dynare/NEWS.md

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.

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.

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.

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.

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.

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.

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.

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, via the 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.

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.

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.

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.

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.

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 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,” 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,” Quantitative Economics, 3(1), 95–132

• Mutschler, W. (2015), “Identification of DSGE models—The effect of higher-order approximation and pruning,” 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: 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 7.5 (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: 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 7.5 (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: 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 7.5 (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: 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 7.5 (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: 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 7.5 (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: 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 7.5 (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: 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 7.5 (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: 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 7.5 (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: 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 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: 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-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: 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 (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: 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-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 http://www.dynare.org. 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. 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 http://www.dynare.org/DynareWiki/PartialInformation.

  • New nonlinear solvers for faster deterministic simulations and steady state computation. See http://www.dynare.org/DynareWiki/FastDeterministicSimulationAndSteadyStateComputation.

• Dynare can now use the power of multi-core computers or of a cluster of computer using parallelization. See http://www.dynare.org/DynareWiki/ParallelDynare.

• 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 http://www.dynare.org/DynareWiki/RemovingTrends.

  • It is now possible to use arbitrary functions in the model block. See http://www.dynare.org/DynareWiki/ExternalFunctions.

• Other minor changes to the user interface:

  • New primitives allowed in model block: normpdf(), erf()

  • New syntax for DSGE-VAR. See http://www.dynare.org/DynareWiki/DsgeVar.

  • 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 http://www.dynare.org/DynareWiki/ShockDecomposition.

  • 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 http://www.dynare.org/DynareWiki/AuxiliaryVariables.

• 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