Sébastien Villemot
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NEWS.md
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NEWS.md
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Announcement for Dynare 6.0 (on 2024-02-02)
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===========================================
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We are pleased to announce the release of Dynare 6.0.
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This major release adds new features and fixes various bugs.
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The Windows, macOS, MATLAB Online and source packages are already available for
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download at [the Dynare website](https://www.dynare.org/download/).
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This release is compatible with MATLAB versions ranging from 9.5 (R2018b) to
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23.2 (R2023b), and with GNU Octave versions ranging from 7.1.0 to 8.4.0 (NB:
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the Windows package requires version 8.4.0 specifically).
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Major user-visible changes
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--------------------------
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- The Sequential Monte Carlo sampler as described by Herbst and Schorfheide
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(2014) is now available under value `hssmc` for option
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`posterior_sampling_method`.
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- New routines for perfect foresight simulation with expectation errors. In
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such a scenario, agents make expectation errors in that the path they had
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anticipated in period 1 is not realized exactly. More precisely, in some
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simulation periods, they may receive new information that makes them revise
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their anticipation for the path of future shocks. Also, under this scenario,
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it is assumed that agents behave as under perfect foresight, *i.e.* they
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make their decisions as if there were no uncertainty and they knew exactly
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the path of future shocks; the new information that they may receive comes
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as a total surprise to them. Available under new
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`perfect_foresight_with_expectation_errors_setup` and
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`perfect_foresight_with_expectation_errors_solver` commands, and
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`shocks(learnt_in=…)`, `mshocks(learnt_in=…)` and `endval(learnt_in=…)`
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blocks.
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- New routines for IRF matching with stochastic simulations:
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- Both frequentist (as in Christiano, Eichenbaum, and Evans, 2005) and
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Bayesian (as in Christiano, Trabandt, and Walentin, 2010) IRF matching
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approaches are implemented. The core idea of IRF matching is to treat
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empirical impulse responses (*e.g.* given from an SVAR or local projection
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estimation) as data and select model parameters that align the model’s
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IRFs closely with their empirical counterparts.
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- Available under option `mom_method = irf_matching` option to the
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`method_of_moments` command.
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- New blocks `matched_irfs` and `matched_irfs_weights` for specifying the
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values and weights of the empirical impulse response functions.
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- Pruning à la Andreasen et al. (2018) is now available at an arbitrary
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approximation order when performing stochastic simulations with
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`stoch_simul`, and at 3rd order when performing particle filtering.
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- New `log` option to the `var` statement. In addition to the endogenous
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variable(s) thus declared, this option also triggers the creation of
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auxiliary variable(s) equal to the log of the corresponding endogenous
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variable(s). For example, given a `var(log) y;` statement, two endogenous
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will be created (`y` and `LOG_y`), and an auxiliary equation linking the two
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will also be added (equal to `y = exp(LOG_y);`). Moreover, every occurrence
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of `y` in the model will be replaced by `exp(LOG_y)`. This option is, for
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example, useful for performing a loglinear approximation of some variable(s)
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in the context of a first-order stochastic approximation; or for ensuring
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that the variable(s) stay(s) in the definition domain of the function
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defining the steady state or the dynamic residuals when the nonlinear solver
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is used.
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- New model editing features
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- Multiple `model` blocks are now supported (this was already working but
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not explicitly documented).
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- Multiple `estimated_params` blocks now concatenate their contents (instead
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of overwriting previous ones, which was the former undocumented behavior);
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an `overwrite` option has been added to provide the old behavior.
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- New `model_options` statement to set model options in a global fashion.
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- New `model_remove` command to remove equations.
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- New `model_replace` block to replace equations.
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- New `var_remove` command to remove variables (or parameters).
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- New `estimated_params_remove` block to remove estimated parameters.
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- Stochastic simulations
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- Performance improvements for simulation of the solution under perturbation
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and for particle filtering at higher order (⩾ 3).
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- Performance improvement for the first order perturbation solution using
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either cycle reduction (`dr=cycle_reduction` option) or logarithmic
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reduction (`dr=logarithmic_reduction`).
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- New `nomodelsummary` option to the `stoch_simul` command, to suppress the
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printing of the model summary and the covariance of the exogenous shocks.
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- Estimation
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- A truncated normal distribution can now be specified as a prior, using the
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3rd and 4th parameters of the `estimated_params` block as the bounds.
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- New `conditional_likelihood` option to the `estimation` command. When the
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option is set, instead of using the Kalman filter to evaluate the
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likelihood, Dynare will evaluate the conditional likelihood based on the
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first-order reduced form of the model by assuming that the initial state
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vector is at its steady state.
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- New `additional_optimizer_steps` option to the `estimation` command to
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trigger the sequential execution of several optimizers when looking for
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the posterior mode.
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- The `generate_trace_plots` command now allows comparing multiple chains.
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- The Geweke and Raftery-Lewis convergence diagnostics will now also be
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displayed when `mh_nblocks>1`.
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- New `robust`, `TolGstep`, and `TolGstepRel` options to the optimizer
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available under `mode_compute=5` (“newrat”).
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- New `brooks_gelman_plotrows` option to the `estimation` command for
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controlling the number of parameters to depict along the rows of the
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figures depicting the Brooks and Gelman (1998) convergence diagnostics.
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- New `mh_init_scale_factor` option to the `estimation` command tor govern
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the overdispersion of the starting draws when initializing several Monte
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Carlo Markov Chains. This option supersedes the `mh_init_scale` option,
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which is now deprecated.
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- Steady state computation
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- Steady state computation now accounts for occasionally-binding constraints
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of mixed-complementarity problems (as defined by `mcp` tags).
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- New `tolx` option to the `steady` command for governing the termination
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based on the step tolerance.
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- New `fsolve_options` option to the `steady` command for passing options to
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`fsolve` (in conjunction with the `solve_algo=0` option).
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- New option `from_initval_to_endval` option to the `homotopy_setup` block,
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for easily computing homotopy from initial to terminal steady state (when
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the former is already computed).
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- New `non_zero` option to `resid` command to restrict display to non-zero
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residuals.
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- Perfect foresight
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- Significant performance improvement of the `stack_solve_algo=1` option to
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the `perfect_foresight_solver` command (Laffargue-Boucekkine-Juillard
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algorithm) when used in conjunction with options `block` and/or `bytecode`
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of the `model` block.
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- New `relative_to_initval` option to the `mshocks` block, to use the
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initial steady state as a basis for the multiplication when there is an
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`endval` block.
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- New `static_mfs` option to the `model` block (and to the `model_options`
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command), for controlling the minimum feedback set computation for the
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static model. It defaults to `0` (corresponding to the behavior in Dynare
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version 5).
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- Various improvements to homotopy
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- New `endval_steady` option to the `perfect_foresight_setup` command for
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computing the terminal steady state at the same time as the transitory
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dynamics (and new options `steady_solve_algo`, `steady_tolf`,
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`steady_tolx`, `steady_maxit` and `steady_markowitz` for controlling the
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steady state nonlinear solver).
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- New `homotopy_linearization_fallback` and
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`homotopy_marginal_linearization_fallback` options to the
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`perfect_foresight_solver` command to get an approximate solution when
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homotopy fails to go to 100%.
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- New `homotopy_initial_step_size`, `homotopy_min_step_size`,
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`homotopy_step_size_increase_success_count` and
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`homotopy_max_completion_share` options to the
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`perfect_foresight_solver` command to fine tune the homotopy behavior.
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- Purely backward, forward and static models are now supported by the
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homotopy procedure.
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- The `stack_solve_algo=1` and `stack_solve_algo=6` options of the
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`perfect_foresight_solver` command were merged and are now synonymous.
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They both provide the Laffargue-Boucekkine-Juillard algorithm and work
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with and without the `block` and `bytecode` options of the `model` block.
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Using `stack_solve_algo=1` is now recommended, but `stack_solve_algo=6` is
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kept for backward compatibility.
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- OccBin
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- New `simul_reset_check_ahead_periods` option to the `occbin_setup` and
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`occbin_solver` commands, for resetting `check_ahead_periods` in each
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simulation period.
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- new `simul_max_check_ahead_periods`, `likelihood_max_check_ahead_periods`,
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and `smoother_max_check_ahead_periods` options to the `occbin_setup`
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command, for truncating the number of periods for which agents check ahead
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which regime is present.
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- Optimal policy
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- The `osr` command now accepts the `analytic_derivation` and
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`analytic_derivation_mode` options.
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- The `evaluate_planner_objective` command now computes the unconditional
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welfare for higher-order approximations (⩾ 3).
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- New `periods` and `drop` options to the `evaluate_planner_objective`
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command.
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- Semi-structural models
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- New `pac_target_info` block for decomposing the PAC target into an
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arbitrary number of components. Furthermore, in the presence of such a
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block, the new `pac_target_nonstationary` operator can be used to select
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the non stationary part of the target (typically useful in the error
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correction term of the PAC equation).
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- New `kind` option to the `pac_model` command. This option allows the user
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to select the formula used to compute the weights on the VAR companion
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matrix variables that are used to form PAC expectations.
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- Performance improvement to `solve_algo=12` and `solve_algo=14`, which
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significantly accelerates the simulation of purely backward, forward and
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static models with the `perfect_foresight_solver` command and the routines
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for semi-structural models.
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- dseries classes
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- The `remove` and `remove_` methods now accept a list of variables (they
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would previously only accept a single variable).
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- New MATLAB/Octave command `dplot` to plot mathematical expressions
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generated from variables fetched from (different) dseries objects.
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- Misc
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- New `display_parameter_values` command to print the parameter values in
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the command window.
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- New `collapse_figures_in_tabgroup` command to dock all figures.
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- Performance improvement for the `use_dll` option of the `model` block. The
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preprocessor now takes advantage of parallelization when compiling the MEX
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files.
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- New mathematical primitives available: complementary error function
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(`erfc`), hyperbolic functions (`cosh`, `sinh`, `tanh`, `acosh`, `asinh`,
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`atanh`).
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- New `last_simulation_period` option to the `initval_file` command.
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- The `calib_smoother` command now accepts the `nobs` and
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`heteroskedastic_filter` options.
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- Under the MATLAB Desktop, autocompletion is now available for the `dynare`
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command and other CLI commands (thanks to Eduard Benet Cerda from
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MathWorks).
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- Model debugging: The preprocessor now creates files for evaluating the
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left- and right-hand sides of model equations separately. For a model file
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called `ramst.mod`, you can call
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`[lhs,rhs]=ramst.debug.static_resid(y,x,params);` (for the static model)
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and `[lhs,rhs]=ramst.debug.dynamic_resid(y,x,params,steady_state);` (for
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the dynamic model), where `y` are the endogenous, `x` the exogenous,
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`params` the parameters, and `steady_state` is self-explanatory. NB: In
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the dynamic case, the vector `y` of endogenous must have 3n elements
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where n is the number of endogenous (including auxiliary ones); the
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first n elements correspond to the lagged values, the middle n
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elements to the contemporaneous values, and the last n elements to the
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lead values.
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- New interactive MATLAB/Octave command `search` for listing the equations
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in which given variable(s) appear (requires `json` command line option).
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- The `model_info` command allows to print the block decomposition even if
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the `block` option of the `model` block has not been used, by specifying
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the new options `block_static` and `block_dynamic`.
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- There is now a default value for the global initialization file
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(`GlobalInitFile` option of the configuration file): the `global_init.m`
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in the Dynare configuration directory (typically
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`$HOME/.config/dynare/global_init.m` under Linux and macOS, and
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`c:\Users\USERNAME\AppData\Roaming\dynare\global_init.m` under Windows).
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- For those compiling Dynare from source, the build system has been entirely
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rewritten and now uses Meson; as a consequence, it is now faster and
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easier to understand.
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- References:
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- Andreasen, Martin M., Jesús Fernández-Villaverde, and Juan Rubio-Ramírez
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(2018): “The Pruned State-Space System for Non-Linear DSGE Models: Theory
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and Empirical Applications,” *Review of Economic Studies*, 85(1), 1-49.
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- Brooks, Stephen P., and Andrew Gelman (1998): “General methods for
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monitoring convergence of iterative simulations,” *Journal of Computational
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and Graphical Statistics*, 7, pp. 434–455.
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- Christiano, Eichenbaum and Charles L. Evans (2005): “Nominal Rigidities and
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the Dynamic Effects of a Shock to Monetary Policy,” *Journal of Political
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Economy*, 113(1), 1–45.
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- Christiano, Lawrence J., Mathias Trabandt, and Karl Walentin (2010): “DSGE
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Models for Monetary Policy Analysis,” In: *Handbook of Monetary Economics
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3*, 285–367.
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- Herbst, Edward and Schorfheide, Frank (2014): "Sequential Monte Carlo
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Sampling for DSGE Models," *Journal of Applied Econometrics*, 29,
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1073-1098.
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Incompatible changes
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--------------------
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- The default value of the `mode_compute` option of the `estimation` command
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has been changed to `5` (it was previously `4`).
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- When using block decomposition (with the `block` option of the `model`
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block), the option `mfs` now defaults to `1`. This setting should deliver
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better performance in perfect foresight simulation on most models.
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- The default location for the configuration file has changed. On Linux and
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macOS, the configuration file is now searched by default under
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`dynare/dynare.ini` in the configuration directories defined by the XDG
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specification (typically `$HOME/.config/dynare/dynare.ini` for the
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user-specific configuration and `/etc/xdg/dynare/dynare.ini` for the
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system-wide configuration, the former having precedence over the latter).
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Under Windows, the configuration file is now searched by default in
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`%APPDATA%\dynare\dynare.ini` (typically
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`c:\Users\USERNAME\AppData\Roaming\dynare\dynare.ini`).
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- The information stored in `oo_.endo_simul, oo_.exo_simul`, and `oo_.irfs` is
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no longer duplicated in the base workspace. New helper functions
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`send_endogenous_variables_to_workspace`,
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`send_exogenous_variables_to_workspace`, and `send_irfs_to_workspace` have
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been introduced to explicitly request these outputs and to mimic the old
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behavior.
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- The `dynare_sensitivity` command has been renamed `sensitivity`. The old
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name is still accepted but triggers a warning.
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- The syntax `resid(1)` is no longer supported.
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- The `mode_compute=6` option to the `estimation` command now recursively
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updates the covariance matrix across the `NumberOfMh` Metropolis-Hastings
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runs, starting with the `InitialCovarianceMatrix` in the first run, instead
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of computing it from scratch in every Metropolis-Hastings run.
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- The `periods` command has been removed.
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- The `Sigma_e` command has been removed.
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- The `block` option of the `model` block no longer has an effect when used in
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conjunction with `stoch_simul` or `estimation` commands.
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- The Dynare++ executable is no longer distributed since almost all of its
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functionalities have been integrated inside Dynare for MATLAB/Octave.
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- A macro-processor variable defined without a value (such as `@#define var`
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in the `.mod` file or alternatively `-Dvar` on the `dynare` command line) is
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now assigned the `true` logical value (it was previously assigned `1`).
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- The `parallel_slave_open_mode` option of the `dynare` command has been
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renamed `parallel_follower_open_mode`.
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- The `static` option of the `model_info` command is now deprecated and is
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replaced by the `block_static` option.
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Bugs that were present in 5.5 and that have been fixed in 6.0
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-------------------------------------------------------------
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* The `mh_initialize_from_previous_mcmc` option of the `estimation` command
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would not work if estimation was conducted with a different prior and the
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last draw in the previous MCMC fell outside the new prior bounds
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* When specifying a generalized inverse Gamma prior, the hyperparameter
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computation would erroneously ignore the resulting mean shift
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* When using the `mh_recover` option of the `estimation` command, the status
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bar always started at zero instead of showing the overall progress of the
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recovered chain
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* The `model_diagnostics` command would fail to check the correctness of
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user-defined steady state files
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* GSA: LaTeX output was not working as expected
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* Forecasts and filtered variables could not be retrieved with the
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`heteroskedastic_shocks` block
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* The OccBin smoother would potentially not display all smoothed shocks with
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`heteroskedastic_filter` option
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* The OccBin smoother would crash if the number of requested periods was
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smaller than the data length
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* The multivariate OccBin smoother would return wrong results if the constraint
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was binding in the first period
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* The `plot_shock_decomposition` command would fail with the `init2shocks`
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block if the `initial_condition_decomposition` was not run before
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* LaTeX output under Windows failed to compile for `plot_priors=1` option of
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the `estimation` command and Brooks and Gelman (1998) convergence diagnostics
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* The plot produced by the `shock_decomposition` command was too big, making
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the close button inaccessible
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* Monthly dates for October, November and December (*i.e.* with a 2-digit month
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number) were not properly interpreted by the preprocessor
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* Theoretical moments computed by `stoch_simul` at `order=2` with `pruning`
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would not contain unconditional and conditional variance decomposition
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Announcement for Dynare 5.5 (on 2023-10-23)
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===========================================
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