Release notes for 4.3.0
Sébastien Villemot
parent
b78c64e0b4
commit
b326f9c11e
181
NEWS
181
NEWS
|
|
@ -1,3 +1,184 @@
|
|||
Announcement for Dynare 4.3.0 (on 2012-06-15)
|
||||
=============================================
|
||||
|
||||
We are pleased to announce the release of Dynare 4.3.0.
|
||||
|
||||
This major release adds new features and fixes various bugs.
|
||||
|
||||
The Windows and Mac packages are already available for download. The GNU/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 3.2 to 3.6.
|
||||
|
||||
Here is the list of main user-visible changes:
|
||||
|
||||
|
||||
* New major algorithms:
|
||||
|
||||
- Nonlinear estimation with a particle filter based on a second order
|
||||
approximation of the model, as in Fernández-Villaverde and Rubio-Ramírez
|
||||
(2005); this is triggered by setting `order=2' in the `estimation' command
|
||||
|
||||
- Extended path solution method as in Fair and Taylor (1983); see the
|
||||
`extended_path' command
|
||||
|
||||
- Support for Markov-Switching Structural Bayesian VARs (MS-SBVAR) along the
|
||||
lines of Sims, Waggoner and Zha (2008) (see the dedicated section in the
|
||||
reference manual)
|
||||
|
||||
- Optimal policy under discretion along the lines of Dennis (2007); see the
|
||||
`discretionary_policy' command
|
||||
|
||||
- Identification analysis along the lines of Iskrev (2010); see the
|
||||
`identification' command
|
||||
|
||||
- The Global Sensitivity Analysis toolbox (Ratto, 2008) is now part of the
|
||||
official Dynare distribution
|
||||
|
||||
|
||||
* Other algorithmic improvements:
|
||||
|
||||
- Stochastic simulation and estimation can benefit from block decomposition
|
||||
(with the `block' option of `model'; only at 1st order)
|
||||
|
||||
- Possibility of running smoother and filter on a calibrated model; see the
|
||||
`calib_smoother' command
|
||||
|
||||
- Possibility of doing conditional forecast on a calibrated model; see the
|
||||
`parameter_set=calibration' option of the `conditional_forecast' command
|
||||
|
||||
- The default algorithm for deterministic simulations has changed and is now
|
||||
based on sparse matrices; the historical algorithm (Laffargue, Boucekkine
|
||||
and Juillard) is still available under the `stack_solve_algo=6'option of the
|
||||
`simul' command
|
||||
|
||||
- Possibility of using an analytic gradient for the estimation; see the
|
||||
`analytic_derivation' option of the `estimation' command
|
||||
|
||||
- Implementation of the Nelder-Mead simplex based optimization routine for
|
||||
computing the posterior mode; available under the `mode_compute=8' option of
|
||||
the `estimation' command
|
||||
|
||||
- Implementation of the CMA Evolution Strategy algorithm for computing the
|
||||
posterior mode; available under the `mode_compute=9' option of the
|
||||
`estimation' command
|
||||
|
||||
- New solvers for Lyapunov equations which can accelerate the estimation of
|
||||
large models; see the `lyapunov' option of the `estimation' command
|
||||
|
||||
- New solvers for Sylvester equations which can accelerate the resolution of
|
||||
large models with block decomposition; see the `sylvester' option of the
|
||||
`stoch_simul' and `estimation' commands
|
||||
|
||||
- The `ramsey_policy' command now displays the planner objective value
|
||||
function under Ramsey policy and stores it in `oo_.planner_objective_value'
|
||||
|
||||
- Theoretical autocovariances are now computed when the `block' option is
|
||||
present
|
||||
|
||||
- The `linear' option is now compatible with the `block' and `bytecode'
|
||||
options
|
||||
|
||||
- The `loglinear' option now works with purely backward or forward models at
|
||||
first order
|
||||
|
||||
|
||||
* New features in the user interface:
|
||||
|
||||
- New mathematical primitives allowed in model block: `abs()', `sign()'
|
||||
|
||||
- The behavior with respect to graphs has changed:
|
||||
|
||||
+ By default, Dynare now displays graphs and saves them to disk in EPS
|
||||
format only
|
||||
|
||||
+ The format can be changed to PDF or FIG with the new `graph_format'
|
||||
option
|
||||
|
||||
+ It is possible to save graphs to disk without displaying them with the
|
||||
new `nodisplay' option
|
||||
|
||||
- New `nocheck' option to the `steady' command: tells not to check the steady
|
||||
state and accept values given by the user (useful for models with unit
|
||||
roots)
|
||||
|
||||
- A series of deterministic shocks can be passed as a pre-defined vector in
|
||||
the `values' statement of a `shocks' block
|
||||
|
||||
- New option `sub_draws' in the `estimation' command for controlling the
|
||||
number of draws used in computing the posterior distributions of various
|
||||
objects
|
||||
|
||||
- New macroprocessor command `@#ifdef' for testing if a macro-variable is
|
||||
defined
|
||||
|
||||
- New option `irf_shocks' of the `stoch_simul' command, to allow IRFs to be
|
||||
created only for certain exogenous variables
|
||||
|
||||
- In the parallel engine, possibility of assigning different weights to nodes
|
||||
in the cluster and of creating clusters comprised of nodes with different
|
||||
operating systems (see the relevant section in the reference manual)
|
||||
|
||||
- It is now possible to redefine a parameter in the `steady_state_model' block
|
||||
(use with caution)
|
||||
|
||||
- New option `maxit' in the `simul' and `steady' commands to determine the
|
||||
maximum number of iterations of the nonlinear solver
|
||||
|
||||
- New option `homotopy_force_continue' in the `steady' command to control the
|
||||
behavior when a homotopy fails
|
||||
|
||||
- Possibility of globally altering the defaults of options by providing a file
|
||||
in the `GlobalInitFile' field of the configuration file (use with caution)
|
||||
|
||||
- New option `nolog' to the `dynare' command line to avoid creating a logfile
|
||||
|
||||
- New option `-D' to the `dynare' command line with for defining
|
||||
macro-variables
|
||||
|
||||
|
||||
* Miscellaneous:
|
||||
|
||||
- The `use_dll' option of `model' now creates a MEX file for the static model
|
||||
in addition to that for the dynamic model
|
||||
|
||||
- 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
|
||||
|
||||
|
||||
* References:
|
||||
|
||||
- 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-Ramírez (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
|
||||
|
||||
|
||||
|
||||
Announcement for Dynare 4.2.5 (on 2012-03-14)
|
||||
=============================================
|
||||
|
||||
|
|
|
|||
Loading…
Reference in New Issue