Announcement for Dynare 4.5.0 (on 2013-12-16) ============================================= 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: http://www.dynare.org/download/dynare-stable 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 9.2 (R2017a) and with GNU Octave version 4.2. Here is the list of major user-visible changes: Dynare 4.5 ========== - 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/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(2*pi) 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+1e-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: http://www.dynare.org/download/dynare-stable 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 wasz 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: http://www.dynare.org/download/dynare-stable 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: http://www.dynare.org/download/dynare-stable 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: http://www.dynare.org/download/dynare-stable 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-Ramírez (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-Ramírez (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: http://www.dynare.org/download/dynare-stable 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: http://www.dynare.org/download/dynare-stable 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: http://www.dynare.org/download/dynare-stable 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 (theta,b), (theta,c), ... (theta,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: http://www.dynare.org/download/dynare-4.3 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-Ramírez (2005); this is triggered by setting `order=2' in the `estimation' command - Extended path solution method as in Fair and Taylor (1983); see the `extended_path' command - Support for Markov-Switching Structural Bayesian VARs (MS-SBVAR) along the lines of Sims, Waggoner and Zha (2008) (see the dedicated section in the reference manual) - Optimal policy under discretion along the lines of Dennis (2007); see the `discretionary_policy' command - Identification analysis along the lines of Iskrev (2010); see the `identification' command - The Global Sensitivity Analysis toolbox (Ratto, 2008) is now part of the official Dynare distribution * Other algorithmic improvements: - Stochastic simulation and estimation can benefit from block decomposition (with the `block' option of `model'; only at 1st order) - Possibility of running smoother and filter on a calibrated model; see the `calib_smoother' command - Possibility of doing conditional forecast on a calibrated model; see the `parameter_set=calibration' option of the `conditional_forecast' command - The default algorithm for deterministic simulations has changed and is now based on sparse matrices; the historical algorithm (Laffargue, Boucekkine and Juillard) is still available under the `stack_solve_algo=6'option of the `simul' command - Possibility of using an analytic gradient for the estimation; see the `analytic_derivation' option of the `estimation' command - Implementation of the Nelder-Mead simplex based optimization routine for computing the posterior mode; available under the `mode_compute=8' option of the `estimation' command - Implementation of the CMA Evolution Strategy algorithm for computing the posterior mode; available under the `mode_compute=9' option of the `estimation' command - New solvers for Lyapunov equations which can accelerate the estimation of large models; see the `lyapunov' option of the `estimation' command - New solvers for Sylvester equations which can accelerate the resolution of large models with block decomposition; see the `sylvester' option of the `stoch_simul' and `estimation' commands - The `ramsey_policy' command now displays the planner objective value function under Ramsey policy and stores it in `oo_.planner_objective_value' - Theoretical autocovariances are now computed when the `block' option is present - The `linear' option is now compatible with the `block' and `bytecode' options - The `loglinear' option now works with purely backward or forward models at first order * New features in the user interface: - New mathematical primitives allowed in model block: `abs()', `sign()' - The behavior with respect to graphs has changed: + By default, Dynare now displays graphs and saves them to disk in EPS format only + The format can be changed to PDF or FIG with the new `graph_format' option + It is possible to save graphs to disk without displaying them with the new `nodisplay' option - New `nocheck' option to the `steady' command: tells not to check the steady state and accept values given by the user (useful for models with unit roots) - A series of deterministic shocks can be passed as a pre-defined vector in the `values' statement of a `shocks' block - New option `sub_draws' in the `estimation' command for controlling the number of draws used in computing the posterior distributions of various objects - New macroprocessor command `@#ifdef' for testing if a macro-variable is defined - New option `irf_shocks' of the `stoch_simul' command, to allow IRFs to be created only for certain exogenous variables - In the parallel engine, possibility of assigning different weights to nodes in the cluster and of creating clusters comprised of nodes with different operating systems (see the relevant section in the reference manual) - It is now possible to redefine a parameter in the `steady_state_model' block (use with caution) - New option `maxit' in the `simul' and `steady' commands to determine the maximum number of iterations of the nonlinear solver - New option `homotopy_force_continue' in the `steady' command to control the behavior when a homotopy fails - Possibility of globally altering the defaults of options by providing a file in the `GlobalInitFile' field of the configuration file (use with caution) - New option `nolog' to the `dynare' command line to avoid creating a logfile - New option `-D' to the `dynare' command line with for defining macro-variables * Miscellaneous 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-Ramírez (2005): “Estimating Dynamic Equilibrium Economies: Linear versus Nonlinear Likelihood,” Journal of Applied Econometrics, 20, 891–910 - Iskrev, Nikolay (2010): “Local identification in DSGE models,” Journal of Monetary Economics, 57(2), 189–202 - Ratto, Marco (2008): “Analysing DSGE models with global sensitivity analysis'', Computational Economics, 31, 115–139 - Sims, Christopher A., Daniel F. Waggoner and Tao Zha (2008): “Methods for inference in large multiple-equation Markov-switching models,” Journal of Econometrics, 146, 255–274 Announcement for Dynare 4.2.5 (on 2012-03-14) ============================================= 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: http://www.dynare.org/octave/Octave3.6.1_gcc4.6.2_20120303-setup.exe 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 . 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 . 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 . 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 [1]. 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 [1] http://www.dynare.org 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) [1,2] - Models under partial information can be solved, as in Pearlman, Currie and Levine (1986) [3,4] - New nonlinear solvers for faster deterministic simulations and steady state computation [5] * Dynare can now use the power of multi-core computers or of a cluster of computer using parallelization [6] * 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 [7] - 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 [8] - It is now possible to use arbitrary functions in the model block [9] * Other minor changes to the user interface: - New primitives allowed in model block: normpdf(), erf() - New syntax for DSGE-VAR [10] - 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 [11] - 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 [12] [1] 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 [2] It is triggered by option "pruning" of "stoch_simul" (only 2nd order, not available at 3rd order) [3] Pearlman J., D. Currie and P. Levine (1986), "Rational expectations models with partial information", Economic Modelling, 3(2), 90-105 [4] http://www.dynare.org/DynareWiki/PartialInformation [5] http://www.dynare.org/DynareWiki/FastDeterministicSimulationAndSteadyStateComputation [6] http://www.dynare.org/DynareWiki/ParallelDynare [7] See the entry for "steady_state_model" in the reference manual for more details and an example [8] http://www.dynare.org/DynareWiki/RemovingTrends [9] http://www.dynare.org/DynareWiki/ExternalFunctions [10] http://www.dynare.org/DynareWiki/DsgeVar [11] http://www.dynare.org/DynareWiki/ShockDecomposition [12] http://www.dynare.org/DynareWiki/AuxiliaryVariables