
with correlated measurement error,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ The diffuse smoother sometimes returned linear combinations of the
|
|
|
|
|
smoothed stochastic trend estimates instead of the original trend
|
|
|
|
|
estimates.
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
|
|
|
|
- Perturbation reduced form
|
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ In contrast to what is stated in the manual, the results of the
|
|
|
|
|
unconditional variance decomposition were only stored in
|
|
|
|
|
`oo_.gamma_y(nar+2)`, not in `oo_.variance_decomposition`,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Dynare could crash when the steady state could not be computed
|
|
|
|
|
when using the `loglinear` option,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Using `bytcode` when declared exogenous variables were not
|
|
|
|
|
used in the model leaded to crashes in stochastic simulations,
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ Displaying decision rules involving lags of auxiliary variables of
|
|
|
|
|
type 0 (leads>1) crashed.
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
+ The `relative_irf` option resulted in wrong output at `order>1` as
|
|
|
|
|
it implicitly relies on linearity.
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
|
|
|
|
|
|
|
|
|
- Displaying of the MH-history with the `internals` command crashed
|
|
|
|
|
if parameter names did not have same length.
|
|
|
|
|
|
|
|
|
|
- Dynare crashed when the user-defined steady state file returned an
|
|
|
|
|
error code, but not an conformable-sized steady state vector.
|
|
|
|
|
|
|
|
|
|
- Due to a bug in `mjdgges.mex` unstable parameter draws with
|
2020-02-17 17:59:14 +01:00
|
|
|
|
eigenvalues up to 1+10⁻⁶ could be accepted as stable for the
|
2017-05-24 10:56:51 +02:00
|
|
|
|
purpose of the Blanchard-Kahn conditions, even if `qz_criterium<1`.
|
|
|
|
|
|
|
|
|
|
- The `use_dll` option on Octave for Windows required to pass a
|
|
|
|
|
compiler flag at the command line, despite the manual stating this
|
|
|
|
|
was not necessary.
|
|
|
|
|
|
|
|
|
|
- Dynare crashed for models with `block` option if the Blanchard-Kahn
|
|
|
|
|
conditions were not satisfied instead of generating an error
|
|
|
|
|
message.
|
|
|
|
|
|
|
|
|
|
- The `verbose` option did not work with `model(block)`.
|
|
|
|
|
|
|
|
|
|
- When falsely specifying the `model(linear)` for nonlinear models,
|
|
|
|
|
incorrect steady states were accepted instead of aborting.
|
|
|
|
|
|
|
|
|
|
- The `STEADY_STATE` operator called on model local variables
|
|
|
|
|
(so-called pound variables) did not work as expected.
|
|
|
|
|
|
|
|
|
|
- The substring operator in macro-processor was broken. The
|
|
|
|
|
characters of the substring could be mixed with random characters
|
|
|
|
|
from the memory space.
|
|
|
|
|
|
|
|
|
|
- Block decomposition could sometimes cause the preprocessor to crash.
|
|
|
|
|
|
|
|
|
|
- A bug when external functions were used in model local variables
|
|
|
|
|
that were contained in equations that required auxiliary
|
2019-10-02 11:36:05 +02:00
|
|
|
|
variable/equations led to crashes of MATLAB.
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
|
|
|
|
- Sampling from the prior distribution for an inverse gamma II
|
|
|
|
|
distribution when `prior_trunc>0` could result in incorrect
|
|
|
|
|
sampling.
|
|
|
|
|
|
|
|
|
|
- Sampling from the prior distribution for a uniform distribution
|
|
|
|
|
when `prior_trunc>0` was ignoring the prior truncation.
|
|
|
|
|
|
|
|
|
|
- Conditional forecasts were wrong when the declaration of endogenous
|
|
|
|
|
variables was not preceeding the declaration of the exogenous
|
|
|
|
|
variables and parameters.
|
|
|
|
|
|
|
|
|
|
|
2017-05-29 10:41:58 +02:00
|
|
|
|
|
2014-07-31 12:45:18 +02:00
|
|
|
|
Announcement for Dynare 4.4.3 (on 2014-07-31)
|
|
|
|
|
=============================================
|
|
|
|
|
|
|
|
|
|
We are pleased to announce the release of Dynare 4.4.3.
|
|
|
|
|
|
|
|
|
|
This is a bugfix release.
|
|
|
|
|
|
|
|
|
|
The Windows packages are already available for download at:
|
2020-02-17 17:59:14 +01:00
|
|
|
|
<http://www.dynare.org/download/dynare-stable>.
|
2014-07-31 12:45:18 +02:00
|
|
|
|
|
|
|
|
|
The Mac and GNU/Linux packages (for Debian and Ubuntu LTS) should follow soon.
|
|
|
|
|
|
|
|
|
|
This release is compatible with MATLAB versions 7.3 (R2006b) to 8.2 (R2013b)
|
|
|
|
|
and with GNU Octave versions 3.6 to 3.8.
|
|
|
|
|
|
|
|
|
|
Here is a list of the problems identified in version 4.4.2 and that have been
|
|
|
|
|
fixed in version 4.4.3:
|
|
|
|
|
|
|
|
|
|
- When loading a dataset in XLS, XLSX or CSV format, the first
|
|
|
|
|
observation was discarded.
|
|
|
|
|
|
2020-02-17 17:59:14 +01:00
|
|
|
|
- Reading data in an Excel-file with only one variable was leading
|
2014-07-31 12:45:18 +02:00
|
|
|
|
to a crash.
|
|
|
|
|
|
2020-02-17 17:59:14 +01:00
|
|
|
|
- When using the `k_order_perturbation` option (which is implicit at
|
|
|
|
|
3rd order) without the `use_dll` option, crashes or unexpected
|
2014-07-31 12:45:18 +02:00
|
|
|
|
behavior could happen if some 2nd or 3rd derivative evaluates to
|
|
|
|
|
zero (while not being symbolically zero)
|
|
|
|
|
|
|
|
|
|
- When using external function, Ramsey policy could crash or return
|
|
|
|
|
wrong results.
|
|
|
|
|
|
|
|
|
|
- For Ramsey policy, the equation numbers associated with the
|
2020-02-17 17:59:14 +01:00
|
|
|
|
Lagrange multipliers stored in `M_.aux_vars` were erroneously one too
|
2014-07-31 12:45:18 +02:00
|
|
|
|
low
|
|
|
|
|
|
|
|
|
|
- When updating deep parameters in the steady state file, the changes
|
|
|
|
|
were not fully taken into account (this was only affecting the
|
|
|
|
|
Ramsey policy).
|
|
|
|
|
|
|
|
|
|
- When using external functions and the bytecode option, wrong
|
|
|
|
|
results were returned (if second order derivates of the external
|
|
|
|
|
functions were needed).
|
|
|
|
|
|
2020-02-17 17:59:14 +01:00
|
|
|
|
- The confidence level for computations in estimation, `conf_sig` could
|
|
|
|
|
not be changed and was fixed at 0.9. The new option `mh_conf_sig` is
|
2014-07-31 12:45:18 +02:00
|
|
|
|
now used to set this interval
|
|
|
|
|
|
|
|
|
|
- Conditional forecasts with non-diagonal covariance matrix used an
|
|
|
|
|
incorrect decomposition of the covariance matrix. A Cholesky
|
|
|
|
|
factorization is used.
|
|
|
|
|
|
2020-02-17 17:59:14 +01:00
|
|
|
|
- Option `geweke_interval` was not effective, Dynare always defaulted
|
2014-07-31 12:45:18 +02:00
|
|
|
|
to the standard value.
|
|
|
|
|
|
2020-02-17 17:59:14 +01:00
|
|
|
|
- The `mode_file` option lacked backward compatibility with older
|
2014-07-31 12:45:18 +02:00
|
|
|
|
Dynare versions.
|
|
|
|
|
|
2020-02-17 17:59:14 +01:00
|
|
|
|
- Loading an `mh_mode` file with the `mode_file` option was broken.
|
2014-07-31 12:45:18 +02:00
|
|
|
|
|
2020-02-17 17:59:14 +01:00
|
|
|
|
- Using `identification` with `var_exo_det` leaded to crashes (the
|
2014-07-31 12:45:18 +02:00
|
|
|
|
preprocessor now returns an error if they are used simultaneously)
|
|
|
|
|
|
2020-02-17 17:59:14 +01:00
|
|
|
|
- The `identification` command did not print results if the initial
|
2014-07-31 12:45:18 +02:00
|
|
|
|
parameter set was invalid and then crashed later on if the MC
|
|
|
|
|
sample is bigger than 1
|
|
|
|
|
|
|
|
|
|
- Inconsistencies between static and dynamic models leaded to crashes
|
|
|
|
|
instead of error messages (only with block option).
|
|
|
|
|
|
|
|
|
|
- The use of external functions crashed the preprocessor when the
|
|
|
|
|
derivatives of the external function are explicitly called in the
|
2020-02-17 17:59:14 +01:00
|
|
|
|
`model` block. The preprocessor now forbids the use of external
|
|
|
|
|
functions derivates in the `model` block.
|
2014-07-31 12:45:18 +02:00
|
|
|
|
|
|
|
|
|
- Using the block option when a variable does not appear in the
|
|
|
|
|
current period crashed Dynare instead of providing an error
|
|
|
|
|
message.
|
|
|
|
|
|
|
|
|
|
|
2014-03-04 15:22:23 +01:00
|
|
|
|
Announcement for Dynare 4.4.2 (on 2014-03-04)
|
|
|
|
|
=============================================
|
|
|
|
|
|
|
|
|
|
We are pleased to announce the release of Dynare 4.4.2.
|
|
|
|
|
|
|
|
|
|
This is a bugfix release.
|
|
|
|
|
|
|
|
|
|
The Windows packages are already available for download at:
|
2020-02-17 17:59:14 +01:00
|
|
|
|
<http://www.dynare.org/download/dynare-stable>.
|
2014-03-04 15:22:23 +01:00
|
|
|
|
|
|
|
|
|
The Mac and GNU/Linux packages (for Debian and Ubuntu LTS) should follow soon.
|
|
|
|
|
|
|
|
|
|
This release is compatible with MATLAB versions 7.3 (R2006b) to 8.2 (R2013b)
|
|
|
|
|
and with GNU Octave versions 3.6 to 3.8.
|
|
|
|
|
|
|
|
|
|
Here is a list of the problems identified in version 4.4.1 and that have been
|
|
|
|
|
fixed in version 4.4.2:
|
|
|
|
|
|
2020-02-17 17:59:14 +01:00
|
|
|
|
- Geweke convergence diagnostics was computed on the wrong sample if `mh_drop`
|
2014-03-04 15:22:23 +01:00
|
|
|
|
was not equal to the default of 0.5.
|
|
|
|
|
|
2020-02-17 17:59:14 +01:00
|
|
|
|
- The `loglinear` option of `stoch_simul` was displaying the steady state of
|
2014-03-04 15:22:23 +01:00
|
|
|
|
the original values, not the logged ones, and was producing incorrect
|
|
|
|
|
simulations and simulated moments. Theoretical moments were unaffected.
|
|
|
|
|
|
2020-02-17 17:59:14 +01:00
|
|
|
|
- The `optim` option of `estimation` (for setting options to `mode_compute`)
|
2014-03-04 15:22:23 +01:00
|
|
|
|
was only working with at least MATLAB 8.1 (R2013a) or Octave 3.8.
|
|
|
|
|
|
|
|
|
|
- For unit root models, theoretical HP filtered moments were sometimes
|
|
|
|
|
erroneously displayed as NaN.
|
|
|
|
|
|
2020-02-17 17:59:14 +01:00
|
|
|
|
- Specifying an endogenous variable twice after the `estimation` command would
|
2014-03-04 15:22:23 +01:00
|
|
|
|
lead to a crash in the computation of moments.
|
|
|
|
|
|
|
|
|
|
- Deterministic simulations were crashing on some models with more than one
|
|
|
|
|
lead or one lag on exogenous variables.
|
|
|
|
|
|
|
|
|
|
- Homotopy in stochastic extended path with order greater than 0 was not
|
|
|
|
|
working correctly (during the homotopy steps the perfect foresight model
|
|
|
|
|
solver was called instead of the stochastic perfect foresight model solver).
|
|
|
|
|
|
2020-02-17 17:59:14 +01:00
|
|
|
|
- MCMC convergence diagnostics were not computed if `mh_replic` was less than
|
2014-03-04 15:22:23 +01:00
|
|
|
|
2000; the test now relies on the total number of iterations (this only makes
|
2020-02-17 17:59:14 +01:00
|
|
|
|
a difference if option `load_mh_file` is used).
|
2014-03-04 15:22:23 +01:00
|
|
|
|
|
|
|
|
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2014-01-17 12:05:24 +01:00
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Announcement for Dynare 4.4.1 (on 2014-01-17)
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2014-01-15 15:40:08 +01:00
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=============================================
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We are pleased to announce the release of Dynare 4.4.1.
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2014-01-17 12:05:24 +01:00
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This release contains a few changes to the user interface and fixes various
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bugs. It also adds compatibility with Octave 3.8.
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2014-01-15 15:40:08 +01:00
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The Windows packages are already available for download at:
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2020-02-17 17:59:14 +01:00
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<http://www.dynare.org/download/dynare-stable>.
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2014-01-15 15:40:08 +01:00
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The Mac and GNU/Linux packages (for Debian and Ubuntu) should follow soon.
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All users are encouraged to upgrade.
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This release is compatible with MATLAB versions 7.3 (R2006b) to 8.2 (R2013b) and
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2014-01-15 15:56:58 +01:00
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with GNU Octave versions 3.6 to 3.8.
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2014-01-15 15:40:08 +01:00
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2014-01-17 12:05:24 +01:00
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* Changes to the user interface:
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2014-01-15 15:40:08 +01:00
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2020-02-17 17:59:14 +01:00
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- The syntax introduced in 4.4.0 for conditional forecast in a deterministic
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setup was removed, and replaced by a new one that is better suited to the
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task. More precisely, such deterministic forecasts are no longer done using
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the `conditional_forecast` command. The latter is replaced by a group of
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commands: `init_plan`, `basic_plan` and `flip_plan`. See the reference
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manual for more details.
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- Changes to the reporting module: option `annualAverages` to `addTable` has
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been removed (use option `tableDataRhs` to `addSeries` instead); option
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`vlineAfter` to `addTable` now also accepts a cell array.
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- Changes to the date and time series classes: implement broadcasting for
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operations (`+`,`-`,`*` and `/`) between `dseries` class and scalar or vectors; add
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the possibility of selecting an observation within a time series using a
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formatted string containing a date.
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2014-01-15 15:40:08 +01:00
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* Bugs and problems identified in version 4.4.0 and that have been fixed in
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version 4.4.1:
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2020-02-17 17:59:14 +01:00
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- In MS-SBVAR, there was a bug preventing the computation of impulse responses
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on a constant regime.
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- Under Octave, after modifying the MOD file, the changes were not taken into
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account at the first Dynare run, but only at the second run.
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2014-01-15 15:40:08 +01:00
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2013-12-16 18:19:56 +01:00
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Announcement for Dynare 4.4.0 (on 2013-12-16)
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2013-12-11 18:15:03 +01:00
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=============================================
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We are pleased to announce the release of Dynare 4.4.0.
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This major release adds new features and fixes various bugs.
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2013-12-16 18:19:56 +01:00
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The Windows packages are already available for download at:
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2020-02-17 17:59:14 +01:00
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<http://www.dynare.org/download/dynare-stable>.
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2013-12-16 18:19:56 +01:00
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The Mac and Debian/Ubuntu packages should follow soon.
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2013-12-11 18:15:03 +01:00
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All users are strongly encouraged to upgrade.
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This release is compatible with MATLAB versions ranging from 7.3 (R2006b) to
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2013-12-11 18:30:13 +01:00
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8.2 (R2013b) and with GNU Octave version 3.6.
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2013-12-11 18:15:03 +01:00
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Here is the list of major user-visible changes:
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* New major algorithms:
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2020-02-17 17:59:14 +01:00
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- Extended path at order 1 and above, also known as “stochastic extended
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path”. This method is triggered by setting the `order` option of the
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`extended_path` command to a value greater than 0. Dynare will then use a
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Gaussian quadrature to take into account the effects of future uncertainty.
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The time series for the endogenous variables are generated by assuming that
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the agents believe that there will no more shocks after period t+order.
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- Alternative algorithms for computing decision rules of a stochastic model,
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based on the cycle reduction and logarithmic reduction algorithms. These
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methods are respectively triggered by giving `dr = cycle_reduction` or `dr
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= logarithmic_reduction` as an option to the `stoch_simul` command.
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- Pruning now works with 3rd order approximation, along the lines of
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*Andreasen, Fernández-Villaverde and Rubio-Ramirez (2013)*.
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- Computation of conditional forecast using an extended path method. This is
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triggered by the new option `simulation_type = deterministic` in the
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`conditional_forecast` command. In this case, the `expectation` command in
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the `conditional_forecast_paths` block has to be used to indicate the nature
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of expectations (whether shocks are a surprise or are perfectly
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anticipated).
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- Endogenous priors as in Christiano, Trabandt and Walentin (2011). Those are
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triggered by the new option `endogenous_prior` of the `estimation` command.
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2013-12-11 18:15:03 +01:00
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* Other algorithmic improvements:
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2020-02-17 17:59:14 +01:00
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- New command `model_diagnostics` to perform various sanity checks on the
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model. Note: in the past, some users may have used a preliminary MATLAB
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function implementing this; the new command has the same syntax, except that
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you shouldn’t pass any argument to it.
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- Terminal conditions of perfect foresight simulations can now be specified in
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growth rates. More specifically, the new option `differentiate_forward_vars`
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of the `model` block will create auxiliary forward looking variables
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expressed in first differences or growth rates of the actual forward looking
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variables defined in the model. These new variables have obvious zero
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terminal conditions whatever the simulation context and this in many cases
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helps convergence of simulations.
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- Convergence diagnostics for single chain MCMC à la *Geweke (1992, 1999)*.
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- New optimizer for the posterior mode (triggered by `mode_compute=10`): it
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uses the simpsa algorithm, based on the combination of the non-linear
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simplex and simulated annealing algorithms and proposed by *Cardoso, Salcedo
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and Feyo de Azevedo (1996)*.
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- The automatic detrending engine has been extended to work on models written
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in logs. The corresponding trend variable type is `log_trend_var`, and the
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corresponding deflator type is `log_deflator`.
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2013-12-11 18:15:03 +01:00
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* New features in the user interface:
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2020-02-17 17:59:14 +01:00
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- New set of functions for easily creating PDF reports including figures and
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tables. See the “Reporting” section in the reference manual for more
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details.
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- New MATLAB/Octave classes for handling time series. See the “Time series”
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section in the reference manual for more details.
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- Datafiles in CSV format can now be used for estimation.
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- New macro processor `length` operator, returns the length of an array.
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- New option `all_values_required` of `initval` and `endval` blocks: enforces
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initialization of all endogenous and exogenous variables within the block.
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- Option `ar` can now be given to the `estimation` command.
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- New options `nograph`, `nointeractive` and `nowarn` to the `dynare` command,
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for a better control of what is displayed.
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- New option `nostrict` to the `dynare` command, for allowing Dynare to
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continue processing when there are more endogenous variables than equations
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or when an undeclared symbol is assigned in `initval` or `endval`.
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- The information on MCMC acceptance rates, seeds, last log posterior
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likelihood, and last parameter draw are now saved on the disk and can
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be displayed with `internals --display-mh-history` or loaded into the
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workspace with `internals --load-mh-history`.
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- New options `mode_check_neighbourhood_size`, `mode_check_symmetric_plots`
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and `mode_check_number_of_points`, for a better control of the diagnostic
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plots.
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- New option `parallel_local_files` of `model` block, for transferring extra
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files during parallel computations.
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- New option `clock` of `set_dynare_seed`, for setting a different seed at
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each run.
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- New option `qz_zero_threshold` of the `check`, `stoch_simul` and
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`estimation` commands, for a better control of the situation where a
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generalized eigenvalue is close to 0/0.
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- New `verbatim` block for inclusion of text that should pass through the
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preprocessor and be placed as is in the `modfile.m` file.
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- New option `mcmc_jumping_covariance` of the `estimation` command, for a
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better control of the covariance matrix used for the proposal density of the
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MCMC sampler.
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- New option `use_calibration` of the `estimated_params_init`, for using the
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calibration of deep parameters and the elements of the covariance matrix
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specified in the `shocks` block as starting values for the estimation.
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- New option `save_draws` of the `ms_simulation` command.
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- New option `irf_plot_threshold` of the `stoch_simul` and `estimation`
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commands, for a better control of the display of IRFs which are almost nil.
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- New option `long_name` for endogenous, exogenous and parameter declarations,
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which can be used to declare a long name for variables. That long name can
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be programmatically retrieved in `M_.endo_names_long`.
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2013-12-11 18:15:03 +01:00
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* Miscellaneous changes
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2020-02-17 17:59:14 +01:00
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- The deciles of some posterior moments were erroneously saved in a field
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`Distribution` under `oo_`. This field is now called `deciles`, for
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consistency with other posterior moments and with the manual. Similarly, the
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fields `Mean`, `Median`, `HPDsup`, `HPDinf`, and `Variance` are now
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consistently capitalized.
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- The console mode now implies the `nodisplay` option.
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2013-12-11 18:15:03 +01:00
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* Bugs and problems identified in version 4.3.3 and that have been fixed in
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version 4.4.0:
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2020-02-17 17:59:14 +01:00
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- In an `endval` block, auxiliary variables were not given the right value.
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This would not result in wrong results, but could prevent convergence of
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the steady state computation.
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- Deterministic simulations with `stack_solve_algo=0` (the default value) were
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crashing if some exogenous had a lag strictly greater than 1.
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- When using the `mode_file` option, the initial estimation checks were not
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performed for the loaded mode, but for the original starting values. Thus,
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potential prior violations by the mode only appeared during estimation,
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leading to potentially cryptic crashes and error messages.
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- If a shock/measurement error variance was set to 0 in calibration, the
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correlation matrix featured a 0 instead of a 1 on the diagonal, leading to
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wrong estimation results.
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- In the presence of calibrated covariances, estimation did not enforce
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positive definiteness of the covariance matrix.
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- Estimation using the `diffuse_filter` option together with the univariate
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Kalman filter and a diagonal measurement error matrix was broken.
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- A purely backward model with `k_order_solver` was leading to crashes of
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MATLAB/Octave.
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- Non-linear estimation was not skipping the specified presample when
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computing the likelihood.
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- IRFs and theoretical moments at order > 1 were broken for purely
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forward-looking models.
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- Simulated moments with constant variables was leading to crashes when
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displaying autocorrelations.
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- The `osr` command was sometimes crashing with cryptic error messages because
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of some unaccounted error codes returned from a deeper routine.
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- The check for stochastic singularity during initial estimation checks was
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broken.
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- Recursive estimation starting with the pathological case of `nobs=1` was
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crashing.
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- Conditional variance decomposition within or after estimation was crashing
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when at least one shock had been calibrated to zero variance.
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- The `estimated_params_init` and `estimated_params_bounds` blocks were broken
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for correlations.
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- The `filter_step_ahead` option was not producing any output in Bayesian
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estimation.
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- Deterministic simulations were sometimes erroneously indicating convergence
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although the residuals were actually NaN or Inf.
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- Supplying a user function in the `mode_compute` option was leading to
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a crash.
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- Deterministic simulation of models without any exogenous variable was
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crashing.
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- The MS-SBVAR code was not updating files between runs on Windows. This means
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that if a MOD file was updated between runs in the same folder and a
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`file_tag` was not changed, then the results would not change.
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- The `ramsey_policy` command was not putting in `oo_.planner_objective_value`
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the value of the planner objective at the optimum.
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2013-12-11 18:15:03 +01:00
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* References:
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2020-02-17 17:59:14 +01:00
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- Andreasen, Martin M., Jesús Fernández-Villaverde, and Juan Rubio-Ramirez
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(2013): “The Pruned State-Space System for Non-Linear DSGE Models: Theory
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and Empirical Applications,” *NBER Working Paper*, 18983
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- Cardoso, Margarida F., R. L. Salcedo and S. Feyo de Azevedo (1996): “The
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simplex simulated annealing approach to continuous non-linear optimization,”
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*Computers chem. Engng*, 20(9), 1065-1080
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- Christiano, Lawrence J., Mathias Trabandt and Karl Walentin (2011):
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“Introducing financial frictions and unemployment into a small open economy
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model,” *Journal of Economic Dynamics and Control*, 35(12), 1999-2041
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- Geweke, John (1992): “Evaluating the accuracy of sampling-based approaches
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to the calculation of posterior moments,” in J.O. Berger, J.M. Bernardo,
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A.P. Dawid, and A.F.M. Smith (eds.) *Proceedings of the Fourth Valencia
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International Meeting on Bayesian Statistics*, pp. 169-194, Oxford University
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Press
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- Geweke, John (1999): “Using simulation methods for Bayesian econometric
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models: Inference, development and communication,” *Econometric Reviews*,
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18(1), 1-73
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2013-12-11 18:15:03 +01:00
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2013-04-12 11:46:03 +02:00
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Announcement for Dynare 4.3.3 (on 2013-04-12)
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=============================================
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We are pleased to announce the release of Dynare 4.3.3.
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This is a bugfix release.
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The Windows packages are already available for download at:
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2020-02-17 17:59:14 +01:00
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<http://www.dynare.org/download/dynare-stable>.
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2013-04-12 11:46:03 +02:00
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The Mac and GNU/Linux packages (for Debian and Ubuntu) should follow soon.
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All users are encouraged to upgrade.
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The new release is compatible with MATLAB versions ranging from 7.0 (R14) to
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8.1 (R2013a) and with GNU Octave versions ranging from 3.2 to 3.6.
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Here is a list of the problems identified in version 4.3.2 and that have been
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fixed in version 4.3.3:
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- Estimation with measurement errors was wrong if a correlation between two
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measurement errors was calibrated
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2020-02-17 17:59:14 +01:00
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- Option `use_dll` was broken under Windows
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2013-04-12 11:46:03 +02:00
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- Degenerate case of purely static models (no leads/no lags) were not
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correctly handled
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- Deterministic simulations over a single period were not correctly done
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2020-02-17 17:59:14 +01:00
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- The sensitivity call `dynare_sensitivity(identification=1,morris=2)` was
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2013-04-12 11:46:03 +02:00
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buggy when there are no shocks estimated
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2020-02-17 17:59:14 +01:00
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- Calls to `shock_decomposition` after using `selected_variables_only` option
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2013-04-12 11:46:03 +02:00
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fail
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- Sometimes, only the last open graph was saved, leading to missing and
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duplicate EPS/PDF graphs
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- Forecasting after maximum likelihood estimation when not forecasting at
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2020-02-17 17:59:14 +01:00
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least one observed variables (`var_obs`) was leading to crashes
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2013-04-12 11:46:03 +02:00
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- Some functionalities were crashing with MATLAB 8.1/R2013a (bytecode,
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MS-SBVAR)
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2020-02-17 17:59:14 +01:00
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- Sometimes only the first order autocorrelation of `moments_varendo` was
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saved instead of all up to the value of `ar` option
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2013-04-12 11:46:03 +02:00
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2013-01-18 14:19:41 +01:00
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Announcement for Dynare 4.3.2 (on 2013-01-18)
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=============================================
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We are pleased to announce the release of Dynare 4.3.2.
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This is a bugfix release.
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The Windows packages are already available for download at:
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2020-02-17 17:59:14 +01:00
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<http://www.dynare.org/download/dynare-stable>.
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2013-01-18 14:19:41 +01:00
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The Mac and GNU/Linux packages (for Debian and Ubuntu) should follow soon.
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All users are encouraged to upgrade.
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The new release is compatible with MATLAB versions ranging from 7.0 (R14) to
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8.0 (R2012b) and with GNU Octave versions ranging from 3.2 to 3.6.
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Here is a list of the problems identified in version 4.3.1 and that have been
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fixed in version 4.3.2:
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- Computation of posterior distribution of unconditional variance
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decomposition was sometimes crashing (only for very large models)
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2020-02-17 17:59:14 +01:00
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- Estimation with `mode_compute=6` was sometimes crashing
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2013-01-18 14:19:41 +01:00
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2020-02-17 17:59:14 +01:00
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- Derivative of `erf()` function was incorrect
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2013-01-18 14:19:41 +01:00
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2020-02-17 17:59:14 +01:00
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- The `check` command was not setting `oo_.dr.eigval` unless `stoch_simul` was
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2013-01-18 14:19:41 +01:00
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also used
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- Computation of conditional forecast when the constraint is only on
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one period was buggy
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2020-02-17 17:59:14 +01:00
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- Estimation with `mode_compute=3` was crashing under Octave
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2013-01-18 14:19:41 +01:00
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2012-10-10 16:29:36 +02:00
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Announcement for Dynare 4.3.1 (on 2012-10-10)
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=============================================
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We are pleased to announce the release of Dynare 4.3.1. This release adds a few
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minor features and fixes various bugs.
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The Windows and Mac packages are already available for download at:
|
2020-02-17 17:59:14 +01:00
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<http://www.dynare.org/download/dynare-stable>.
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2012-10-10 16:29:36 +02:00
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The GNU/Linux packages (for Debian and Ubuntu) should follow soon.
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All users are strongly encouraged to upgrade.
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The new release is compatible with MATLAB versions ranging from 7.0 (R14) to
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8.0 (R2012b) and with GNU Octave versions ranging from 3.2 to 3.6.
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Here is the list of the main user-visible changes:
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* New features in the user interface:
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2020-02-17 17:59:14 +01:00
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- New `@#ifndef` directive in the macro-processor
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- Possibility of simultaneously specifying several output formats in the
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`graph_format` option
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- Support for XLSX files in `datafile` option of `estimation` and in
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`initval_file`
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2012-10-10 16:29:36 +02:00
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* Bugs and problems identified in version 4.3.0 and that have been fixed in
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version 4.3.1:
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2020-02-17 17:59:14 +01:00
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- Shock decomposition was broken
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- The welfare computation with `ramsey_policy` was buggy when used in
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conjunction with `histval`
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- Estimation of models with both missing observations and measurement errors
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was buggy
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- The option `simul_replic` was broken
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- The macro-processor directive `@#ifdef` was broken
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- Identification with `max_dim_cova_group > 1` was broken for specially
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degenerate models (when parameter theta has pairwise collinearity of one
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with multiple other parameters, *i.e.* when all couples (θ,b), (θ,c),
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… (θ,d) have perfect collinearity in the Jacobian of the model)
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- The `parallel_test` option was broken
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- Estimation with correlated shocks was broken when the correlations were
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specified in terms of correlation and not in terms of co-variance
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- The Windows package was broken with MATLAB 7.1 and 7.2
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- When using `mode_compute=0` with a mode file generated using
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`mode_compute=6`, the value of option `mh_jscale` was not loaded
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- Using exogenous deterministic variables at 2nd order was causing a crash
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- The option `no_create_init` for the `ms_estimation` command was broken
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- Loading of datafiles with explicit filename extensions was not working
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- The preprocessor had a memory corruption problem which could randomly lead
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to crashes
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2012-10-10 16:29:36 +02:00
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2012-06-15 14:59:37 +02:00
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Announcement for Dynare 4.3.0 (on 2012-06-15)
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=============================================
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2012-06-15 20:27:11 +02:00
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We are pleased to announce the release of Dynare 4.3.0. This major release adds
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new features and fixes various bugs.
|
2012-06-15 14:59:37 +02:00
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|
2012-06-15 20:27:11 +02:00
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The Windows and Mac packages are already available for download at:
|
2020-02-17 17:59:14 +01:00
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<http://www.dynare.org/download/dynare-4.3>.
|
2012-06-15 20:27:11 +02:00
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The GNU/Linux packages should follow soon.
|
2012-06-15 14:59:37 +02:00
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All users are strongly encouraged to upgrade.
|
|
|
|
|
|
|
|
|
|
The new release is compatible with MATLAB versions ranging from 7.0 (R14) to
|
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|
7.14 (R2012a) and with GNU Octave versions ranging from 3.2 to 3.6.
|
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|
|
|
|
2012-06-15 20:27:11 +02:00
|
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|
Here is the list of the main user-visible changes:
|
2012-06-15 14:59:37 +02:00
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* New major algorithms:
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|
2020-02-17 17:59:14 +01:00
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- Nonlinear estimation with a particle filter based on a second order
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approximation of the model, as in *Fernández-Villaverde and Rubio-Ramirez
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(2005)*; this is triggered by setting `order=2` in the `estimation` command
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- Extended path solution method as in *Fair and Taylor (1983)*; see the
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`extended_path` command
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- Support for Markov-Switching Structural Bayesian VARs (MS-SBVAR) along the
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lines of *Sims, Waggoner and Zha (2008)* (see the dedicated section in the
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reference manual)
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- Optimal policy under discretion along the lines of *Dennis (2007)*; see the
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`discretionary_policy` command
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- Identification analysis along the lines of *Iskrev (2010)*; see the
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`identification` command
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- The Global Sensitivity Analysis toolbox (*Ratto, 2008*) is now part of the
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official Dynare distribution
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2012-06-15 14:59:37 +02:00
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* Other algorithmic improvements:
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2020-02-17 17:59:14 +01:00
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- Stochastic simulation and estimation can benefit from block decomposition
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(with the `block` option of `model`; only at 1st order)
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- Possibility of running smoother and filter on a calibrated model; see the
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`calib_smoother` command
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- Possibility of doing conditional forecast on a calibrated model; see the
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`parameter_set=calibration` option of the `conditional_forecast` command
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- The default algorithm for deterministic simulations has changed and is now
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based on sparse matrices; the historical algorithm (*Laffargue, Boucekkine
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and Juillard*) is still available under the `stack_solve_algo=6` option of the
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`simul` command
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- Possibility of using an analytic gradient for the estimation; see the
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`analytic_derivation` option of the `estimation` command
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- Implementation of the Nelder-Mead simplex based optimization routine for
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computing the posterior mode; available under the `mode_compute=8` option of
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the `estimation` command
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- Implementation of the CMA Evolution Strategy algorithm for computing the
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posterior mode; available under the `mode_compute=9` option of the
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`estimation` command
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- New solvers for Lyapunov equations which can accelerate the estimation of
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large models; see the `lyapunov` option of the `estimation` command
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- New solvers for Sylvester equations which can accelerate the resolution of
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large models with block decomposition; see the `sylvester` option of the
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`stoch_simul` and `estimation` commands
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- The `ramsey_policy` command now displays the planner objective value
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function under Ramsey policy and stores it in `oo_.planner_objective_value`
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- Theoretical autocovariances are now computed when the `block` option is
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present
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- The `linear` option is now compatible with the `block` and `bytecode`
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options
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- The `loglinear` option now works with purely backward or forward models at
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first order
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|
2012-06-15 14:59:37 +02:00
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* New features in the user interface:
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|
2020-02-17 17:59:14 +01:00
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- New mathematical primitives allowed in model block: `abs()`, `sign()`
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- The behavior with respect to graphs has changed:
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+ By default, Dynare now displays graphs and saves them to disk in EPS
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format only
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+ The format can be changed to PDF or FIG with the new `graph_format`
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option
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+ It is possible to save graphs to disk without displaying them with the
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new `nodisplay` option
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- New `nocheck` option to the `steady` command: tells not to check the steady
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state and accept values given by the user (useful for models with unit
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roots)
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- A series of deterministic shocks can be passed as a pre-defined vector in
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the `values` statement of a `shocks` block
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- New option `sub_draws` in the `estimation` command for controlling the
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number of draws used in computing the posterior distributions of various
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objects
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- New macroprocessor command `@#ifdef` for testing if a macro-variable is
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defined
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- New option `irf_shocks` of the `stoch_simul` command, to allow IRFs to be
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created only for certain exogenous variables
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- In the parallel engine, possibility of assigning different weights to nodes
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in the cluster and of creating clusters comprised of nodes with different
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operating systems (see the relevant section in the reference manual)
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- It is now possible to redefine a parameter in the `steady_state_model` block
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(use with caution)
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- New option `maxit` in the `simul` and `steady` commands to determine the
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maximum number of iterations of the nonlinear solver
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- New option `homotopy_force_continue` in the `steady` command to control the
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behavior when a homotopy fails
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- Possibility of globally altering the defaults of options by providing a file
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in the `GlobalInitFile` field of the configuration file (use with caution)
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- New option `nolog` to the `dynare` command line to avoid creating a logfile
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- New option `-D` to the `dynare` command line with for defining
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macro-variables
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|
2012-06-15 14:59:37 +02:00
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|
2012-06-15 20:27:11 +02:00
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* Miscellaneous changes:
|
2012-06-15 14:59:37 +02:00
|
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|
2020-02-17 17:59:14 +01:00
|
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|
- The `use_dll` option of `model` now creates a MEX file for the static model
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in addition to that for the dynamic model
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|
- The `unit_root_vars` command is now obsolete; use the `diffuse_filter`
|
|
|
|
|
option of the `estimation` command instead
|
|
|
|
|
|
|
|
|
|
- New option `--burn` to Dynare++ to discard initial simulation points
|
|
|
|
|
|
|
|
|
|
- New top-level MATLAB/Octave command `internals` for internal documentation
|
|
|
|
|
and unitary tests
|
|
|
|
|
|
2012-06-15 14:59:37 +02:00
|
|
|
|
|
2012-06-15 20:27:11 +02:00
|
|
|
|
* Bugs and problems identified in version 4.2.5 and that have been fixed in
|
|
|
|
|
version 4.3.0:
|
|
|
|
|
|
2020-02-17 17:59:14 +01:00
|
|
|
|
- Backward models with the `loglinear` option were incorrectly handled
|
|
|
|
|
|
|
|
|
|
- Solving for hyperparameters of inverse gamma priors was sometimes crashing
|
|
|
|
|
|
|
|
|
|
- The deterministic solver for purely forward models was broken
|
|
|
|
|
|
|
|
|
|
- When running `estimation` or `identification` on models with non-diagonal
|
|
|
|
|
structural error covariance matrices, while not simultaneously estimating
|
|
|
|
|
the correlation between shocks (*i.e.* calibrating the correlation), the
|
|
|
|
|
off-diagonal elements were incorrectly handled or crashes were occuring
|
|
|
|
|
|
|
|
|
|
- When using the `prefilter` option, smoother plots were omitting the smoothed
|
|
|
|
|
observables
|
|
|
|
|
|
|
|
|
|
- In the rare case of entering and expression `x` as `x^(alpha-1)` with `x` being 0
|
|
|
|
|
in steady state and alpha being a parameter equal to 2, the Jacobian was
|
|
|
|
|
evaluating to 0 instead of 1
|
|
|
|
|
|
|
|
|
|
- Setting the prior for shock correlations was failing if a lower bound was not
|
|
|
|
|
explicitly specified
|
|
|
|
|
|
2012-06-15 20:27:11 +02:00
|
|
|
|
|
2012-06-15 14:59:37 +02:00
|
|
|
|
* References:
|
|
|
|
|
|
2020-02-17 17:59:14 +01:00
|
|
|
|
- Dennis, Richard (2007): “Optimal Policy In Rational Expectations Models: New
|
|
|
|
|
Solution Algorithms,” *Macroeconomic Dynamics*, 11(1), 31–55
|
|
|
|
|
|
|
|
|
|
- Fair, Ray and John Taylor (1983): “Solution and Maximum Likelihood
|
|
|
|
|
Estimation of Dynamic Nonlinear Rational Expectation Models,” *Econometrica*,
|
|
|
|
|
51, 1169–1185
|
|
|
|
|
|
|
|
|
|
- Fernández-Villaverde, Jesús and Juan Rubio-Ramirez (2005): “Estimating
|
|
|
|
|
Dynamic Equilibrium Economies: Linear versus Nonlinear Likelihood,” *Journal
|
|
|
|
|
of Applied Econometrics*, 20, 891–910
|
|
|
|
|
|
|
|
|
|
- Iskrev, Nikolay (2010): “Local identification in DSGE models,” *Journal of
|
|
|
|
|
Monetary Economics*, 57(2), 189–202
|
|
|
|
|
|
|
|
|
|
- Ratto, Marco (2008): “Analysing DSGE models with global sensitivity
|
|
|
|
|
analysis,” *Computational Economics*, 31, 115–139
|
|
|
|
|
|
|
|
|
|
- Sims, Christopher A., Daniel F. Waggoner and Tao Zha (2008): “Methods for
|
|
|
|
|
inference in large multiple-equation Markov-switching models,” *Journal of
|
|
|
|
|
Econometrics*, 146, 255–274
|
|
|
|
|
|
2012-06-15 14:59:37 +02:00
|
|
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|
|
2012-03-14 17:27:07 +01:00
|
|
|
|
Announcement for Dynare 4.2.5 (on 2012-03-14)
|
|
|
|
|
=============================================
|
|
|
|
|
|
|
|
|
|
We are pleased to announce the release of Dynare 4.2.5.
|
|
|
|
|
|
|
|
|
|
This is a bugfix release.
|
|
|
|
|
|
|
|
|
|
The Windows package for the new release is already available for download at
|
|
|
|
|
the official Dynare website <http://www.dynare.org>. The Mac and Linux packages
|
|
|
|
|
should follow soon.
|
|
|
|
|
|
|
|
|
|
All users are strongly encouraged to upgrade.
|
|
|
|
|
|
|
|
|
|
The new release is compatible with MATLAB versions ranging from 7.0 (R14) to
|
|
|
|
|
7.14 (R2012a) and with GNU Octave versions ranging from 3.0 to 3.6.
|
|
|
|
|
|
|
|
|
|
Note that GNU Octave users under Windows will have to upgrade to GNU Octave
|
|
|
|
|
version 3.6.1 (MinGW). The Octave installer can be downloaded at:
|
2020-02-17 17:59:14 +01:00
|
|
|
|
<http://www.dynare.org/octave/Octave3.6.1_gcc4.6.2_20120303-setup.exe>.
|
2012-03-14 17:27:07 +01:00
|
|
|
|
|
|
|
|
|
Here is a non-exhaustive list of the problems identified in version 4.2.4 and
|
|
|
|
|
that have been fixed in version 4.2.5:
|
|
|
|
|
|
|
|
|
|
* The MATLAB optimization toolbox was sometimes not correctly detected even
|
|
|
|
|
when installed
|
|
|
|
|
|
|
|
|
|
* Using the inverse gamma distribution with extreme hyperparameter values
|
|
|
|
|
could lead to a crash
|
|
|
|
|
|
|
|
|
|
* Various issues in the accelerated deterministic solver with block
|
|
|
|
|
decomposition
|
|
|
|
|
|
|
|
|
|
* Various issues in the parallelization engine
|
|
|
|
|
|
|
|
|
|
* Compatibility issues with the Global Sensitivity Analysis toolbox
|
|
|
|
|
|
|
|
|
|
* The Dynare++ binary was broken in the Windows package because of a missing
|
|
|
|
|
dynamic library
|
|
|
|
|
|
|
|
|
|
|
2011-12-02 15:42:46 +01:00
|
|
|
|
Announcement for Dynare 4.2.4 (on 2011-12-02)
|
|
|
|
|
=============================================
|
|
|
|
|
|
|
|
|
|
We are pleased to announce the release of Dynare 4.2.4.
|
|
|
|
|
|
|
|
|
|
This is a bugfix release. It comes only a few days after the previous release,
|
|
|
|
|
because version 4.2.3 was affected by a critical bug (see below).
|
|
|
|
|
|
|
|
|
|
The Windows package for the new release is already available for download at
|
2020-02-17 17:59:14 +01:00
|
|
|
|
the official [Dynare website](http://www.dynare.org). The Mac and Linux packages
|
2011-12-02 15:42:46 +01:00
|
|
|
|
should follow soon.
|
|
|
|
|
|
|
|
|
|
All users are strongly encouraged to upgrade, especially those who have
|
|
|
|
|
installed the buggy 4.2.3 release.
|
|
|
|
|
|
|
|
|
|
The new release is compatible with MATLAB versions ranging from 7.0 (R14) to
|
|
|
|
|
7.13 (R2011b) and with GNU Octave versions ranging from 3.0 to 3.4.
|
|
|
|
|
|
|
|
|
|
Here is the list of the problems identified in version 4.2.3 and that have been
|
|
|
|
|
fixed in version 4.2.4:
|
|
|
|
|
|
|
|
|
|
* Second order approximation was broken for most models, giving incorrect
|
|
|
|
|
results (this problem only affects version 4.2.3, not previous versions)
|
|
|
|
|
|
|
|
|
|
* Bayesian priors with inverse gamma distribution and very small variances
|
|
|
|
|
were giving incorrect results in some cases
|
|
|
|
|
|
2020-02-17 17:59:14 +01:00
|
|
|
|
* The `model_diagnostics` command was broken
|
2011-12-02 15:42:46 +01:00
|
|
|
|
|
|
|
|
|
|
2011-11-30 16:16:37 +01:00
|
|
|
|
Announcement for Dynare 4.2.3 (on 2011-11-30)
|
|
|
|
|
=============================================
|
|
|
|
|
|
|
|
|
|
We are pleased to announce the release of Dynare 4.2.3.
|
|
|
|
|
|
|
|
|
|
This is a bugfix release.
|
|
|
|
|
|
|
|
|
|
The Windows package is already available for download at the official
|
2020-02-17 17:59:14 +01:00
|
|
|
|
[Dynare website](http://www.dynare.org). The Mac and Linux packages
|
2011-11-30 16:16:37 +01:00
|
|
|
|
should follow soon.
|
|
|
|
|
|
|
|
|
|
All users are strongly encouraged to upgrade.
|
|
|
|
|
|
|
|
|
|
This release is compatible with MATLAB versions ranging from 7.0 (R14)
|
|
|
|
|
to 7.13 (R2011b) and with GNU Octave versions ranging from 3.0 to 3.4.
|
|
|
|
|
|
|
|
|
|
Here is a non-exhaustive list of the problems identified in version 4.2.2 and
|
|
|
|
|
that have been fixed in version 4.2.3:
|
|
|
|
|
|
2020-02-17 17:59:14 +01:00
|
|
|
|
* `steady_state_model` was broken for lags higher than 2
|
2011-11-30 16:16:37 +01:00
|
|
|
|
|
2020-02-17 17:59:14 +01:00
|
|
|
|
* `simult_.m` was not working correctly with `order=3` if `k_order_solver` had
|
2011-11-30 16:16:37 +01:00
|
|
|
|
not been explicitly specified
|
|
|
|
|
|
2020-02-17 17:59:14 +01:00
|
|
|
|
* `stoch_simul` with `order=3` and without `periods` option was reporting
|
2011-11-30 16:16:37 +01:00
|
|
|
|
dummy theoretical moments
|
|
|
|
|
|
2020-02-17 17:59:14 +01:00
|
|
|
|
* Under Octave, option `solve_algo=0` was causing crashes in `check` and
|
|
|
|
|
`stoch_simul`
|
2011-11-30 16:16:37 +01:00
|
|
|
|
|
|
|
|
|
* Identification module was broken
|
|
|
|
|
|
|
|
|
|
* The test for singularity in the model reporting eigenvalues close to 0/0 was
|
|
|
|
|
sometimes reporting false positives
|
|
|
|
|
|
2020-02-17 17:59:14 +01:00
|
|
|
|
* The `conditional_variance_decomposition` option was not working if one
|
2011-11-30 16:16:37 +01:00
|
|
|
|
period index was 0. Now, Dynare reports an error if the periods are not
|
|
|
|
|
strictly positive.
|
|
|
|
|
|
|
|
|
|
* Second order approximation was buggy if one variable was not present at the
|
|
|
|
|
current period
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Announcement for Dynare 4.2.2 (on 2011-10-04)
|
|
|
|
|
=============================================
|
|
|
|
|
|
|
|
|
|
We are pleased to announce the release of Dynare 4.2.2.
|
|
|
|
|
|
|
|
|
|
This is a bugfix release.
|
|
|
|
|
|
|
|
|
|
The Windows package is already available for download at the official
|
2020-02-17 17:59:14 +01:00
|
|
|
|
[Dynare website](http://www.dynare.org). The Mac and Linux packages
|
2011-11-30 16:16:37 +01:00
|
|
|
|
should follow soon.
|
|
|
|
|
|
|
|
|
|
All users are strongly encouraged to upgrade.
|
|
|
|
|
|
|
|
|
|
This release is compatible with MATLAB versions ranging from 7.0 (R14)
|
|
|
|
|
to 7.13 (R2011b) and with GNU Octave versions ranging from 3.0 to 3.4.
|
|
|
|
|
|
|
|
|
|
Here is a list of the problems identified in version 4.2.1 and that have
|
|
|
|
|
been fixed in version 4.2.2:
|
|
|
|
|
|
|
|
|
|
* The secondary rank test following the order test of the Blanchard and
|
|
|
|
|
Kahn condition was faulty and almost never triggered
|
|
|
|
|
|
|
|
|
|
* The variance prior for BVAR “à la Sims” with only one lag was
|
|
|
|
|
inconsistent. The solution implemented consists of adding one extra
|
|
|
|
|
observation in the presample used to compute the prior; as a
|
|
|
|
|
consequence, the numerical results for all estimations will be
|
|
|
|
|
slightly different in future releases (thanks to Marek Jarociński for
|
|
|
|
|
spotting this)
|
|
|
|
|
|
2020-02-17 17:59:14 +01:00
|
|
|
|
* The `conditional_forecast` command was buggy: it was always using the
|
|
|
|
|
posterior mode, whatever the value of the `parameter_set` option
|
2011-11-30 16:16:37 +01:00
|
|
|
|
|
2020-02-17 17:59:14 +01:00
|
|
|
|
* `STEADY_STATE` was not working correctly with certain types of
|
2011-11-30 16:16:37 +01:00
|
|
|
|
expressions (the priority of the addition and substraction operators
|
|
|
|
|
was incorrectly handled)
|
|
|
|
|
|
2020-02-17 17:59:14 +01:00
|
|
|
|
* With the `block` option of `model`, the preprocessor was failing on
|
|
|
|
|
expressions of the form `a^b` (with no endogenous in `a` but an
|
|
|
|
|
endogenous in `b`)
|
2011-11-30 16:16:37 +01:00
|
|
|
|
|
|
|
|
|
* Some native MATLAB statements were not correctly passed on to MATLAB
|
2020-02-17 17:59:14 +01:00
|
|
|
|
(*e.g.* `x = { 'foo' 'bar' }` )
|
2011-11-30 16:16:37 +01:00
|
|
|
|
|
2020-02-17 17:59:14 +01:00
|
|
|
|
* `external_function` was crashing in some circumstances
|
2011-11-30 16:16:37 +01:00
|
|
|
|
|
|
|
|
|
* The lambda parameter for HP filter was restricted to integer values
|
|
|
|
|
for no good reason
|
|
|
|
|
|
2020-02-17 17:59:14 +01:00
|
|
|
|
* The `load_mh_file` option of `estimation` was crashing under Octave
|
2011-11-30 16:16:37 +01:00
|
|
|
|
for Windows (MinGW version)
|
|
|
|
|
|
|
|
|
|
* Computation of steady state was failing on model contains auxiliary
|
|
|
|
|
variables created by leads or lags larger than 2 or by of the
|
2020-02-17 17:59:14 +01:00
|
|
|
|
`EXPECTATION` operator
|
2011-11-30 16:16:37 +01:00
|
|
|
|
|
|
|
|
|
* Compilation of MEX files for MATLAB was failing with GCC 4.6
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Announcement for Dynare 4.2.1 (on 2011-05-24)
|
|
|
|
|
=============================================
|
|
|
|
|
|
|
|
|
|
We are pleased to announce the release of Dynare 4.2.1.
|
|
|
|
|
|
|
|
|
|
Many bugs have been fixed since the previous release. The reference
|
|
|
|
|
manual has also been improved: new contents has been added at various
|
|
|
|
|
places, the structure has been improved, an index of functions and
|
|
|
|
|
variables has been added, the PDF/HTML rendering has been improved.
|
|
|
|
|
|
|
|
|
|
The Windows package is already available for download at the official
|
2020-02-17 17:59:14 +01:00
|
|
|
|
[Dynare website](http://www.dynare.org). The Mac and Linux packages should follow soon.
|
2011-11-30 16:16:37 +01:00
|
|
|
|
|
|
|
|
|
All users are strongly encouraged to upgrade.
|
|
|
|
|
|
|
|
|
|
This release is compatible with MATLAB versions ranging from 7.0 (R14)
|
|
|
|
|
to 7.12 (R2011a) and with GNU Octave versions ranging from 3.0 to 3.4.
|
|
|
|
|
|
|
|
|
|
Here is a list of the main bugfixes since version 4.2.0:
|
|
|
|
|
|
2020-02-17 17:59:14 +01:00
|
|
|
|
* The `STEADY_STATE` operator has been fixed
|
2011-11-30 16:16:37 +01:00
|
|
|
|
|
|
|
|
|
* Problems with MATLAB 7.3 (R2006b) and older have been fixed
|
|
|
|
|
|
2020-02-17 17:59:14 +01:00
|
|
|
|
* The `partial_information` option of `stoch_simul` has been fixed
|
2011-11-30 16:16:37 +01:00
|
|
|
|
|
2020-02-17 17:59:14 +01:00
|
|
|
|
* Option `conditional_variance_decomposition` of `stoch_simul` and
|
|
|
|
|
`estimation` has been fixed
|
2017-05-24 10:56:51 +02:00
|
|
|
|
|
2020-02-17 17:59:14 +01:00
|
|
|
|
* Automatic detrending now works in conjunction with the `EXPECTATION`
|
2011-11-30 16:16:37 +01:00
|
|
|
|
operator
|
|
|
|
|
|
2020-02-17 17:59:14 +01:00
|
|
|
|
* Percentage signs inside strings in MATLAB statements (like `disp('%
|
|
|
|
|
This is not a comment %')`) now work
|
2011-11-30 16:16:37 +01:00
|
|
|
|
|
|
|
|
|
* Beta prior with a very small standard deviation now work even if you
|
|
|
|
|
do not have the MATLAB Statistical toolbox
|
|
|
|
|
|
|
|
|
|
* External functions can now been used in assignment of model local
|
|
|
|
|
variables
|
|
|
|
|
|
2020-02-17 17:59:14 +01:00
|
|
|
|
* `identification` command has been fixed
|
2011-11-30 16:16:37 +01:00
|
|
|
|
|
2020-02-17 17:59:14 +01:00
|
|
|
|
* Option `cova_compute` of `estimation` command has been fixed
|
2011-11-30 16:16:37 +01:00
|
|
|
|
|
2020-02-17 17:59:14 +01:00
|
|
|
|
* Random crashes with 3rd order approximation without `use_dll` option
|
2011-11-30 16:16:37 +01:00
|
|
|
|
have been eliminated
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Announcement for Dynare 4.2.0 (on 2011-02-15)
|
|
|
|
|
=============================================
|
|
|
|
|
|
|
|
|
|
We are pleased to announce the release of Dynare 4.2.0.
|
|
|
|
|
|
|
|
|
|
This major release adds new features and fixes various bugs.
|
|
|
|
|
|
|
|
|
|
The Windows package is already available for download. The Mac and Linux
|
|
|
|
|
packages should follow soon.
|
|
|
|
|
|
|
|
|
|
All users are strongly encouraged to upgrade.
|
|
|
|
|
|
|
|
|
|
This release is compatible with MATLAB versions ranging from 6.5 (R13) to 7.11
|
|
|
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(R2010b) and with GNU Octave versions 3.0.x and 3.2.x (support for GNU Octave
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3.4.x is not complete and will be added in the next minor release).
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Here is the list of major user-visible changes:
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2017-05-24 10:56:51 +02:00
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* New solution algorithms:
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2011-11-30 16:16:37 +01:00
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2020-02-17 17:59:14 +01:00
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- Pruning for second order simulations has been added, as described in *Kim,
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Kim, Schaumburg and Sims (2008)*. It is triggered by option `pruning` of
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`stoch_simul` (only 2nd order, not available at 3rd order).
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2011-11-30 16:16:37 +01:00
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2020-02-17 17:59:14 +01:00
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- Models under partial information can be solved, as in *Pearlman, Currie and
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Levine (1986)*. See <http://www.dynare.org/DynareWiki/PartialInformation>.
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2011-11-30 16:16:37 +01:00
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- New nonlinear solvers for faster deterministic simulations and steady state
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2020-02-17 17:59:14 +01:00
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computation. See
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<http://www.dynare.org/DynareWiki/FastDeterministicSimulationAndSteadyStateComputation>.
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2011-11-30 16:16:37 +01:00
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* Dynare can now use the power of multi-core computers or of a cluster of
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2020-02-17 17:59:14 +01:00
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computer using parallelization. See
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<http://www.dynare.org/DynareWiki/ParallelDynare>.
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2011-11-30 16:16:37 +01:00
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* New features in the user interface:
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- A steady state file can now be automatically generated, provided that the
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model can be solved analytically, and that the steady state as a function
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2020-02-17 17:59:14 +01:00
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of the parameters is declared with the new `steady_state_model` command.
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See the entry for `steady_state_model` in the reference manual for more
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details and an example.
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2011-11-30 16:16:37 +01:00
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- For non-stationary models, Dynare is now able of automatically removing
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trends in all the equations: the user writes the equations in
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non-stationary form and declares the deflator of each variable. Then Dynare
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perform a check to determine if the proposed deflators are compatible with
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2020-02-17 17:59:14 +01:00
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balanced growth path, and, if yes, then it computes the detrended
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equations. See <http://www.dynare.org/DynareWiki/RemovingTrends>.
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2011-11-30 16:16:37 +01:00
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2020-02-17 17:59:14 +01:00
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- It is now possible to use arbitrary functions in the model block. See
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<http://www.dynare.org/DynareWiki/ExternalFunctions>.
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2011-11-30 16:16:37 +01:00
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* Other minor changes to the user interface:
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2020-02-17 17:59:14 +01:00
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- New primitives allowed in model block: `normpdf()`, `erf()`
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2011-11-30 16:16:37 +01:00
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2020-02-17 17:59:14 +01:00
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- New syntax for DSGE-VAR. See <http://www.dynare.org/DynareWiki/DsgeVar>.
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2011-11-30 16:16:37 +01:00
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- Syntax of deterministic shocks has changed: after the values keyword,
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arbitrary expressions must be enclosed within parentheses (but numeric
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2017-05-24 10:56:51 +02:00
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constants are still accepted as is)
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2011-11-30 16:16:37 +01:00
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* Various improvements:
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2020-02-17 17:59:14 +01:00
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- Third order simulations now work without the `use_dll` option:
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2011-11-30 16:16:37 +01:00
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installing a C++ compiler is no longer necessary for 3rd order
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- The HP filter works for empirical moments (previously it was only available
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for theoretical moments)
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2020-02-17 17:59:14 +01:00
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- `ramsey_policy` now displays the planner objective value function under
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Ramsey policy and stores it in `oo_.planner_objective_value`
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2011-11-30 16:16:37 +01:00
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2020-02-17 17:59:14 +01:00
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- Estimation: if the `selected_variables_only` option is present, then the
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2011-11-30 16:16:37 +01:00
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smoother will only be run on variables listed just after the estimation
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command
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2020-02-17 17:59:14 +01:00
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- Estimation: in the `shocks` block, it is now possible to calibrate
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2011-11-30 16:16:37 +01:00
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measurement errors on endogenous variables (using the same keywords than
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for calibrating variance/covariance matrix of exogenous shocks)
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2020-02-17 17:59:14 +01:00
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- It is possibile to choose the parameter set for shock decomposition. See
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<http://www.dynare.org/DynareWiki/ShockDecomposition>.
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2011-11-30 16:16:37 +01:00
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- The diffuse filter now works under Octave
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2020-02-17 17:59:14 +01:00
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- New option `console` on the Dynare command-line: use it when running Dynare
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2011-11-30 16:16:37 +01:00
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from the console, it will replace graphical waitbars by text waitbars for
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long computations
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2020-02-17 17:59:14 +01:00
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- Steady option `solve_algo=0` (uses `fsolve()`) now works under Octave
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2011-11-30 16:16:37 +01:00
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* For Emacs users:
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2020-02-17 17:59:14 +01:00
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- New Dynare mode for Emacs editor (contributed by Yannick Kalantzis)
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2011-11-30 16:16:37 +01:00
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2020-02-17 17:59:14 +01:00
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- Reference manual now available in Info format (distributed with
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Debian/Ubuntu packages)
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2011-11-30 16:16:37 +01:00
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* Miscellaneous:
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2020-02-17 17:59:14 +01:00
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- Deterministic models: leads and lags of two or more on endogenous
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variables are now substituted by auxiliary variables; exogenous variables
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are left as is. See <http://www.dynare.org/DynareWiki/AuxiliaryVariables>.
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2011-11-30 16:16:37 +01:00
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2020-02-17 17:59:14 +01:00
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* References:
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- Kim, J., S. Kim, E. Schaumburg and C.A. Sims (2008), “Calculating and using
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2011-11-30 16:16:37 +01:00
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second-order accurate solutions of discrete time dynamic equilibrium
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2020-02-17 17:59:14 +01:00
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models,” *Journal of Economic Dynamics and Control*, 32(11), 3397-3414
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- Pearlman J., D. Currie and P. Levine (1986), “Rational expectations models
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with partial information,” *Economic Modelling*, 3(2), 90-105
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