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NEWS.md: cosmetic fixes

evaluate-with-growth-neutrality-correction
Johannes Pfeifer 2022-01-07 12:26:38 +01:00
parent c2d820c779
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@ -37,12 +37,12 @@ Major user-visible changes
parameters by (i) Generalized Method of Moments (GMM) up to 3rd-order pruned parameters by (i) Generalized Method of Moments (GMM) up to 3rd-order pruned
perturbation approximation or (ii) Simulated Method of Moments (SMM) up to perturbation approximation or (ii) Simulated Method of Moments (SMM) up to
any perturbation approximation order. The toolbox is inspired by replication any perturbation approximation order. The toolbox is inspired by replication
codes accompanied to Andreasen et al. (2018), Born and Pfeifer (2014), and codes accompanying Andreasen et al. (2018), Born and Pfeifer (2014), and
Mutschler (2018). It is accessible via the new `method_of_moments` command Mutschler (2018). It is accessible via the new `method_of_moments` command
and the new `matched_moments` block. Moreover, by default, a new non-linear and the new `matched_moments` block. Moreover, by default, a new non-linear
least squares optimizer based on `lsqnonlin` is used for minimizing the least squares optimizer based on `lsqnonlin` is used for minimizing the
method of moments objective function (available under `mode_compute=13`). method of moments objective function (available under `mode_compute=13`).
GMM can further benefit from using Gradient-based optimizers (using GMM can further benefit from using gradient-based optimizers (using
`analytic_standard_errors` option and/or passing `'Jacobian','on'` to the `analytic_standard_errors` option and/or passing `'Jacobian','on'` to the
optimization options) as the Jacobian of the moment conditions can be optimization options) as the Jacobian of the moment conditions can be
computed analytically. computed analytically.
@ -51,7 +51,7 @@ Major user-visible changes
together with the inversion filter of Cuba-Borda, Guerrieri, Iacoviello, and together with the inversion filter of Cuba-Borda, Guerrieri, Iacoviello, and
Zhong (2019) and the piecewise Kalman filter of Giovannini, Pfeiffer, and Zhong (2019) and the piecewise Kalman filter of Giovannini, Pfeiffer, and
Ratto (2021). It is available via the new block `occbin_constraints` and the Ratto (2021). It is available via the new block `occbin_constraints` and the
new commands `occbin_setup`, `occbin_solver`, `occbin_graph` and new commands `occbin_setup`, `occbin_solver`, `occbin_graph`, and
`occbin_write_regimes`. `occbin_write_regimes`.
- Stochastic simulations - Stochastic simulations
@ -65,14 +65,14 @@ Major user-visible changes
- Estimation - Estimation
- Performance optimization to pruned state space system and Lyapunov - Performance optimization to pruned state space systems and Lyapunov
solvers. solvers.
- New option `mh_posterior_mode_estimation` to `estimation` to perform - New option `mh_posterior_mode_estimation` to `estimation` to perform
mode-finding by running the MCMC. mode-finding by running the MCMC.
- New heteroskedastic filter and smoother, where shocks standard error may - New heteroskedastic filter and smoother, where shock standard errors may
*unexpectedly* change in every period. Triggered by *unexpectedly* change in every period. Triggered by the
`heteroskedastic_filter` option of the `estimation` command, and `heteroskedastic_filter` option of the `estimation` command, and
configured via the `heteroskedastic_shocks` block. configured via the `heteroskedastic_shocks` block.
@ -93,7 +93,7 @@ Major user-visible changes
string as value. The former unquoted syntax is still accepted, but no string as value. The former unquoted syntax is still accepted, but no
longer recommended. longer recommended.
- New option `particle_filter_options` to set various particle filter options - New option `particle_filter_options` to set various particle filter options.
- Perfect foresight and extended path - Perfect foresight and extended path
@ -106,9 +106,9 @@ Major user-visible changes
- In deterministic models (perfect foresight or extended path), exogenous - In deterministic models (perfect foresight or extended path), exogenous
variables with lead/lags are now replaced by auxiliary variables. This variables with lead/lags are now replaced by auxiliary variables. This
brings those models in line with the transformation done on stochastic brings those models in line with the transformation done on stochastic
models. However note that transformation is still not exactly the same models. However, note that the transformation is still not exactly the same
between the two classes of models, because there is no need to take into between the two classes of models, because there is no need to take into
account the Jensen inequality on the latter. In deterministic models, account the Jensen inequality for the latter. In deterministic models,
there is a one-to-one mapping between exogenous with lead/lags and there is a one-to-one mapping between exogenous with lead/lags and
auxiliaries, while in stochastic models, an auxiliary endogenous may auxiliaries, while in stochastic models, an auxiliary endogenous may
correspond to a more complex nonlinear expression. correspond to a more complex nonlinear expression.
@ -132,7 +132,7 @@ Major user-visible changes
- Identification - Identification
- New option `schur_vec_tol` to the `identification` command, for setting - New option `schur_vec_tol` to the `identification` command, for setting
the tolerance level used to find nonstationary variables in Schur the tolerance level used to find nonstationary variables in the Schur
decomposition of the transition matrix. decomposition of the transition matrix.
- The `identification` command now supports optimal policy. - The `identification` command now supports optimal policy.
@ -175,7 +175,7 @@ Major user-visible changes
- Routines for converting between time series frequencies (e.g. daily to - Routines for converting between time series frequencies (e.g. daily to
monthly) have been added. monthly) have been added.
- dseries now support bi-annual and daily frequency data. - dseries now supports bi-annual and daily frequency data.
- dseries can now import data from [DBnomics](https://db.nomics.world), via - dseries can now import data from [DBnomics](https://db.nomics.world), via
the [mdbnomics](https://git.dynare.org/dbnomics/mdbnomics) plugin. Note the [mdbnomics](https://git.dynare.org/dbnomics/mdbnomics) plugin. Note
@ -206,7 +206,7 @@ Major user-visible changes
parallel local clusters: when `true` (the default), use `psexec` to spawn parallel local clusters: when `true` (the default), use `psexec` to spawn
processes; when `false`, use `start`. processes; when `false`, use `start`.
- when compiling from source, it is no longer necessary to pass the - When compiling from source, it is no longer necessary to pass the
`MATLAB_VERSION` version to the configure script; the version is now `MATLAB_VERSION` version to the configure script; the version is now
automatically detected. automatically detected.
@ -225,7 +225,7 @@ Incompatible changes
now located in a dedicated `preprocessor` subdirectory. now located in a dedicated `preprocessor` subdirectory.
- The `dynare` command no longer accepts `output=dynamic` and `output=first` - The `dynare` command no longer accepts `output=dynamic` and `output=first`
(those options actually had no effect). (these options actually had no effect).
- The minimal required MATLAB version is now R2014a (8.3). - The minimal required MATLAB version is now R2014a (8.3).
@ -252,7 +252,7 @@ Bugs that were present in 4.6.4 and that have been fixed in 5.0
* `estimation` would ignore the mean of non-zero observables if the mean was 0 * `estimation` would ignore the mean of non-zero observables if the mean was 0
for the initial parameter vector for the initial parameter vector
* `mode_check` would crash if a parameter was estimated to be exactly 0 * `mode_check` would crash if a parameter was estimated to be exactly 0
* `load_mh_file` would not be able to load proposal density if the previous run * `load_mh_file` would not be able to load the proposal density if the previous run
was done in parallel was done in parallel
* `load_mh_file` would not work with MCMC runs from Dynare versions before * `load_mh_file` would not work with MCMC runs from Dynare versions before
4.6.2 4.6.2
@ -266,7 +266,7 @@ Bugs that were present in 4.6.4 and that have been fixed in 5.0
* The `planner_objective` values were not based on the correct initialization * The `planner_objective` values were not based on the correct initialization
of auxiliary variables (if any were present) of auxiliary variables (if any were present)
* The `nostrict` command line option was not ignoring unused endogenous * The `nostrict` command line option was not ignoring unused endogenous
variables in `initval`, `endval` and `histval` variables in `initval`, `endval`, and `histval`
* `prior_posterior_statistics_core` could crash for models with eigenvalues * `prior_posterior_statistics_core` could crash for models with eigenvalues
very close to 1 very close to 1
* The display of the equation numbers in `debug` mode related to issues in the * The display of the equation numbers in `debug` mode related to issues in the
@ -275,7 +275,7 @@ Bugs that were present in 4.6.4 and that have been fixed in 5.0
related to optimal policy (`ramsey_model`, `discretionary_policy`) into related to optimal policy (`ramsey_model`, `discretionary_policy`) into
account account
* `bytecode` would lock the `dynamic.bin` file upon encountering an exception, * `bytecode` would lock the `dynamic.bin` file upon encountering an exception,
requiring a restart of MATLAB to able to rerun the file requiring a restart of MATLAB to be able to rerun the file
* Estimation with the `block` model option would crash when calling the block * Estimation with the `block` model option would crash when calling the block
Kalman filter Kalman filter
* The `block` model option would crash if no `initval` statement was present * The `block` model option would crash if no `initval` statement was present
@ -308,8 +308,8 @@ Bugs that were present in 4.6.4 and that have been fixed in 5.0
References References
---------- ----------
- Andreasen et al. (2018): “The Pruned State-Space System for Non-Linear DSGE - Andreasen et al. (2018): “The pruned state-space system for non-linear DSGE
Models: Theory and Empirical Applications,” Review of Economic Studies, models: Theory and empirical applications,” Review of Economic Studies,
85(1), 1–49 85(1), 1–49
- Angelini, Bokan, Christoffel, Ciccarelli and Zimic (2019): “Introducing - Angelini, Bokan, Christoffel, Ciccarelli and Zimic (2019): “Introducing
@ -319,18 +319,18 @@ References
- Born and Pfeifer (2014): “Policy risk and the business cycle,” Journal of - Born and Pfeifer (2014): “Policy risk and the business cycle,” Journal of
Monetary Economics, 68, 68–85 Monetary Economics, 68, 68–85
- Brayton, Davis and Tulip (2000): “Polynomial Adjustment Costs in FRB/US,” - Brayton, Davis and Tulip (2000): “Polynomial adjustment costs in FRB/US,”
Unpublished manuscript Unpublished manuscript
- Brayton, Laubach and Reifschneider (2014): “The FRB/US Model: A Tool for - Brayton, Laubach, and Reifschneider (2014): “The FRB/US Model: A tool for
Macroeconomic Policy Analysis,” FEDS Notes. Washington: Board of Governors macroeconomic policy analysis,” FEDS Notes. Washington: Board of Governors
of the Federal Reserve System, https://doi.org/10.17016/2380-7172.0012 of the Federal Reserve System, https://doi.org/10.17016/2380-7172.0012
- Cuba-Borda, Guerrieri, Iacoviello, and Zhong (2019): “Likelihood evaluation - Cuba-Borda, Guerrieri, Iacoviello, and Zhong (2019): “Likelihood evaluation
of models with occasionally binding constraints,” Journal of Applied of models with occasionally binding constraints,” Journal of Applied
Econometrics, 34(7), 1073–1085 Econometrics, 34(7), 1073–1085
- Giovannini, Pfeiffer and Ratto (2021): “Efficient and robust inference of - Giovannini, Pfeiffer, and Ratto (2021): “Efficient and robust inference of
models with occasionally binding constraints,” Working Paper 2021-03, Joint models with occasionally binding constraints,” Working Paper 2021-03, Joint
Research Centre, European Commission Research Centre, European Commission