Announcement for Dynare 6.0 (on 2024-02-02) =========================================== We are pleased to announce the release of Dynare 6.0. This major release adds new features and fixes various bugs. The Windows, macOS, MATLAB Online and source packages are already available for download at [the Dynare website](https://www.dynare.org/download/). This release is compatible with MATLAB versions ranging from 9.5 (R2018b) to 23.2 (R2023b), and with GNU Octave versions ranging from 7.1.0 to 8.4.0 (NB: the Windows package requires version 8.4.0 specifically). Major user-visible changes -------------------------- - The Sequential Monte Carlo sampler as described by Herbst and Schorfheide (2014) is now available under value `hssmc` for option `posterior_sampling_method`. - New routines for perfect foresight simulation with expectation errors. In such a scenario, agents make expectation errors in that the path they had anticipated in period 1 is not realized exactly. More precisely, in some simulation periods, they may receive new information that makes them revise their anticipation for the path of future shocks. Also, under this scenario, it is assumed that agents behave as under perfect foresight, *i.e.* they make their decisions as if there were no uncertainty and they knew exactly the path of future shocks; the new information that they may receive comes as a total surprise to them. Available under new `perfect_foresight_with_expectation_errors_setup` and `perfect_foresight_with_expectation_errors_solver` commands, and `shocks(learnt_in=…)`, `mshocks(learnt_in=…)` and `endval(learnt_in=…)` blocks. - New routines for IRF matching with stochastic simulations: - Both frequentist (as in Christiano, Eichenbaum, and Evans, 2005) and Bayesian (as in Christiano, Trabandt, and Walentin, 2010) IRF matching approaches are implemented. The core idea of IRF matching is to treat empirical impulse responses (*e.g.* given from an SVAR or local projection estimation) as data and select model parameters that align the model’s IRFs closely with their empirical counterparts. - Available under option `mom_method = irf_matching` option to the `method_of_moments` command. - New blocks `matched_irfs` and `matched_irfs_weights` for specifying the values and weights of the empirical impulse response functions. - Pruning à la Andreasen et al. (2018) is now available at an arbitrary approximation order when performing stochastic simulations with `stoch_simul`, and at 3rd order when performing particle filtering. - New `log` option to the `var` statement. In addition to the endogenous variable(s) thus declared, this option also triggers the creation of auxiliary variable(s) equal to the log of the corresponding endogenous variable(s). For example, given a `var(log) y;` statement, two endogenous will be created (`y` and `LOG_y`), and an auxiliary equation linking the two will also be added (equal to `y = exp(LOG_y);`). Moreover, every occurrence of `y` in the model will be replaced by `exp(LOG_y)`. This option is, for example, useful for performing a loglinear approximation of some variable(s) in the context of a first-order stochastic approximation; or for ensuring that the variable(s) stay(s) in the definition domain of the function defining the steady state or the dynamic residuals when the nonlinear solver is used. - New model editing features - Multiple `model` blocks are now supported (this was already working but not explicitly documented). - Multiple `estimated_params` blocks now concatenate their contents (instead of overwriting previous ones, which was the former undocumented behavior); an `overwrite` option has been added to provide the old behavior. - New `model_options` statement to set model options in a global fashion. - New `model_remove` command to remove equations. - New `model_replace` block to replace equations. - New `var_remove` command to remove variables (or parameters). - New `estimated_params_remove` block to remove estimated parameters. - Stochastic simulations - Performance improvements for simulation of the solution under perturbation and for particle filtering at higher order (⩾ 3). - Performance improvement for the first order perturbation solution using either cycle reduction (`dr=cycle_reduction` option) or logarithmic reduction (`dr=logarithmic_reduction`). - New `nomodelsummary` option to the `stoch_simul` command, to suppress the printing of the model summary and the covariance of the exogenous shocks. - Estimation - A truncated normal distribution can now be specified as a prior, using the 3rd and 4th parameters of the `estimated_params` block as the bounds. - New `conditional_likelihood` option to the `estimation` command. When the option is set, instead of using the Kalman filter to evaluate the likelihood, Dynare will evaluate the conditional likelihood based on the first-order reduced form of the model by assuming that the initial state vector is at its steady state. - New `additional_optimizer_steps` option to the `estimation` command to trigger the sequential execution of several optimizers when looking for the posterior mode. - The `generate_trace_plots` command now allows comparing multiple chains. - The Geweke and Raftery-Lewis convergence diagnostics will now also be displayed when `mh_nblocks>1`. - New `robust`, `TolGstep`, and `TolGstepRel` options to the optimizer available under `mode_compute=5` (“newrat”). - New `brooks_gelman_plotrows` option to the `estimation` command for controlling the number of parameters to depict along the rows of the figures depicting the Brooks and Gelman (1998) convergence diagnostics. - New `mh_init_scale_factor` option to the `estimation` command tor govern the overdispersion of the starting draws when initializing several Monte Carlo Markov Chains. This option supersedes the `mh_init_scale` option, which is now deprecated. - Steady state computation - Steady state computation now accounts for occasionally-binding constraints of mixed-complementarity problems (as defined by `mcp` tags). - New `tolx` option to the `steady` command for governing the termination based on the step tolerance. - New `fsolve_options` option to the `steady` command for passing options to `fsolve` (in conjunction with the `solve_algo=0` option). - New option `from_initval_to_endval` option to the `homotopy_setup` block, for easily computing homotopy from initial to terminal steady state (when the former is already computed). - New `non_zero` option to `resid` command to restrict display to non-zero residuals. - Perfect foresight - Significant performance improvement of the `stack_solve_algo=1` option to the `perfect_foresight_solver` command (Laffargue-Boucekkine-Juillard algorithm) when used in conjunction with options `block` and/or `bytecode` of the `model` block. - New `relative_to_initval` option to the `mshocks` block, to use the initial steady state as a basis for the multiplication when there is an `endval` block. - New `static_mfs` option to the `model` block (and to the `model_options` command), for controlling the minimum feedback set computation for the static model. It defaults to `0` (corresponding to the behavior in Dynare version 5). - Various improvements to homotopy - New `endval_steady` option to the `perfect_foresight_setup` command for computing the terminal steady state at the same time as the transitory dynamics (and new options `steady_solve_algo`, `steady_tolf`, `steady_tolx`, `steady_maxit` and `steady_markowitz` for controlling the steady state nonlinear solver). - New `homotopy_linearization_fallback` and `homotopy_marginal_linearization_fallback` options to the `perfect_foresight_solver` command to get an approximate solution when homotopy fails to go to 100%. - New `homotopy_initial_step_size`, `homotopy_min_step_size`, `homotopy_step_size_increase_success_count` and `homotopy_max_completion_share` options to the `perfect_foresight_solver` command to fine tune the homotopy behavior. - Purely backward, forward and static models are now supported by the homotopy procedure. - The `stack_solve_algo=1` and `stack_solve_algo=6` options of the `perfect_foresight_solver` command were merged and are now synonymous. They both provide the Laffargue-Boucekkine-Juillard algorithm and work with and without the `block` and `bytecode` options of the `model` block. Using `stack_solve_algo=1` is now recommended, but `stack_solve_algo=6` is kept for backward compatibility. - OccBin - New `simul_reset_check_ahead_periods` option to the `occbin_setup` and `occbin_solver` commands, for resetting `check_ahead_periods` in each simulation period. - new `simul_max_check_ahead_periods`, `likelihood_max_check_ahead_periods`, and `smoother_max_check_ahead_periods` options to the `occbin_setup` command, for truncating the number of periods for which agents check ahead which regime is present. - Optimal policy - The `osr` command now accepts the `analytic_derivation` and `analytic_derivation_mode` options. - The `evaluate_planner_objective` command now computes the unconditional welfare for higher-order approximations (⩾ 3). - New `periods` and `drop` options to the `evaluate_planner_objective` command. - Semi-structural models - New `pac_target_info` block for decomposing the PAC target into an arbitrary number of components. Furthermore, in the presence of such a block, the new `pac_target_nonstationary` operator can be used to select the non stationary part of the target (typically useful in the error correction term of the PAC equation). - New `kind` option to the `pac_model` command. This option allows the user to select the formula used to compute the weights on the VAR companion matrix variables that are used to form PAC expectations. - Performance improvement to `solve_algo=12` and `solve_algo=14`, which significantly accelerates the simulation of purely backward, forward and static models with the `perfect_foresight_solver` command and the routines for semi-structural models. - dseries classes - The `remove` and `remove_` methods now accept a list of variables (they would previously only accept a single variable). - New MATLAB/Octave command `dplot` to plot mathematical expressions generated from variables fetched from (different) dseries objects. - Misc - New `display_parameter_values` command to print the parameter values in the command window. - New `collapse_figures_in_tabgroup` command to dock all figures. - Performance improvement for the `use_dll` option of the `model` block. The preprocessor now takes advantage of parallelization when compiling the MEX files. - New mathematical primitives available: complementary error function (`erfc`), hyperbolic functions (`cosh`, `sinh`, `tanh`, `acosh`, `asinh`, `atanh`). - New `last_simulation_period` option to the `initval_file` command. - The `calib_smoother` command now accepts the `nobs` and `heteroskedastic_filter` options. - Under the MATLAB Desktop, autocompletion is now available for the `dynare` command and other CLI commands (thanks to Eduard Benet Cerda from MathWorks). - Model debugging: The preprocessor now creates files for evaluating the left- and right-hand sides of model equations separately. For a model file called `ramst.mod`, you can call `[lhs,rhs]=ramst.debug.static_resid(y,x,params);` (for the static model) and `[lhs,rhs]=ramst.debug.dynamic_resid(y,x,params,steady_state);` (for the dynamic model), where `y` are the endogenous, `x` the exogenous, `params` the parameters, and `steady_state` is self-explanatory. NB: In the dynamic case, the vector `y` of endogenous must have 3n elements where n is the number of endogenous (including auxiliary ones); the first n elements correspond to the lagged values, the middle n elements to the contemporaneous values, and the last n elements to the lead values. - New interactive MATLAB/Octave command `search` for listing the equations in which given variable(s) appear (requires `json` command line option). - The `model_info` command allows to print the block decomposition even if the `block` option of the `model` block has not been used, by specifying the new options `block_static` and `block_dynamic`. - There is now a default value for the global initialization file (`GlobalInitFile` option of the configuration file): the `global_init.m` in the Dynare configuration directory (typically `$HOME/.config/dynare/global_init.m` under Linux and macOS, and `c:\Users\USERNAME\AppData\Roaming\dynare\global_init.m` under Windows). - For those compiling Dynare from source, the build system has been entirely rewritten and now uses Meson; as a consequence, it is now faster and easier to understand. - References: - Andreasen, Martin M., Jesús Fernández-Villaverde, and Juan Rubio-Ramírez (2018): “The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications,” *Review of Economic Studies*, 85(1), 1-49. - Brooks, Stephen P., and Andrew Gelman (1998): “General methods for monitoring convergence of iterative simulations,” *Journal of Computational and Graphical Statistics*, 7, pp. 434–455. - Christiano, Eichenbaum and Charles L. Evans (2005): “Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy,” *Journal of Political Economy*, 113(1), 1–45. - Christiano, Lawrence J., Mathias Trabandt, and Karl Walentin (2010): “DSGE Models for Monetary Policy Analysis,” In: *Handbook of Monetary Economics 3*, 285–367. - Herbst, Edward and Schorfheide, Frank (2014): "Sequential Monte Carlo Sampling for DSGE Models," *Journal of Applied Econometrics*, 29, 1073-1098. Incompatible changes -------------------- - The default value of the `mode_compute` option of the `estimation` command has been changed to `5` (it was previously `4`). - When using block decomposition (with the `block` option of the `model` block), the option `mfs` now defaults to `1`. This setting should deliver better performance in perfect foresight simulation on most models. - The default location for the configuration file has changed. On Linux and macOS, the configuration file is now searched by default under `dynare/dynare.ini` in the configuration directories defined by the XDG specification (typically `$HOME/.config/dynare/dynare.ini` for the user-specific configuration and `/etc/xdg/dynare/dynare.ini` for the system-wide configuration, the former having precedence over the latter). Under Windows, the configuration file is now searched by default in `%APPDATA%\dynare\dynare.ini` (typically `c:\Users\USERNAME\AppData\Roaming\dynare\dynare.ini`). - The information stored in `oo_.endo_simul, oo_.exo_simul`, and `oo_.irfs` is no longer duplicated in the base workspace. New helper functions `send_endogenous_variables_to_workspace`, `send_exogenous_variables_to_workspace`, and `send_irfs_to_workspace` have been introduced to explicitly request these outputs and to mimic the old behavior. - The `dynare_sensitivity` command has been renamed `sensitivity`. The old name is still accepted but triggers a warning. - The syntax `resid(1)` is no longer supported. - The `mode_compute=6` option to the `estimation` command now recursively updates the covariance matrix across the `NumberOfMh` Metropolis-Hastings runs, starting with the `InitialCovarianceMatrix` in the first run, instead of computing it from scratch in every Metropolis-Hastings run. - The `periods` command has been removed. - The `Sigma_e` command has been removed. - The `block` option of the `model` block no longer has an effect when used in conjunction with `stoch_simul` or `estimation` commands. - The Dynare++ executable is no longer distributed since almost all of its functionalities have been integrated inside Dynare for MATLAB/Octave. - A macro-processor variable defined without a value (such as `@#define var` in the `.mod` file or alternatively `-Dvar` on the `dynare` command line) is now assigned the `true` logical value (it was previously assigned `1`). - The `parallel_slave_open_mode` option of the `dynare` command has been renamed `parallel_follower_open_mode`. - The `static` option of the `model_info` command is now deprecated and is replaced by the `block_static` option. Bugs that were present in 5.5 and that have been fixed in 6.0 ------------------------------------------------------------- * The `mh_initialize_from_previous_mcmc` option of the `estimation` command would not work if estimation was conducted with a different prior and the last draw in the previous MCMC fell outside the new prior bounds * When specifying a generalized inverse Gamma prior, the hyperparameter computation would erroneously ignore the resulting mean shift * When using the `mh_recover` option of the `estimation` command, the status bar always started at zero instead of showing the overall progress of the recovered chain * The `model_diagnostics` command would fail to check the correctness of user-defined steady state files * GSA: LaTeX output was not working as expected * Forecasts and filtered variables could not be retrieved with the `heteroskedastic_shocks` block * The OccBin smoother would potentially not display all smoothed shocks with `heteroskedastic_filter` option * The OccBin smoother would crash if the number of requested periods was smaller than the data length * The multivariate OccBin smoother would return wrong results if the constraint was binding in the first period * The `plot_shock_decomposition` command would fail with the `init2shocks` block if the `initial_condition_decomposition` was not run before * LaTeX output under Windows failed to compile for `plot_priors=1` option of the `estimation` command and Brooks and Gelman (1998) convergence diagnostics * The plot produced by the `shock_decomposition` command was too big, making the close button inaccessible * Monthly dates for October, November and December (*i.e.* with a 2-digit month number) were not properly interpreted by the preprocessor * Theoretical moments computed by `stoch_simul` at `order=2` with `pruning` would not contain unconditional and conditional variance decomposition Announcement for Dynare 5.5 (on 2023-10-23) =========================================== We are pleased to announce the release of Dynare 5.5. 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 8.3 (R2014a) to 23.2 (R2023b), and with GNU Octave version 8.3.0 (under Windows). Note for macOS users with an Apple Silicon processor: this is the first Dynare release that comes with native Apple Silicon (arm64) support under MATLAB. Please download the corresponding package, to be used with MATLAB R2023b for Apple Silicon. Here is a list of the problems identified in version 5.4 and that have been fixed in version 5.5: * In a stochastic context, results could be incorrect if an endogenous with a lead ⩾ 2 or an exogenous with a lead ⩾ 1 appeared in the argument(s) of a call to a (nonlinear) external function * With the `use_dll` option of the `model` block, the expression `sign(x)` would evaluate to ±1 instead of 0 if `x=0` * If the guess value given to the `steady` command was such that the residuals were all below tolerance, except some that are `NaN`, then this guess value was incorrectly accepted as the solution to the steady state problem * The `method_of_moments` command with GMM was ignoring the `analytic_standard_errors` option when using `mode_compute=4` * Homotopy with the `extended_path` command at `order=0` was broken * The `parallel_use_psexec` command-line option was ignored * With the `bytecode` option of the `model` block, using the operators `abs()`, `cbrt()` and `sign()` would lead to a crash * The `fast` command-line option was broken under MATLAB with Windows * Ramsey steady state computation could fail if an `expectation` or `diff` operator was present in the model * A crash could occur if some external function call was present in an auxiliary variable * The `endogenous_prior` option of the `estimation` command could erroneously display a warning message about missing observations * The `model_comparison` command would crash if the `.mod` file name had less than four characters * The `shock_decomposition` command would overwrite previously stored smoother results * The `x13` interface in dseries did not handle missing values, particularly at the beginning of a series * The `x13` interface in dseries would occasionally crash under Windows with segmentation violations * OccBin: estimation would crash if a previous `shocks(surprise)` simulation was conducted * The `internals` command would not find the location of the `_results.mat` file * The `prior optimize` command would not work with `mode_compute=5` Announcement for Dynare 5.4 (on 2023-03-22) =========================================== We are pleased to announce the release of Dynare 5.4. 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 8.3 (R2014a) to 9.14 (R2023a), and with GNU Octave version 8.1.0 (under Windows). Note for macOS users with an Apple Silicon processor, and who are also MATLAB users: the official MATLAB version for use on those processors is still the Intel version (running through Rosetta 2), so the official Dynare package for download on our website is built for Intel only. However, since Mathworks has released a beta version of MATLAB for Apple Silicon, we created a beta package of Dynare that you can try with it. See this forum thread for more details: https://forum.dynare.org/t/testers-wanted-release-of-dynare-5-x-beta-for-apple-silicon-m1-m2-chips/20499 Here is a list of the problems identified in version 5.3 and that have been fixed in version 5.4: * Files installed through the Windows installer had too weak permissions and could be modified by unpriviledged local users, if the default installation location (`c:\dynare\`) had been chosen * Estimation: + the `load_results_after_load_mh` option would not find the location of the results file + the computation of prior/posterior statistics would crash if the value of the `filter step_ahead` option was greater than 1 without requesting a `forecast` or the `smoother` + NaN or complex parameters returned by steady state files were not correctly handled + `analytical_derivation` could be triggered with `endogenous_prior` but would not take the endogenous prior into account for the Jacobian and Hessian * OccBin: + running the `calib_smoother` command with `smoother_inversion_filter` would crash unless `likelihood_inversion_filter` was also specified + running the piecewise Kalman smoother would crash if an error was encountered during computation of the decision rules * PAC equation estimation through iterative OLS would crash if the auxiliary model contained a constant * The variable label was incorrect for leads and lags of exogenous variables in the display of decision rules and in the `model_info` command * Declaring a `trend_var` variable while not having a `var(deflator=...)` statement would cause the preprocessor to crash * Macro processor: error messages following a `@#define`, `@#include` or `@#includepath` directive could in some cases point to a line number off by 1 * Perfect foresight simulations: the `debug` option would not preserve sparsity, causing out of memory errors Announcement for Dynare 5.3 (on 2022-11-21) =========================================== We are pleased to announce the release of Dynare 5.3. 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 8.3 (R2014a) to 9.13 (R2022b), and with GNU Octave version 7.3.0 (under Windows). Note for macOS users with an Apple Silicon processor, and who are also MATLAB users: the official MATLAB version for use on those processors is still the Intel version (running through Rosetta 2), so the official Dynare package for download on our website is built for Intel only. However, since Mathworks has released a beta version of MATLAB for Apple Silicon, we created a beta package of Dynare that you can try with it. See this forum thread for more details: https://forum.dynare.org/t/testers-wanted-release-of-dynare-5-x-beta-for-apple-silicon-m1-m2-chips/20499 Here is a list of the problems identified in version 5.2 and that have been fixed in version 5.3: * The `notmpterms` option of the `dynare` command would trigger a crash if the `block` option of the `model` block was used * When the `use_dll` option was passed to the `model` block, the operator `abs` in the `model` block incorrectly returned only the integer part of the absolute value * Problems with OccBin (`estimation` and `occbin_solver`): + the piecewise linear Kalman filter (PKF) could crash if the model solution could not be computed for a parameter draw + the piecewise linear Kalman filter (PKF) could crash mode finding if an error was encountered + the piecewise linear Kalman filter (PKF) would crash in the one-constraint case if the fixed point algorithm did not converge + the smoother could crash due to the initial states being empty and when encountering errors + the smoother fields of `oo_` contained wrong results if the piecewise linear Kalman smoother did not converge + in pathological cases, seemingly periodic solutions were incorrectly accepted as true solutions * Problems related to Bayesian or ML estimation: + `mh_recover` and `load_mh_file` would not find the saved proposal density and had to rely on the `_mode` file + When requesting `bayesian_irf` together with `loglinear`, the resulting IRFs would be incorrect + the diffuse Kalman smoother initialization (`lik_init=3`) was wrong when the state transition matrix contained a column of zeros + the diffuse Kalman smoother initialization (`lik_init=3`) was wrong when the shock covariance matrix was not diagonal * Problems with perfect foresight simulations (`perfect_foresight_solver` command): + when solving purely forward or backward models with the PATH solver (`solve_algo=10`), specified `mcp` tags were ignored + the `linear_approximation` option would ignore the `nocheck` option for not checking the correctness of the steady state + in the presence of a steady state file or a `steady_state_model` block, the contents of the last `initval` or `endval` block would be ignored and replaced by a steady state * The `identification` and `dynare_sensitivity` commands would not pass a `graph_format` option to other subsequent commands * Problems with sensitivity analysis (`dynare_sensitivity` command) + stability mapping incorrectly imposed a parameter limit of 52 + prior sampling did not work with when a user specified `prior_trunc=0` * `dynare++`: the `dynare_simul.m` would not run * The `model_diagnostics` command would not work with `block_trust_region` algorithms (`solve_algo=13,14`) Announcement for Dynare 5.2 (on 2022-07-27) =========================================== We are pleased to announce the release of Dynare 5.2. 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 8.3 (R2014a) to 9.12 (R2022a), and with GNU Octave version 6.4.0 (under Windows). Note for macOS users with an Apple Silicon processor, and who are also MATLAB users: the official MATLAB version for use on those processors is still the Intel version (running through Rosetta 2), so the official Dynare package for download on our website is built for Intel only. However, since Mathworks has released a beta version of MATLAB for Apple Silicon, we created a beta package of Dynare that you can try with it. See this forum thread for more details: https://forum.dynare.org/t/testers-wanted-release-of-dynare-5-x-beta-for-apple-silicon-m1-m2-chips/20499 Here is a list of the problems identified in version 5.1 and that have been fixed in version 5.2: * Problems with the `steady_state` operator: + if a `steady_state` operator contained an algebraic expression appearing multiple times in the model and sufficiently complex to trigger the creation of a temporary term, then the result of the operator would be wrong (the operator was essentially ignored) + if a `steady_state` operator contained a call to an external function, then the result of the operator would be wrong (the operator was essentially ignored). A proper fix to this problem would require substantial architectural changes, so for now it is forbidden to use an external function inside a `steady_state` operator * Pruning in particle filtering at order 2 was not using the exact same formula as the original Kim et al. (2008) paper. A second-order term entered the cross-product between states and shocks, where it should have been a first-order term. This however would not lead to explosive trajectories in practice * The `simul_replic` option of the `stoch_simul` command would not store the binary file in the `Output` folder * Problems with Ramsey policy (`ramsey_model`/`ramsey_policy` commands): + steady state files would not work when auxiliary variables included Lagrange multipliers + for linear competitive equilibrium laws of motion, welfare evaluated at higher order was erroneously equated to steady state welfare * The `discretionary_policy` command would not always correctly infer the number of instruments and equations, leading to spurious error messages * Perfect foresight simulations of purely forward or backward models would crash if complex numbers were encountered * When using both `block` and `bytecode` options of the `model` block, if the model was such that a sufficiently complex algebraic expression appeared both in the residuals and in the derivatives, leading to the creation of a temporary term, then the results could be incorrect under some circumstances * When using the `bytecode` option of the `model` block, leads of more than +127 or lags of less than -128 were not correctly handled * Problems with the solver under occasionally binding constraints (`occbin_solver` command): + when solving the baseline regime, it would not properly handle errors like Blanchard-Kahn violations + the piecewise linear Kalman filter (PKF) would crash if the model solution could not be computed for a parameter draw + the `oo_.FilteredVariablesKStepAhead` and `oo_.UpdatedVariables` MATLAB/Octave variables would contain the steady state twice + the inversion filter would crash if the `filter_step_ahead` or `state_uncertainty` options were requested + the PKF would crash if `filter_step_ahead=1` was specified + the PKF would crash if the `state_uncertainty` option was specified together with the `smoother_redux` option + the last regime before the system is back to normal times in the two-constraints case could be wrongly set, possibly leading to wrong simulations, lack of convergence or crashes * Problems with identification (`identification` command): + with `prior_mc>1` specified, it would incorrectly display the share of rank deficient Jacobians + it would crash during plotting or displaying identification strength when the necessary identification criteria based on moments could not be computed * The `plot_shock_decomposition` command would crash if invalid field names were encountered * The `shock_decomposition` command would not pass specified initial dates to generated plots * Various pathological cases encountered in steady state finding could lead to a crash * The `solve_algo=0` option of the `steady` command would not honor `tolx` * In the `dynare_sensitivity` command, stability mapping would not correctly honor the prior bounds Announcement for Dynare 5.1 (on 2022-04-06) =========================================== We are pleased to announce the release of Dynare 5.1. 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 8.3 (R2014a) to 9.12 (R2022a), and with GNU Octave version 6.4.0 (under Windows). Here is a list of the problems identified in version 5.0 and that have been fixed in version 5.1: * Various problems with perfect foresight simulations in combination with `block` and/or `bytecode` options of the `model` block: + Simulation with `bytecode` and `stack_solve_algo=4` could give incorrect results if the model has a linear block of type “Solve two boundaries simple/complete” + Simulation with `bytecode` and `stack_solve_algo=1` could fail to converge + Simulation with `block` (but without `bytecode`) and `stack_solve_algo=1` gave wrong results in the last simulation period if the model has a block of type “Solve two boundaries simple/complete” + Simulation with `bytecode` and `block` would give incorrect results if the model has a linear block of type “Solve forward simple/complete” + Simulation with `block` (but without `bytecode`) would crash or give incorrect results if the model has a block of type “Solve forward/backward simple/complete” + Simulation with `bytecode`, `block` and `stack_solve_algo={0,1,4}` would crash or give incorrect results if the model has a block of type “Solve forward/backward complete” + Simulation with `block` (but without `bytecode`) gave incorrect results if the model has a block of type “Solve backward simple/complete” + Simulation with `block` (with or without `bytecode`) could give incorrect results if the model has a nonlinear block of type “Solve forward/backward simple/complete” + Simulation with `bytecode`, `block` and `stack_solve_algo=4` could give incorrect results if the model has a block of type “Solve backward/forward simple/complete” that follows a block of type “Solve two boundaries” (in the sense of the dependency graph) + The convergence criterion in simulations with `block` (but without `bytecode`) was incorrect: the value of the `tolf` option from the `steady` command was used instead of the value of `tolf` option from the `perfect_foresight_solver` command * Various problems with steady state computation in combination with `block` and/or `bytecode` options of the `model` block: + Steady state computation with `bytecode` and `block` could fail if some equations are marked `[static]` + Steady state computation with `bytecode`, `block` and `solve_algo` ⩽ 4 or ⩾ 9 could fail + Steady state computation with `bytecode`, `block` and `solve_algo=6` would crash or give incorrect results if the model has a block of type “Solve forward/backward complete” * The `check` command would crash or give incorrect results when using the `block` option of the `model` block and if the model has a block of type “Solve backward complete” * The `static` and `incidence` options of the `model_info` command did not work as documented in the reference manual * Various problems with the `method_of_moments` command: + It would crash if no `matched_moments` block is present + It would always load the full range of the first Excel sheet instead of the `xls_range` of the specified `xls_sheet` + SMM would crash if a parameter draw triggers an error during `additional_optimizer_steps = 13` + The `debug` option could not be passed to the command * In the `estimation` command, the `scale_file` field of the `posterior_sampler_options` option did not correctly load the scale * The `moments_varendo` option of the `estimation` command could crash for large models * The `resid` command would not show `name` tags when used in conjunction with the `ramsey_model` command * Simulations with the `occbin_solver` command would not work if there is only a surprise shock in the first period * The Liu & West auxiliary particle filter could enter infinite loops Announcement for Dynare 5.0 (on 2022-01-07) =========================================== We are pleased to announce the release of Dynare 5.0. This major release adds new features and 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 8.3 (R2014a) to 9.11 (R2021b), and with GNU Octave version 6.4.0 (under Windows). The new tools for semi-structural models and the improvements on the nonlinear solvers were funded by the European Central Bank. Special thanks to Nikola Bokan (ECB) for his contributions and numerous bug reports and fixes. Major user-visible changes -------------------------- - New routines for simulating semi-structural (backward) models where some equations incorporate expectations based on future values of a VAR or trend component model. See the `var_model`, `trend_component_model` and `var_expectation_model` commands, and the `var_expectation` operator. - New routines for simulating semi-structural models where some equations are specified using the polynomial adjustment costs (PAC) approach, as in the FRB/US model (see Brayton et al., 2014 and Brayton et al., 2000) and the ECB-BASE model (see Angelini et al., 2019). The forward-looking terms of the PAC equations can be computed either using a satellite VAR model, or using full model-consistent expectations. See the `pac_model` command and the `pac_expectation` operator. - New Method of Moments toolbox that provides functionality to estimate parameters by (i) Generalized Method of Moments (GMM) up to 3rd-order pruned perturbation approximation or (ii) Simulated Method of Moments (SMM) up to any perturbation approximation order. The toolbox is inspired by replication codes accompanying Andreasen et al. (2018), Born and Pfeifer (2014), and 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 least squares optimizer based on `lsqnonlin` is used for minimizing the method of moments objective function (available under `mode_compute=13`). GMM can further benefit from using gradient-based optimizers (using `analytic_standard_errors` option and/or passing `'Jacobian','on'` to the optimization options) as the Jacobian of the moment conditions can be computed analytically. - Implementation of the Occbin algorithm by Guerrieri and Iacoviello (2015), together with the inversion filter of Cuba-Borda, Guerrieri, Iacoviello, 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 new commands `occbin_setup`, `occbin_solver`, `occbin_graph`, and `occbin_write_regimes`. - Stochastic simulations - `stoch_simul` now supports theoretical moments at `order=3` with `pruning`. - `stoch_simul` now reports second moments based on the pruned state space if the `pruning` option is set (in previous Dynare releases it would report a second-order accurate result based on the linear solution). - Estimation - Performance optimization to pruned state space systems and Lyapunov solvers. - New option `mh_posterior_mode_estimation` to `estimation` to perform mode-finding by running the MCMC. - New heteroskedastic filter and smoother, where shock standard errors may *unexpectedly* change in every period. Triggered by the `heteroskedastic_filter` option of the `estimation` command, and configured via the `heteroskedastic_shocks` block. - New option `mh_tune_guess` for setting the initial value for `mh_tune_jscale`. - New option `smoother_redux` to `estimation` and `calib_smoother` to trigger computing the Kalman smoother on a restricted state space instead of the full one. - New block `filter_initial_state` for setting the initial condition of the Kalman filter/smoother. - New option `mh_initialize_from_previous_mcmc` to the `estimation` command that allows to pick initial values for a new MCMC from a previous one. - The `xls_sheet` option of the `estimation` command now takes a quoted string as value. The former unquoted syntax is still accepted, but no longer recommended. - New option `particle_filter_options` to set various particle filter options. - Perfect foresight and extended path - New specialized algorithm in `perfect_foresight_solver` to deal with purely static problems. - The `debug` option of `perfect_foresight_solver` provides debugging information if the Jacobian is singular. - In deterministic models (perfect foresight or extended path), exogenous variables with lead/lags are now replaced by auxiliary variables. This brings those models in line with the transformation done on stochastic 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 account the Jensen inequality for the latter. In deterministic models, there is a one-to-one mapping between exogenous with lead/lags and auxiliaries, while in stochastic models, an auxiliary endogenous may correspond to a more complex nonlinear expression. - Optimal policy - Several improvements to `evaluate_planner_objective`: - it now applies a consistent approximation order when doing the computation; - in addition to the conditional welfare, it now also provides the unconditional welfare; - in a stochastic context, it now works with higher order approximation (only the conditional welfare is available for order ⩾ 3); - it now also works in a perfect foresight context. - `discretionary_policy` is now able to solve nonlinear models (it will then use their first-order approximation, and the analytical steady state must be provided). - Identification - New option `schur_vec_tol` to the `identification` command, for setting the tolerance level used to find nonstationary variables in the Schur decomposition of the transition matrix. - The `identification` command now supports optimal policy. - Shock decomposition - The `fast_realtime` option of the `realtime_shock_decomposition` command now accepts a vector of integers, which runs the smoother for all the specified data vintages. - Macro processor - Macroprocessor variables can be defined without a value (they are assigned integer 1). - LaTeX and JSON outputs - New `nocommutativity` option to the `dynare` command. This option tells the preprocessor not to use the commutativity of addition and multiplication when looking for common subexpressions. As a consequence, when using this option, equations in various outputs (LaTeX, JSON…) will appear as the user entered them (without terms or factors swapped). Note that using this option may have a performance impact on the preprocessing stage, though it is likely to be small. - Model-local variables are now substituted out as part of the various model transformations. This means that they will no longer appear in LaTeX or in JSON files (for the latter, they are still visible with `json=parse` or `json=check`). - Compilation of the model (`use_dll` option) - Block decomposition (option `block` of `model`) can now be used in conjunction with the `use_dll` option. - The `use_dll` option can now directly be given to the `dynare` command. - dseries classes - Routines for converting between time series frequencies (e.g. daily to monthly) have been added. - dseries now supports bi-annual and daily frequency data. - dseries can now import data from [DBnomics](https://db.nomics.world), via the [mdbnomics](https://git.dynare.org/dbnomics/mdbnomics) plugin. Note that this does not yet work under Octave. For the time being, the DBnomics plugin must be installed separately. - Misc improvements - The `histval_file` and `initval_file` commands have been made more flexible and now have functionalities similar to the `datafile` option of the `estimation` command. - When using the `loglinear` option, the output from Dynare now clearly shows that the results reported concern the log of the original variable. - Options `block` and `bytecode` of `model` can now be used in conjunction with model-local variables (variables declared with a pound-sign `#`). - The `model_info` command now prints the typology of endogenous variables for non-block decomposed models. - The total computing time of a run (in seconds) is now saved to `oo_.time`. - New `notime` option to the `dynare` command, to disable the printing and the saving of the total computing time. - New `parallel_use_psexec` command-line Windows-specific option for parallel local clusters: when `true` (the default), use `psexec` to spawn processes; when `false`, use `start`. - When compiling from source, it is no longer necessary to pass the `MATLAB_VERSION` version to the configure script; the version is now automatically detected. Incompatible changes -------------------- - Dynare will now generally save its output in the `MODFILENAME/Output` folder (or the `DIRNAME/Output` folder if the `dirname` option was specified) instead of the main directory. Most importantly, this concerns the `_results.mat` and the `_mode.mat` files. - The structure of the `oo_.planner_objective` field has been changed, in relation to the improvements to `evaluate_planner_objective`. - The preprocessor binary has been renamed to `dynare-preprocessor`, and is now located in a dedicated `preprocessor` subdirectory. - The `dynare` command no longer accepts `output=dynamic` and `output=first` (these options actually had no effect). - The minimal required MATLAB version is now R2014a (8.3). - The 32-bit support has been dropped for Windows. Bugs that were present in 4.6.4 and that have been fixed in 5.0 --------------------------------------------------------------- * Equations marked with `static`-tags were not detrended when a `deflator` was specified * Parallel execution of `dsge_var` estimation was broken * The preprocessor would incorrectly simplify forward-looking constant equations of the form `x(+1)=0` to imply `x=0` * Under some circumstances, the use of the `model_local_variable` statement would lead to a crash of the preprocessor * When using the `block`-option without `bytecode` the residuals of the static model were incorrectly displayed * When using `k_order_solver`, the `simult_` function ignored requested approximation orders that differed from the one used to compute the decision rules * Stochastic simulations of the `k_order_solver` without `pruning` iterated on the policy function with a zero shock vector for the first (non-endogenous) period * `estimation` would ignore the mean of non-zero observables if the mean was 0 for the initial parameter vector * `mode_check` would crash if a parameter was estimated to be exactly 0 * `load_mh_file` would not be able to load the proposal density if the previous run was done in parallel * `load_mh_file` would not work with MCMC runs from Dynare versions before 4.6.2 * `ramsey_model` would not correctly work with `lmmcp` * `ramsey_model` would crash if a non-scalar error code was encountered during steady state finding. * Using undefined objects in the `planner_objective` function would yield an erroneous error message about the objective containing exogenous variables * `model_diagnostics` did not correctly handle a previous `loglinear` option * `solve_algo=3` (csolve) would ignore user-set `maxit` and `tolf` options * The `planner_objective` values were not based on the correct initialization of auxiliary variables (if any were present) * The `nostrict` command line option was not ignoring unused endogenous variables in `initval`, `endval`, and `histval` * `prior_posterior_statistics_core` could crash for models with eigenvalues very close to 1 * The display of the equation numbers in `debug` mode related to issues in the Jacobian would not correctly take auxiliary equations into account * The `resid` command was not correctly taking auxiliary and missing equations related to optimal policy (`ramsey_model`, `discretionary_policy`) into account * `bytecode` would lock the `dynamic.bin` file upon encountering an exception, requiring a restart of MATLAB to be able to rerun the file * Estimation with the `block` model option would crash when calling the block Kalman filter * The `block` model option would crash if no `initval` statement was present * Having a variable with the same name as the mod-file present in the base 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 ---------- - Andreasen et al. (2018): “The pruned state-space system for non-linear DSGE models: Theory and empirical applications,” Review of Economic Studies, 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 - Brayton, Davis and Tulip (2000): “Polynomial adjustment costs in FRB/US,” Unpublished manuscript - Brayton, Laubach, and Reifschneider (2014): “The FRB/US Model: A tool for macroeconomic policy analysis,” FEDS Notes. Washington: Board of Governors 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 - Giovannini, Pfeiffer, and Ratto (2021): “Efficient and robust inference of 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 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 Announcement for Dynare 4.6.3 (on 2020-11-23) ============================================= 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 * `identification` would crash for purely forward-looking models * 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 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 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 * Closing of parallel estimation on GNU/Linux could crash * The `histval` command would not work in combination with the `predetermined_variables` command * Ramsey optimal policy with multiple instruments would crash if a steady state file returned complex values, instead of providing an error message * The `model_diagnostics` command would not correctly update the parameter vector if the latter was set in a steady state file * The `model_diagnostics` command would ignore the `nocheck` steady state flag Announcement for Dynare 4.6.0 (on 2020-02-20) ============================================= We are pleased to announce the release of Dynare 4.6.0. This major release adds new features and 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). Major user-visible changes -------------------------- - Stochastic simulations - The perturbation method is now available at an arbitrary approximation order. In other words, the `order` option of `stoch_simul` accepts an arbitrary positive integer (of course, up to some model-specific computational limit). - New option `filtered_theoretical_moments_grid` of `stoch_simul`, that supersedes `hp_ngrid`. - Estimation - Nonlinear estimation is now also available at an arbitrary approximation order. In other words, the `order` option of `estimation` accepts an arbitrary positive integer (of course, up to some model-specific computational limit). - Various improvements to particle filters. - It is now possible to estimate models under optimal policy (see below). - Variance decomposition of observables now accounts for measurement error. - New option `mh_tune_jscale` of `estimation` command for tuning the scale parameter of the proposal distribution of the Random Walk Metropolis Hastings. - Added debugging info when parameters take a `NaN` or `Inf` value. - Option `mode_compute=1` is now available under Octave. - Perfect foresight and extended path - A significant speed improvement should be noted on large models (when neither `bytecode` nor `block` option is used). The stacked problem is now constructed using a dedicated machine-compiled library that greatly speeds up the process (in particular, the time spent in that step can become negligible when the `use_dll` option is used). - New options `print` and `noprint` of `perfect_foresight_solver` command. - Option `stack_solve_algo=2` is now available under Octave. - Steady state - Option `solve_algo=7` is now available under Octave. - Optimal policy - The `ramsey_policy` command is now deprecated. It is superseded by successive calls to `ramsey_model`, `stoch_simul`, and `evaluate_planner_objective` (in this order). - It is now possible to estimate a model under optimal policy (either Ramsey or discretionary) by running the `estimation` command after either `ramsey_model` or `discretionary_policy`. It is however not yet possible to estimate parameters that appear in the discount factor of the social planner. - Discretionary policy returns a more informative error message when the objective has nonzero derivatives with respect to some variables. - Identification - Added minimal system identification check of *Komunjer and Ng (2011)*. - Added spectrum identification check of *Qu and Tkachenko (2012)*. - Identification is now also available for approximation orders 2 and 3 with either analytical or numerical parameter derivatives. The relevant moments and spectrum are computed from the pruned state space system as in *Mutschler (2015)*. - All tests (moments, spectrum, minimal system, strength) can be turned off. - More numerical options can be changed by the user. - Improved printing and storage (same folder) of results. - Sensitivity analysis - New `diffuse_filter` option to the `dynare_sensitivity` command. - Arbitrary expressions can now be passed for the interval boundaries in `irf_calibration` and `moment_calibration`. ⚠ This breaks the previous syntax, requiring that the lower/upper bounds be separated by commas. - Forecasting and smoothing - In `conditional_forecast_paths`, it is no longer required that all constrained paths be of the same length. There may now be a different number of controlled variables at each period. In that case, the order of declaration of endogenous controlled variables and of `controlled_varexo` matters: if the second endogenous variable is controlled for less periods than the first one, the second `controlled_varexo` isn't set for the last periods. - New option `parameter_set` to the `calib_smoother` command. - ⚠ The results of `conditional_forecast` command is now saved in `oo_` (used to be in a file) - Shock decomposition - Added `fast_realtime` option to real time shock decomposition (deactivated by default, runs the smoother only twice: once for the last in-sample and once for the last out-of-sample data point). - New `diff`, `flip`, `max_nrows`, `plot_init_date` and `plot_end_date` options to `plot_shock_decomposition`. - New `initial_decomposition_decomposition` command, for computing and plotting the decomposition of the effect of smoothed initial conditions of state variables. - New `squeeze_shock_decomposition` command, for removing decompositions of variables that are not of interest. - New `with_epilogue` option (common to `shock_decomposition`, `realtime_shock_decomposition` and `initial_condition_decomposition`). - New `init2shocks` block to attribute initial conditions to shocks. - Macro processor - New object types: real (supersedes integers), boolean (distinct from integers), tuple, user-defined function. - New operators: various mathematical functions, set operations on arrays (union, intersection, difference, cartesian power and product), type checking and conversion. - Added support for comprehensions (*e.g.* the set containing the squares of all even numbers between 1 and 5 can be constructed with `[ i^2 for i in 1:5 when mod(i,2) == 0]`). - User-defined functions can be declared using the `@#define` operator (*e.g.* `@#define f(x) = 2*x^2+3*x+5`). - `@#elseif`-clauses are now supported in conditional statements. - `@#for` loops can iterate over several variables at the same time (*e.g.* `@#for (i,j) in X`, where `X` is an array containing tuples of size 2). - Added the possibility to exclude some elements when iterating over `@#for` loops (*e.g.* `@#for i in 1:5 when mod(i,2) == 0` iterates over all even numbers between 1 and 5). - A `defined()` function allows testing whether macro variables have been defined. - Empty arrays (with the `[]` syntax) are now possible. - Arrays of arrays are now supported. - New macro directives `@#echomacrovars` and `@#echomacrovars(save)` for displaying or saving the values of all macro-variables. - Inline comments are now supported. - ⚠ All division operations are now done with doubles (as opposed to integers). To achieve the old functionality, use the new `floor` operator. - ⚠ Colon syntax used to require braces around it to create an array (*e.g.* `[1:3]` would create `[1,2,3]`). Now this is not necessary (`1:3` creates `[1,2,3]` while `[1:3]` would create `[[1,2,3]]`). - ⚠ Previously, printing a boolean would print `1` or `0`. Now, it prints `true` or `false`. To achieve the old functionality, you must cast it to a real, *e.g.* `@{(real)(1!=0)}`. - LaTeX output - New command `write_latex_steady_state_model`. - New option `planner_discount_latex_name` of `ramsey_model` and `discretionary_policy`. - New command `model_local_variable` command for assigning a LaTeX name to model-local variables. - The `write_latex_static_model` and `write_latex_original_model` commands now support the `write_equation_tags` option. - Compilation of the model (`use_dll` option) made easier and faster - Under Windows, it is no longer necessary to manually install the compiler, since the latter is now shipped by the Dynare installer. - Under macOS, the Dynare installer now automatically downloads and installs the compiler. - It is no longer necessary to configure MATLAB to let it know where the compiler is, since the compilation is now done by the preprocessor. - The compilation phase is now faster on large models (this has been achieved by disabling a few time-consuming and not-so-useful optimization passes otherwise done by the compiler). - New `compilation_setup` block for specifying a custom compiler or custom compilation flags. - Model, variables and parameters declaration - New syntax to declare model variables and parameters on-the-fly in the `model` block. To do this, simply follow the symbol name with a vertical line (`|`, pipe character) and either an `e`, an `x`, or a `p`. For example, to declare a parameter named `alpha` in the model block, you could write `alpha|p` directly in an equation where it appears. Similarly, to declare an endogenous variable `c` in the model block you could write `c|e`. - New syntax to declare model variable and parameters on-the-fly in equation tags. In the tag, simply state the type of variable to be declared (`endogenous`, `exogenous`, or `parameter` followed by an equal sign and the variable name in single quotes. Hence, to declare a variable `c` as endogenous in an equation tag, you can type `[endogenous='c']`. - New `epilogue` block for computing output variables of interest that may not be necessarily defined in the model (*e.g.* various kinds of real/nominal shares or relative prices, or annualized variables out of a quarterly model). - Command-line options - Added the possibility to declare Dynare command-line options in the `.mod` file. - New option `nopreprocessoroutput` to disable printing of messages from the preprocessor. - It is now possible to assign an arbitrary macro-expression to a macro-variable defined on the command-line, using the `-D` syntax. - New option `linemacro` to revert to the old format of the macro-processed file (see below). - Preprocessor outputs and inputs - Added JSON output to the preprocessor. A representation of the model file and the whole content of the `.mod` file is saved in `.json` files. These JSON files can be easily parsed from any language (C++, Fortran, Python, Julia, MATLAB, Octave…). This new feature opens the possibility to develop alternative back-ends for the Dynare language. - ⚠ Most files generated by the preprocessor are now grouped under two subdirectories. Assuming your file is `FILENAME.mod`, then M-files and MEX-files will be under `+FILENAME/`, while other output (JSON, LaTeX, source code for the MEX files) will be under `FILENAME/`. - The macro-generated output is now more readable (no more line numbers and empty lines). The old behaviour can be restored using the `linemacro` option (see above). - Ability to call the preprocessor by passing the `.mod` file as a string argument from the macOS or GNU/Linux command line. - dseries classes - New functionalities and efficiency improvements. - Complete rewrite using the new `classdef` syntax and exploiting in place modifications when possible. - Integration of the `dates` classes within `dseries`. - Reporting classes - Automatically create titlepage with page numbers/page titles. - Allow for the removal of headers and footers from a given page. - Allow user to set page number. - Split up report output. Create new files for the preamble, the body of the report, and each individual page of the report. - The classes have been converted to the new `classdef` syntax. - Misc - External functions can be located in MATLAB/Octave namespaces. - 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. 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 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. The Windows packages are already available for download at: . 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 case of using `[static]`/`[dynamic]` equation tags. - 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 (*e.g.* `estimation`, `stoch_simul`, etc.). - 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. 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: . 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 (R2018a) 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 distribution. - 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. 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: . 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 (R2018a) 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. 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: . 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 9.3 (R2017b) 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. - Added a workaround for a difference in behaviour between Octave and MATLAB regarding the creation 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. - Nested `@#ifdef` and `@#ifndef` statements don’t work in the macroprocessor. 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: . 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 9.3 (R2017b) and with GNU Octave versions 4.2. Here is a list of the problems identified in version 4.5.2 and that have been fixed in version 4.5.3: - `isfile` routine was failing with MATLAB older than R2016b. This bug did not affect Octave. Announcement for Dynare 4.5.2 (on 2017-10-19) ============================================= We are pleased to announce the release of Dynare 4.5.2. This is a bugfix release. The Windows packages are already available for download at: . 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 9.3 (R2017b) 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: - Fixed bug in perfect foresight solver: + If expected shocks were declared after the terminal period, as specified by the `periods` option, Dynare was crashing. + Models declared with the `linear` option were crashing if exogenous variables were present with a lead or lag. - After ML or Bayesian estimation when the smoother option or `mh_replic=0` were not specified, not all smoothed measurement errors were displayed. - Fixed error in reference manual about the `conditional_forecasts` command. - Fixed smoother behaviour, provide informative error instead of crashing when model cannot be solved. - The `nopathchange` preprocessor option was always triggered, regardless of whether it was passed or not. - When `ramsey_policy` is used, allow state variables to be set in `histval` block. - `histval` erroneously accepted leads, leading to cryptic crashes. - The prior MC draws from previous runs were not deleted, potentially resulting in loading stale files. - `estim_params_` was being declared `global` more than once. - Fixed crashes happening when simulating linear models with order>1. - Make empirical moments independent of `simul_replic`, as stated in the reference manual, by outputting moments computed with the first simulated sample. - The `prior_function` required a preceding `estimation`-command to properly set up the prior. - If the mode for a parameter was at exactly 0, `mode_check` was crashing. - Fixed `get_posterior_parameters`-routine which should not do more than getting parameters. As a consequense, the `shock_decomposition`-command did not correctly set the `parameter_set` for use in subsequent function calls if shocks are correlated or measurement error is present. - Fixed bug in Ramsey problem with constraints both on a policy instrument and 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. - 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 MATLAB/Windows 7). 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: . 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 9.2 (R2017a) 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. Announcement for Dynare 4.5.0 (on 2017-06-11) ============================================= 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: . The Mac and Debian/Ubuntu packages should follow soon. All users are strongly encouraged to upgrade. This release is compatible with MATLAB versions ranging from 7.5 (R2007b) to 9.2 (R2017a) and with GNU Octave version 4.2. Here is the list of major user-visible changes: - Ramsey policy + Added command `ramsey_model` that builds the expanded model with FOC conditions for the planner’s problem but doesn’t perform any computation. Usefull to compute Ramsey policy in a perfect foresight model, + `ramsey_policy` accepts multipliers in its variable list and displays results for them. - Perfect foresight models + 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`, + 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, + New option `stack_solve_algo=7` that allows specifying a `solve_algo` solver for solving the model, + New option `solve_algo` that allows specifying a solver for solving the model when using `stack_solve_algo=7`, + New option `lmmcp` that solves the model via a Levenberg-Marquardt mixed complementarity problem (LMMCP) solver, + New option `robust_lin_solve` that triggers the use of a robust linear solver for the default `solve_algo=4`, + New options `tolf` and `tolx` to control termination criteria of solvers, + New option `endogenous_terminal_period` to `simul`, + Added the possibility to set the initial condition of the (stochastic) extended path simulations with the histval block. - Optimal simple rules + Saves the optimal value of parameters to `oo_.osr.optim_params`, + New block `osr_params_bounds` allows specifying bounds for the estimated parameters, + New option `opt_algo` allows selecting different optimizers while the new option `optim` allows specifying the optimizer options, + 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`. - Forecasts and Smoothing + The smoother and forecasts take uncertainty about trends and means into account, + Forecasts accounting for measurement error are now saved in fields of the form `HPDinf_ME` and `HPDsup_ME`, + New fields `oo_.Smoother.Trend` and `oo_.Smoother.Constant` that save the trend and constant parts of the smoothed variables, + new field `oo_.Smoother.TrendCoeffs` that stores the trend coefficients. + Rolling window forecasts allowed in `estimation` command by passing a vector to `first_obs`, + The `calib_smoother` command now accepts the `loglinear`, `prefilter`, `first_obs` and `filter_decomposition` options. - Estimation + New options: `logdata`, `consider_all_endogenous`, `consider_only_observed`, `posterior_max_subsample_draws`, `mh_conf_sig`, `diffuse_kalman_tol`, `dirname`, `nodecomposition` + `load_mh_file` and `mh_recover` now try to load chain’s proposal density, + New option `load_results_after_load_mh` that allows loading some posterior results from a previous run if no new MCMC draws are added, + New option `posterior_nograph` that suppresses the generation of graphs associated with Bayesian IRFs, posterior smoothed objects, and posterior forecasts, + Saves the posterior density at the mode in `oo_.posterior.optimization.log_density`, + The `filter_covariance` option now also works with posterior sampling like Metropolis-Hastings, + New option `no_posterior_kernel_density` to suppress computation of kernel density of posterior objects, + Recursive estimation and forecasting now provides the individual `oo_` structures for each sample in `oo_recursive_`, + The `trace_plot` command can now plot the posterior density, + New command `generate_trace_plots` allows generating all trace plots for one chain, + New commands `prior_function` and `posterior_function` that execute a user-defined function on parameter draws from the prior/posterior distribution, + New option `huge_number` for replacement of infinite bounds with large number during `mode_compute`, + 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), + 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`, + New option `raftery_lewis_diagnostics` that computes *Raftery and Lewis (1992)* convergence diagnostics, + New option `fast_kalman_filter` that provides fast Kalman filter using Chandrasekhar recursions as described in *Ed Herbst (2015)*, + The `dsge_var` option now saves results at the posterior mode into `oo_.dsge_var`, + New option `smoothed_state_uncertainty` to provide the uncertainty estimate for the smoothed state estimate from the Kalman smoother, + New prior density: generalized Weibull distribution, + Option `mh_recover` now allows continuing a crashed chain at the last save mh-file, + New option `nonlinear_filter_initialization` for the `estimation` command. Controls the initial covariance matrix of the state variables in nonlinear filters. + The `conditional_variance_decomposition` option now displays output and stores it as a LaTeX-table when the `TeX` option is invoked, + The `use_calibration` to `estimated_params_init` now also works with ML, + Improved initial estimation checks. - Steady state + The default solver for finding the steady state is now a trust-region solver (can be triggered explicitly with option `solve_algo=4`), + New options `tolf` and `tolx` to control termination criteria of solver, + The debugging mode now provides the termination values in steady state finding. - Stochastic simulations + New options `nodecomposition`, + New option `bandpass_filter` to compute bandpass-filtered theoretical and simulated moments, + New option `one_sided_hp_filter` to compute one-sided HP-filtered simulated moments, + `stoch_simul` displays a simulated variance decomposition when simulated moments are requested, + `stoch_simul` saves skewness and kurtosis into respective fields of `oo_` when simulated moments have been requested, + `stoch_simul` saves the unconditional variance decomposition in `oo_.variance_decomposition`, + New option `dr_display_tol` that governs omission of small terms in display of decision rules, + The `stoch_simul` command now prints the displayed tables as LaTeX code when the new `TeX` option is enabled, + The `loglinear` option now works with lagged and leaded exogenous variables like news shocks, + New option `spectral_density` that allows displaying the spectral density of (filtered) endogenous variables, + New option `contemporaneous_correlation` that allows saving contemporaneous correlations in addition to the covariances. - Identification + New options `diffuse_filter` and `prior_trunc`, + The `identification` command now supports correlations via simulated moments, - Sensitivity analysis + New blocks `irf_calibration` and `moment_calibration`, + Outputs LaTeX tables if the new `TeX` option is used, + New option `relative_irf` to `irf_calibration` block. - Conditional forecast + Command `conditional_forecast` now takes into account `histval` block if present. - Shock decomposition + New option `colormap` to `shocks_decomposition` for controlling the color map used in the shocks decomposition graphs, + `shocks_decomposition` now accepts the `nograph` option, + New command `realtime_shock_decomposition` that for each period `T= [presample,...,nobs]` allows computing the: * realtime historical shock decomposition `Y(t|T)`, *i.e.* without observing data in `[T+1,...,nobs]` * forecast shock decomposition `Y(T+k|T)` * 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. - Macroprocessor + Can now pass a macro-variable to the `@#include` macro directive, + 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`. - Command line + New option `onlyclearglobals` (do not clear JIT compiled functions with recent versions of MATLAB), + New option `minimal_workspace` to use fewer variables in the current workspace, + New option `params_derivs_order` allows limiting the order of the derivatives with respect to the parameters that are calculated by the preprocessor, + New command line option `mingw` to support the MinGW-w64 C/C++ Compiler from TDM-GCC for `use_dll`. - dates/dseries/reporting classes + New methods `abs`, `cumprod` and `chain`, + New option `tableRowIndent` to `addTable`, + Reporting system revamped and made more efficient, dependency on matlab2tikz has been dropped. - Optimization algorithms + `mode_compute=2` Uses the simulated annealing as described by *Corana et al. (1987)*, + `mode_compute=101` Uses SOLVEOPT as described by *Kuntsevich and Kappel (1997)*, + `mode_compute=102` Uses `simulannealbnd` from MATLAB’s Global Optimization Toolbox (if available), + New option `silent_optimizer` to shut off output from mode computing/optimization, + New options `verbosity` and `SaveFiles` to control output and saving of files during mode computing/optimization. - LaTeX output + New command `write_latex_original_model`, + New option `write_equation_tags` to `write_latex_dynamic_model` that allows printing the specified equation tags to the generate LaTeX code, + New command `write_latex_parameter_table` that writes the names and values of model parameters to a LaTeX table, + New command `write_latex_prior_table` that writes the descriptive statistics about the prior distribution to a LaTeX table, + New command `collect_latex_files` that creates one compilable LaTeX file containing all TeX-output. - Misc. + Provides 64bit preprocessor, + Introduces new path management to avoid conflicts with other toolboxes, + Full compatibility with MATLAB 2014b’s new graphic interface, + When using `model(linear)`, Dynare automatically checks whether the model is truly linear, + `usedll`, the `msvc` option now supports `normcdf`, `acosh`, `asinh`, and `atanh`, + New parallel option `NumberOfThreadsPerJob` for Windows nodes that sets the number of threads assigned to each remote MATLAB/Octave run, + Improved numerical performance of `schur_statespace_transformation` for very large models, + The `all_values_required` option now also works with `histval`, + Add missing `horizon` option to `ms_forecast`, + 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`. Bugs and problems identified in version 4.4.3 and that have been fixed in version 4.5.0: - BVAR models + `bvar_irf` could display IRFs in an unreadable way when they moved from negative to positive values, + In contrast to what is stated in the documentation, the confidence interval size `conf_sig` was 0.6 by default instead of 0.9. - Conditional forecasts + The `conditional_forecast` command produced wrong results in calibrated models when used at initial values outside of the steady state (given with `initval`), + The `plot_conditional_forecast` option could produce unreadable figures if the areas overlap, + The `conditional_forecast` command after MLE crashed, + In contrast to what is stated in the manual, the confidence interval size `conf_sig` was 0.6 by default instead of 0.8. + Conditional forecasts were wrong when the declaration of endogenous variables was not preceeding the declaration of the exogenous variables and parameters. - Discretionary policy + Dynare allowed running models where the number of instruments did not match the number of omitted equations, + Dynare could crash in some cases when trying to display the solution, + Parameter dependence embedded via a `steady_state` was not taken into account, typically resulting in crashes. - dseries class + When subtracting a dseries object from a number, the number was instead subtracted from the dseries object. - DSGE-VAR models + Dynare crashed when estimation encountered non-finite values in the Jacobian at the steady state, + The presence of a constant was not considered for degrees of freedom computation of the Gamma function used during the posterior computation; due to only affecting the constant term, results should be be unaffected, except for model_comparison when comparing models with and without. - Estimation command + 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, + Calling estimation after identification could lead to crashes, + 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`, + Computation of Bayesian smoother could crash for larger models when requesting `forecast` or `filtered_variables`, + Geweke convergence diagnostics were not computed on the full MCMC chain when the `load_mh_file` option was used, + The Geweke convergence diagnostics always used the default `taper_steps` and `geweke_interval`, + Bayesian IRFs (`bayesian_irfs` option) could be displayed in an unreadable way when they move from negative to positive values, + If `bayesian_irfs` was requested when `mh_replic` was too low to compute HPDIs, plotting was crashing, + 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_*`, + Using a user-defined `mode_compute` crashed estimation, + Option `mode_compute=10` did not work with infinite prior bounds, + 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, + Using the `forecast` option with `loglinear` erroneously added the unlogged steady state, + When using the `loglinear` option the check for the presence of a constant was erroneously based on the unlogged steady state, + Estimation of `observation_trends` was broken as the trends specified as a function of deep parameters were not correctly updated during estimation, + When using `analytic_derivation`, the parameter values were not set before testing whether the steady state file changes parameter values, leading to subsequent crashes, + 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, + When computing posterior moments, Dynare falsely displayed that moment computations are skipped, although the computation was performed correctly, + If `conditional_variance_decomposition` was requested, although all variables contain unit roots, Dynare crashed instead of providing an error message, + Computation of the posterior parameter distribution was erroneously based on more draws than specified (there was one additional draw for every Markov chain), + The estimation option `lyapunov=fixed_point` was broken, + Computation of `filtered_vars` with only one requested step crashed Dynare, + Option `kalman_algo=3` was broken with non-diagonal measurement error, + When using the diffuse Kalman filter with missing observations, an additive factor log(2π) was missing in the last iteration step, + Passing of the `MaxFunEvals` and `InitialSimplexSize` options to `mode_compute=8` was broken, + Bayesian forecasts contained initial conditions and had the wrong length in both plots and stored variables, + 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, + Computation of smoothed measurement errors in Bayesian estimation was broken, + The `selected_variables_only` option (`mh_replic=0`, ML, or `calibrated_smoother`) returned wrong results for smoothed, updated, and filtered variables, + Combining the `selected_variables_only` option with forecasts obtained using `mh_replic=0`, ML, or `calibrated_smoother` leaded to crashes, + `oo_.UpdatedVariables` was only filled when the `filtered_vars` option was specified, + 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`, + 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, + 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`, + 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, + When the initialization of an MCMC run failed, the metropolis.log file was locked, requiring a restart of MATLAB to restart estimation, + If the posterior mode was right at the corner of the prior bounds, the initialization of the MCMC erroneously crashed, + If the number of dropped draws via `mh_drop` coincided with the number of draws in a `_mh`-file, `oo_.posterior.metropolis.mean` and `oo_.posterior.metropolis.Variance` were NaN. - Estimation and calibrated smoother + When using `observation_trends` with the `prefilter` option, the mean shift due to the trend was not accounted for, + 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, + The diffuse Kalman smoother was crashing if the forecast error variance matrix becomes singular, + The multivariate Kalman smoother provided incorrect state estimates when all data for one observation are missing, + The multivariate diffuse Kalman smoother provided incorrect state estimates when the `Finf` matrix becomes singular, + The univariate diffuse Kalman filter was crashing if the initial covariance matrix of the nonstationary state vector is singular, - Forecats + In contrast to what is stated in the manual, the confidence interval size `conf_sig` was 0.6 by default instead of 0.9. + Forecasting with exogenous deterministic variables provided wrong decision rules, yielding wrong forecasts. + Forecasting with exogenous deterministic variables crashed when the `periods` option was not explicitly specified, + 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. - Global Sensitivity Analysis + Sensitivity with ML estimation could result in crashes, + Option `mc` must be forced if `neighborhood_width` is used, + Fixed dimension of `stock_logpo` and `stock_ys`, + Incomplete variable initialization could lead to crashes with `prior_range=1`. - Indentification + Identification did not correctly pass the `lik_init` option, requiring the manual setting of `options_.diffuse_filter=1` in case of unit roots, + Testing identification of standard deviations as the only parameters to be estimated with ML leaded to crashes, + Automatic increase of the lag number for autocovariances when the number of parameters is bigger than the number of non-zero moments was broken, + When using ML, the asymptotic Hessian was not computed, + Checking for singular values when the eigenvectors contained only one column did not work correctly, - Model comparison + Selection of the `modifiedharmonicmean` estimator was broken, - Optimal Simple Rules + When covariances were specified, variables that only entered with their variance and no covariance term obtained a wrong weight, resulting in wrong results, + 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, + Using only one (co)variance in the objective function resulted in crashes, + For models with non-stationary variables the objective function was computed wrongly. - Ramsey policy + 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. + When using an external steady state file, incorrect steady states could be accepted, + When using an external steady state file with more than one instrument, Dynare crashed, + When using an external steady state file and running `stoch_simul` after `ramsey_planner`, an incorrect steady state was used, + When the number of instruments was not equal to the number of omitted equations, Dynare crashed with a cryptic message, + The `planner_objective` accepted `varexo`, but ignored them for computations, - Shock decomposition + Did not work with the `parameter_set=calibration` option if an `estimated_params` block is present, + Crashed after MLE. - Perfect foresight models + The perfect foresight solver could accept a complex solution instead of continuing to look for a real-valued one, + The `initval_file` command only accepted column and not row vectors, + The `initval_file` command did not work with Excel files, + Deterministic simulations with one boundary condition crashed in `solve_one_boundary` due to a missing underscore when passing `options_.simul.maxit`, + Deterministic simulation with exogenous variables lagged by more than one period crashed, + Termination criterion `maxit` was hard-coded for `solve_algo=0` and could no be changed, + When using `block`/`bytecode`, relational operators could not be enforced, + When using `block` some exceptions were not properly handled, leading to code crashes, + Using `periods=1` crashed the solver (bug only partially fixed). - Smoothing + The univariate Kalman smoother returned wrong results when used with correlated measurement error, + The diffuse smoother sometimes returned linear combinations of the smoothed stochastic trend estimates instead of the original trend estimates. - Perturbation reduced form + 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`, + Dynare could crash when the steady state could not be computed when using the `loglinear` option, + Using `bytcode` when declared exogenous variables were not used in the model leaded to crashes in stochastic simulations, + Displaying decision rules involving lags of auxiliary variables of type 0 (leads>1) crashed. + The `relative_irf` option resulted in wrong output at `order>1` as it implicitly relies on linearity. - 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 eigenvalues up to 1+10⁻⁶ could be accepted as stable for the 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 variable/equations led to crashes of MATLAB. - 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. 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: . 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. - Reading data in an Excel-file with only one variable was leading to a crash. - When using the `k_order_perturbation` option (which is implicit at 3rd order) without the `use_dll` option, crashes or unexpected 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 Lagrange multipliers stored in `M_.aux_vars` were erroneously one too 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). - 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 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. - Option `geweke_interval` was not effective, Dynare always defaulted to the standard value. - The `mode_file` option lacked backward compatibility with older Dynare versions. - Loading an `mh_mode` file with the `mode_file` option was broken. - Using `identification` with `var_exo_det` leaded to crashes (the preprocessor now returns an error if they are used simultaneously) - The `identification` command did not print results if the initial 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 `model` block. The preprocessor now forbids the use of external functions derivates in the `model` block. - Using the block option when a variable does not appear in the current period crashed Dynare instead of providing an error message. 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: . 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: - Geweke convergence diagnostics was computed on the wrong sample if `mh_drop` was not equal to the default of 0.5. - The `loglinear` option of `stoch_simul` was displaying the steady state of the original values, not the logged ones, and was producing incorrect simulations and simulated moments. Theoretical moments were unaffected. - The `optim` option of `estimation` (for setting options to `mode_compute`) 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. - Specifying an endogenous variable twice after the `estimation` command would 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). - MCMC convergence diagnostics were not computed if `mh_replic` was less than 2000; the test now relies on the total number of iterations (this only makes a difference if option `load_mh_file` is used). Announcement for Dynare 4.4.1 (on 2014-01-17) ============================================= We are pleased to announce the release of Dynare 4.4.1. This release contains a few changes to the user interface and fixes various bugs. It also adds compatibility with Octave 3.8. The Windows packages are already available for download at: . The Mac and GNU/Linux packages (for Debian and Ubuntu) should follow soon. All users are encouraged to upgrade. This release is compatible with MATLAB versions 7.3 (R2006b) to 8.2 (R2013b) and with GNU Octave versions 3.6 to 3.8. * Changes to the user interface: - The syntax introduced in 4.4.0 for conditional forecast in a deterministic setup was removed, and replaced by a new one that is better suited to the task. More precisely, such deterministic forecasts are no longer done using the `conditional_forecast` command. The latter is replaced by a group of commands: `init_plan`, `basic_plan` and `flip_plan`. See the reference manual for more details. - Changes to the reporting module: option `annualAverages` to `addTable` has been removed (use option `tableDataRhs` to `addSeries` instead); option `vlineAfter` to `addTable` now also accepts a cell array. - Changes to the date and time series classes: implement broadcasting for operations (`+`,`-`,`*` and `/`) between `dseries` class and scalar or vectors; add the possibility of selecting an observation within a time series using a formatted string containing a date. * Bugs and problems identified in version 4.4.0 and that have been fixed in version 4.4.1: - In MS-SBVAR, there was a bug preventing the computation of impulse responses on a constant regime. - Under Octave, after modifying the MOD file, the changes were not taken into account at the first Dynare run, but only at the second run. Announcement for Dynare 4.4.0 (on 2013-12-16) ============================================= We are pleased to announce the release of Dynare 4.4.0. This major release adds new features and fixes various bugs. The Windows packages are already available for download at: . The Mac and Debian/Ubuntu packages should follow soon. All users are strongly encouraged to upgrade. This release is compatible with MATLAB versions ranging from 7.3 (R2006b) to 8.2 (R2013b) and with GNU Octave version 3.6. Here is the list of major user-visible changes: * New major algorithms: - Extended path at order 1 and above, also known as “stochastic extended path”. This method is triggered by setting the `order` option of the `extended_path` command to a value greater than 0. Dynare will then use a Gaussian quadrature to take into account the effects of future uncertainty. The time series for the endogenous variables are generated by assuming that the agents believe that there will no more shocks after period t+order. - Alternative algorithms for computing decision rules of a stochastic model, based on the cycle reduction and logarithmic reduction algorithms. These methods are respectively triggered by giving `dr = cycle_reduction` or `dr = logarithmic_reduction` as an option to the `stoch_simul` command. - Pruning now works with 3rd order approximation, along the lines of *Andreasen, Fernández-Villaverde and Rubio-Ramirez (2013)*. - Computation of conditional forecast using an extended path method. This is triggered by the new option `simulation_type = deterministic` in the `conditional_forecast` command. In this case, the `expectation` command in the `conditional_forecast_paths` block has to be used to indicate the nature of expectations (whether shocks are a surprise or are perfectly anticipated). - Endogenous priors as in Christiano, Trabandt and Walentin (2011). Those are triggered by the new option `endogenous_prior` of the `estimation` command. * Other algorithmic improvements: - New command `model_diagnostics` to perform various sanity checks on the model. Note: in the past, some users may have used a preliminary MATLAB function implementing this; the new command has the same syntax, except that you shouldn’t pass any argument to it. - Terminal conditions of perfect foresight simulations can now be specified in growth rates. More specifically, the new option `differentiate_forward_vars` of the `model` block will create auxiliary forward looking variables expressed in first differences or growth rates of the actual forward looking variables defined in the model. These new variables have obvious zero terminal conditions whatever the simulation context and this in many cases helps convergence of simulations. - Convergence diagnostics for single chain MCMC à la *Geweke (1992, 1999)*. - New optimizer for the posterior mode (triggered by `mode_compute=10`): it uses the simpsa algorithm, based on the combination of the non-linear simplex and simulated annealing algorithms and proposed by *Cardoso, Salcedo and Feyo de Azevedo (1996)*. - The automatic detrending engine has been extended to work on models written in logs. The corresponding trend variable type is `log_trend_var`, and the corresponding deflator type is `log_deflator`. * New features in the user interface: - New set of functions for easily creating PDF reports including figures and tables. See the “Reporting” section in the reference manual for more details. - New MATLAB/Octave classes for handling time series. See the “Time series” section in the reference manual for more details. - Datafiles in CSV format can now be used for estimation. - New macro processor `length` operator, returns the length of an array. - New option `all_values_required` of `initval` and `endval` blocks: enforces initialization of all endogenous and exogenous variables within the block. - Option `ar` can now be given to the `estimation` command. - New options `nograph`, `nointeractive` and `nowarn` to the `dynare` command, for a better control of what is displayed. - New option `nostrict` to the `dynare` command, for allowing Dynare to continue processing when there are more endogenous variables than equations or when an undeclared symbol is assigned in `initval` or `endval`. - The information on MCMC acceptance rates, seeds, last log posterior likelihood, and last parameter draw are now saved on the disk and can be displayed with `internals --display-mh-history` or loaded into the workspace with `internals --load-mh-history`. - New options `mode_check_neighbourhood_size`, `mode_check_symmetric_plots` and `mode_check_number_of_points`, for a better control of the diagnostic plots. - New option `parallel_local_files` of `model` block, for transferring extra files during parallel computations. - New option `clock` of `set_dynare_seed`, for setting a different seed at each run. - New option `qz_zero_threshold` of the `check`, `stoch_simul` and `estimation` commands, for a better control of the situation where a generalized eigenvalue is close to 0/0. - New `verbatim` block for inclusion of text that should pass through the preprocessor and be placed as is in the `modfile.m` file. - New option `mcmc_jumping_covariance` of the `estimation` command, for a better control of the covariance matrix used for the proposal density of the MCMC sampler. - New option `use_calibration` of the `estimated_params_init`, for using the calibration of deep parameters and the elements of the covariance matrix specified in the `shocks` block as starting values for the estimation. - New option `save_draws` of the `ms_simulation` command. - New option `irf_plot_threshold` of the `stoch_simul` and `estimation` commands, for a better control of the display of IRFs which are almost nil. - New option `long_name` for endogenous, exogenous and parameter declarations, which can be used to declare a long name for variables. That long name can be programmatically retrieved in `M_.endo_names_long`. * Miscellaneous changes - The deciles of some posterior moments were erroneously saved in a field `Distribution` under `oo_`. This field is now called `deciles`, for consistency with other posterior moments and with the manual. Similarly, the fields `Mean`, `Median`, `HPDsup`, `HPDinf`, and `Variance` are now consistently capitalized. - The console mode now implies the `nodisplay` option. * Bugs and problems identified in version 4.3.3 and that have been fixed in version 4.4.0: - In an `endval` block, auxiliary variables were not given the right value. This would not result in wrong results, but could prevent convergence of the steady state computation. - Deterministic simulations with `stack_solve_algo=0` (the default value) were crashing if some exogenous had a lag strictly greater than 1. - When using the `mode_file` option, the initial estimation checks were not performed for the loaded mode, but for the original starting values. Thus, potential prior violations by the mode only appeared during estimation, leading to potentially cryptic crashes and error messages. - If a shock/measurement error variance was set to 0 in calibration, the correlation matrix featured a 0 instead of a 1 on the diagonal, leading to wrong estimation results. - In the presence of calibrated covariances, estimation did not enforce positive definiteness of the covariance matrix. - Estimation using the `diffuse_filter` option together with the univariate Kalman filter and a diagonal measurement error matrix was broken. - A purely backward model with `k_order_solver` was leading to crashes of MATLAB/Octave. - Non-linear estimation was not skipping the specified presample when computing the likelihood. - IRFs and theoretical moments at order > 1 were broken for purely forward-looking models. - Simulated moments with constant variables was leading to crashes when displaying autocorrelations. - The `osr` command was sometimes crashing with cryptic error messages because of some unaccounted error codes returned from a deeper routine. - The check for stochastic singularity during initial estimation checks was broken. - Recursive estimation starting with the pathological case of `nobs=1` was crashing. - Conditional variance decomposition within or after estimation was crashing when at least one shock had been calibrated to zero variance. - The `estimated_params_init` and `estimated_params_bounds` blocks were broken for correlations. - The `filter_step_ahead` option was not producing any output in Bayesian estimation. - Deterministic simulations were sometimes erroneously indicating convergence although the residuals were actually NaN or Inf. - Supplying a user function in the `mode_compute` option was leading to a crash. - Deterministic simulation of models without any exogenous variable was crashing. - The MS-SBVAR code was not updating files between runs on Windows. This means that if a MOD file was updated between runs in the same folder and a `file_tag` was not changed, then the results would not change. - The `ramsey_policy` command was not putting in `oo_.planner_objective_value` the value of the planner objective at the optimum. * References: - Andreasen, Martin M., Jesús Fernández-Villaverde, and Juan Rubio-Ramirez (2013): “The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications,” *NBER Working Paper*, 18983 - Cardoso, Margarida F., R. L. Salcedo and S. Feyo de Azevedo (1996): “The simplex simulated annealing approach to continuous non-linear optimization,” *Computers chem. Engng*, 20(9), 1065-1080 - Christiano, Lawrence J., Mathias Trabandt and Karl Walentin (2011): “Introducing financial frictions and unemployment into a small open economy model,” *Journal of Economic Dynamics and Control*, 35(12), 1999-2041 - Geweke, John (1992): “Evaluating the accuracy of sampling-based approaches to the calculation of posterior moments,” in J.O. Berger, J.M. Bernardo, A.P. Dawid, and A.F.M. Smith (eds.) *Proceedings of the Fourth Valencia International Meeting on Bayesian Statistics*, pp. 169-194, Oxford University Press - Geweke, John (1999): “Using simulation methods for Bayesian econometric models: Inference, development and communication,” *Econometric Reviews*, 18(1), 1-73 Announcement for Dynare 4.3.3 (on 2013-04-12) ============================================= We are pleased to announce the release of Dynare 4.3.3. This is a bugfix release. The Windows packages are already available for download at: . The Mac and GNU/Linux packages (for Debian and Ubuntu) should follow soon. All users are encouraged to upgrade. The new release is compatible with MATLAB versions ranging from 7.0 (R14) to 8.1 (R2013a) and with GNU Octave versions ranging from 3.2 to 3.6. Here is a list of the problems identified in version 4.3.2 and that have been fixed in version 4.3.3: - Estimation with measurement errors was wrong if a correlation between two measurement errors was calibrated - Option `use_dll` was broken under Windows - Degenerate case of purely static models (no leads/no lags) were not correctly handled - Deterministic simulations over a single period were not correctly done - The sensitivity call `dynare_sensitivity(identification=1,morris=2)` was buggy when there are no shocks estimated - Calls to `shock_decomposition` after using `selected_variables_only` option fail - Sometimes, only the last open graph was saved, leading to missing and duplicate EPS/PDF graphs - Forecasting after maximum likelihood estimation when not forecasting at least one observed variables (`var_obs`) was leading to crashes - Some functionalities were crashing with MATLAB 8.1/R2013a (bytecode, MS-SBVAR) - Sometimes only the first order autocorrelation of `moments_varendo` was saved instead of all up to the value of `ar` option Announcement for Dynare 4.3.2 (on 2013-01-18) ============================================= We are pleased to announce the release of Dynare 4.3.2. This is a bugfix release. The Windows packages are already available for download at: . The Mac and GNU/Linux packages (for Debian and Ubuntu) should follow soon. All users are encouraged to upgrade. The new release is compatible with MATLAB versions ranging from 7.0 (R14) to 8.0 (R2012b) and with GNU Octave versions ranging from 3.2 to 3.6. Here is a list of the problems identified in version 4.3.1 and that have been fixed in version 4.3.2: - Computation of posterior distribution of unconditional variance decomposition was sometimes crashing (only for very large models) - Estimation with `mode_compute=6` was sometimes crashing - Derivative of `erf()` function was incorrect - The `check` command was not setting `oo_.dr.eigval` unless `stoch_simul` was also used - Computation of conditional forecast when the constraint is only on one period was buggy - Estimation with `mode_compute=3` was crashing under Octave Announcement for Dynare 4.3.1 (on 2012-10-10) ============================================= We are pleased to announce the release of Dynare 4.3.1. This release adds a few minor features and fixes various bugs. The Windows and Mac packages are already available for download at: . The GNU/Linux packages (for Debian and Ubuntu) should follow soon. All users are strongly encouraged to upgrade. The new release is compatible with MATLAB versions ranging from 7.0 (R14) to 8.0 (R2012b) and with GNU Octave versions ranging from 3.2 to 3.6. Here is the list of the main user-visible changes: * New features in the user interface: - New `@#ifndef` directive in the macro-processor - Possibility of simultaneously specifying several output formats in the `graph_format` option - Support for XLSX files in `datafile` option of `estimation` and in `initval_file` * Bugs and problems identified in version 4.3.0 and that have been fixed in version 4.3.1: - Shock decomposition was broken - The welfare computation with `ramsey_policy` was buggy when used in conjunction with `histval` - Estimation of models with both missing observations and measurement errors was buggy - The option `simul_replic` was broken - The macro-processor directive `@#ifdef` was broken - Identification with `max_dim_cova_group > 1` was broken for specially degenerate models (when parameter theta has pairwise collinearity of one with multiple other parameters, *i.e.* when all couples (θ,b), (θ,c), … (θ,d) have perfect collinearity in the Jacobian of the model) - The `parallel_test` option was broken - Estimation with correlated shocks was broken when the correlations were specified in terms of correlation and not in terms of co-variance - The Windows package was broken with MATLAB 7.1 and 7.2 - When using `mode_compute=0` with a mode file generated using `mode_compute=6`, the value of option `mh_jscale` was not loaded - Using exogenous deterministic variables at 2nd order was causing a crash - The option `no_create_init` for the `ms_estimation` command was broken - Loading of datafiles with explicit filename extensions was not working - The preprocessor had a memory corruption problem which could randomly lead to crashes 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 at: . 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 the 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-Ramirez (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 changes: - 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 * Bugs and problems identified in version 4.2.5 and that have been fixed in version 4.3.0: - 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 * 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-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 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 . 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: . 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 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 the official [Dynare website](http://www.dynare.org). The Mac and Linux packages 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 * The `model_diagnostics` command was broken 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 [Dynare website](http://www.dynare.org). The Mac and Linux packages 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: * `steady_state_model` was broken for lags higher than 2 * `simult_.m` was not working correctly with `order=3` if `k_order_solver` had not been explicitly specified * `stoch_simul` with `order=3` and without `periods` option was reporting dummy theoretical moments * Under Octave, option `solve_algo=0` was causing crashes in `check` and `stoch_simul` * Identification module was broken * The test for singularity in the model reporting eigenvalues close to 0/0 was sometimes reporting false positives * The `conditional_variance_decomposition` option was not working if one 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 [Dynare website](http://www.dynare.org). The Mac and Linux packages 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) * The `conditional_forecast` command was buggy: it was always using the posterior mode, whatever the value of the `parameter_set` option * `STEADY_STATE` was not working correctly with certain types of expressions (the priority of the addition and substraction operators was incorrectly handled) * 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`) * Some native MATLAB statements were not correctly passed on to MATLAB (*e.g.* `x = { 'foo' 'bar' }` ) * `external_function` was crashing in some circumstances * The lambda parameter for HP filter was restricted to integer values for no good reason * The `load_mh_file` option of `estimation` was crashing under Octave 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 `EXPECTATION` operator * 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 [Dynare website](http://www.dynare.org). The Mac and Linux packages should follow soon. 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: * The `STEADY_STATE` operator has been fixed * Problems with MATLAB 7.3 (R2006b) and older have been fixed * The `partial_information` option of `stoch_simul` has been fixed * Option `conditional_variance_decomposition` of `stoch_simul` and `estimation` has been fixed * Automatic detrending now works in conjunction with the `EXPECTATION` operator * Percentage signs inside strings in MATLAB statements (like `disp('% This is not a comment %')`) now work * 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 * `identification` command has been fixed * Option `cova_compute` of `estimation` command has been fixed * Random crashes with 3rd order approximation without `use_dll` option 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 (R2010b) and with GNU Octave versions 3.0.x and 3.2.x (support for GNU Octave 3.4.x is not complete and will be added in the next minor release). Here is the list of major user-visible changes: * New solution algorithms: - Pruning for second order simulations has been added, as described in *Kim, Kim, Schaumburg and Sims (2008)*. It is triggered by option `pruning` of `stoch_simul` (only 2nd order, not available at 3rd order). - Models under partial information can be solved, as in *Pearlman, Currie and Levine (1986)*. See . - New nonlinear solvers for faster deterministic simulations and steady state computation. See . * Dynare can now use the power of multi-core computers or of a cluster of computer using parallelization. See . * New features in the user interface: - A steady state file can now be automatically generated, provided that the model can be solved analytically, and that the steady state as a function of the parameters is declared with the new `steady_state_model` command. See the entry for `steady_state_model` in the reference manual for more details and an example. - For non-stationary models, Dynare is now able of automatically removing trends in all the equations: the user writes the equations in non-stationary form and declares the deflator of each variable. Then Dynare perform a check to determine if the proposed deflators are compatible with balanced growth path, and, if yes, then it computes the detrended equations. See . - It is now possible to use arbitrary functions in the model block. See . * Other minor changes to the user interface: - New primitives allowed in model block: `normpdf()`, `erf()` - New syntax for DSGE-VAR. See . - Syntax of deterministic shocks has changed: after the values keyword, arbitrary expressions must be enclosed within parentheses (but numeric constants are still accepted as is) * Various improvements: - Third order simulations now work without the `use_dll` option: installing a C++ compiler is no longer necessary for 3rd order - The HP filter works for empirical moments (previously it was only available for theoretical moments) - `ramsey_policy` now displays the planner objective value function under Ramsey policy and stores it in `oo_.planner_objective_value` - Estimation: if the `selected_variables_only` option is present, then the smoother will only be run on variables listed just after the estimation command - Estimation: in the `shocks` block, it is now possible to calibrate measurement errors on endogenous variables (using the same keywords than for calibrating variance/covariance matrix of exogenous shocks) - It is possibile to choose the parameter set for shock decomposition. See . - The diffuse filter now works under Octave - New option `console` on the Dynare command-line: use it when running Dynare from the console, it will replace graphical waitbars by text waitbars for long computations - Steady option `solve_algo=0` (uses `fsolve()`) now works under Octave * For Emacs users: - New Dynare mode for Emacs editor (contributed by Yannick Kalantzis) - Reference manual now available in Info format (distributed with Debian/Ubuntu packages) * Miscellaneous: - Deterministic models: leads and lags of two or more on endogenous variables are now substituted by auxiliary variables; exogenous variables are left as is. See . * References: - Kim, J., S. Kim, E. Schaumburg and C.A. Sims (2008), “Calculating and using second-order accurate solutions of discrete time dynamic equilibrium models,” *Journal of Economic Dynamics and Control*, 32(11), 3397-3414 - Pearlman J., D. Currie and P. Levine (1986), “Rational expectations models with partial information,” *Economic Modelling*, 3(2), 90-105