3974 lines
162 KiB
Markdown
3974 lines
162 KiB
Markdown
Announcement for Dynare 6.0 (on 2024-02-02)
|
||
===========================================
|
||
|
||
We are pleased to announce the release of Dynare 6.0.
|
||
|
||
This major release adds new features and fixes various bugs.
|
||
|
||
The Windows, macOS, MATLAB Online and source packages are already available for
|
||
download at [the Dynare website](https://www.dynare.org/download/).
|
||
|
||
This release is compatible with MATLAB versions ranging from 9.5 (R2018b) to
|
||
23.2 (R2023b), and with GNU Octave versions ranging from 7.1.0 to 8.4.0 (NB:
|
||
the Windows package requires version 8.4.0 specifically).
|
||
|
||
Major user-visible changes
|
||
--------------------------
|
||
|
||
- The Sequential Monte Carlo sampler as described by Herbst and Schorfheide
|
||
(2014) is now available under value `hssmc` for option
|
||
`posterior_sampling_method`.
|
||
|
||
- New routines for perfect foresight simulation with expectation errors. In
|
||
such a scenario, agents make expectation errors in that the path they had
|
||
anticipated in period 1 is not realized exactly. More precisely, in some
|
||
simulation periods, they may receive new information that makes them revise
|
||
their anticipation for the path of future shocks. Also, under this scenario,
|
||
it is assumed that agents behave as under perfect foresight, *i.e.* they
|
||
make their decisions as if there were no uncertainty and they knew exactly
|
||
the path of future shocks; the new information that they may receive comes
|
||
as a total surprise to them. Available under new
|
||
`perfect_foresight_with_expectation_errors_setup` and
|
||
`perfect_foresight_with_expectation_errors_solver` commands, and
|
||
`shocks(learnt_in=…)`, `mshocks(learnt_in=…)` and `endval(learnt_in=…)`
|
||
blocks.
|
||
|
||
- New routines for IRF matching with stochastic simulations:
|
||
|
||
- Both frequentist (as in Christiano, Eichenbaum, and Evans, 2005) and
|
||
Bayesian (as in Christiano, Trabandt, and Walentin, 2010) IRF matching
|
||
approaches are implemented. The core idea of IRF matching is to treat
|
||
empirical impulse responses (*e.g.* given from an SVAR or local projection
|
||
estimation) as data and select model parameters that align the model’s
|
||
IRFs closely with their empirical counterparts.
|
||
|
||
- Available under option `mom_method = irf_matching` option to the
|
||
`method_of_moments` command.
|
||
|
||
- New blocks `matched_irfs` and `matched_irfs_weights` for specifying the
|
||
values and weights of the empirical impulse response functions.
|
||
|
||
- Pruning à la Andreasen et al. (2018) is now available at an arbitrary
|
||
approximation order when performing stochastic simulations with
|
||
`stoch_simul`, and at 3rd order when performing particle filtering.
|
||
|
||
- New `log` option to the `var` statement. In addition to the endogenous
|
||
variable(s) thus declared, this option also triggers the creation of
|
||
auxiliary variable(s) equal to the log of the corresponding endogenous
|
||
variable(s). For example, given a `var(log) y;` statement, two endogenous
|
||
will be created (`y` and `LOG_y`), and an auxiliary equation linking the two
|
||
will also be added (equal to `y = exp(LOG_y);`). Moreover, every occurrence
|
||
of `y` in the model will be replaced by `exp(LOG_y)`. This option is, for
|
||
example, useful for performing a loglinear approximation of some variable(s)
|
||
in the context of a first-order stochastic approximation; or for ensuring
|
||
that the variable(s) stay(s) in the definition domain of the function
|
||
defining the steady state or the dynamic residuals when the nonlinear solver
|
||
is used.
|
||
|
||
- New model editing features
|
||
|
||
- Multiple `model` blocks are now supported (this was already working but
|
||
not explicitly documented).
|
||
|
||
- Multiple `estimated_params` blocks now concatenate their contents (instead
|
||
of overwriting previous ones, which was the former undocumented behavior);
|
||
an `overwrite` option has been added to provide the old behavior.
|
||
|
||
- New `model_options` statement to set model options in a global fashion.
|
||
|
||
- New `model_remove` command to remove equations.
|
||
|
||
- New `model_replace` block to replace equations.
|
||
|
||
- New `var_remove` command to remove variables (or parameters).
|
||
|
||
- New `estimated_params_remove` block to remove estimated parameters.
|
||
|
||
- Stochastic simulations
|
||
|
||
- Performance improvements for simulation of the solution under perturbation
|
||
and for particle filtering at higher order (⩾ 3).
|
||
|
||
- Performance improvement for the first order perturbation solution using
|
||
either cycle reduction (`dr=cycle_reduction` option) or logarithmic
|
||
reduction (`dr=logarithmic_reduction`).
|
||
|
||
- New `nomodelsummary` option to the `stoch_simul` command, to suppress the
|
||
printing of the model summary and the covariance of the exogenous shocks.
|
||
|
||
- Estimation
|
||
|
||
- A truncated normal distribution can now be specified as a prior, using the
|
||
3rd and 4th parameters of the `estimated_params` block as the bounds.
|
||
|
||
- New `conditional_likelihood` option to the `estimation` command. When the
|
||
option is set, instead of using the Kalman filter to evaluate the
|
||
likelihood, Dynare will evaluate the conditional likelihood based on the
|
||
first-order reduced form of the model by assuming that the initial state
|
||
vector is at its steady state.
|
||
|
||
- New `additional_optimizer_steps` option to the `estimation` command to
|
||
trigger the sequential execution of several optimizers when looking for
|
||
the posterior mode.
|
||
|
||
- The `generate_trace_plots` command now allows comparing multiple chains.
|
||
|
||
- The Geweke and Raftery-Lewis convergence diagnostics will now also be
|
||
displayed when `mh_nblocks>1`.
|
||
|
||
- New `robust`, `TolGstep`, and `TolGstepRel` options to the optimizer
|
||
available under `mode_compute=5` (“newrat”).
|
||
|
||
- New `brooks_gelman_plotrows` option to the `estimation` command for
|
||
controlling the number of parameters to depict along the rows of the
|
||
figures depicting the Brooks and Gelman (1998) convergence diagnostics.
|
||
|
||
- New `mh_init_scale_factor` option to the `estimation` command tor govern
|
||
the overdispersion of the starting draws when initializing several Monte
|
||
Carlo Markov Chains. This option supersedes the `mh_init_scale` option,
|
||
which is now deprecated.
|
||
|
||
- Steady state computation
|
||
|
||
- Steady state computation now accounts for occasionally-binding constraints
|
||
of mixed-complementarity problems (as defined by `mcp` tags).
|
||
|
||
- New `tolx` option to the `steady` command for governing the termination
|
||
based on the step tolerance.
|
||
|
||
- New `fsolve_options` option to the `steady` command for passing options to
|
||
`fsolve` (in conjunction with the `solve_algo=0` option).
|
||
|
||
- New option `from_initval_to_endval` option to the `homotopy_setup` block,
|
||
for easily computing homotopy from initial to terminal steady state (when
|
||
the former is already computed).
|
||
|
||
- New `non_zero` option to `resid` command to restrict display to non-zero
|
||
residuals.
|
||
|
||
- Perfect foresight
|
||
|
||
- Significant performance improvement of the `stack_solve_algo=1` option to
|
||
the `perfect_foresight_solver` command (Laffargue-Boucekkine-Juillard
|
||
algorithm) when used in conjunction with options `block` and/or `bytecode`
|
||
of the `model` block.
|
||
|
||
- New `relative_to_initval` option to the `mshocks` block, to use the
|
||
initial steady state as a basis for the multiplication when there is an
|
||
`endval` block.
|
||
|
||
- New `static_mfs` option to the `model` block (and to the `model_options`
|
||
command), for controlling the minimum feedback set computation for the
|
||
static model. It defaults to `0` (corresponding to the behavior in Dynare
|
||
version 5).
|
||
|
||
- Various improvements to homotopy
|
||
|
||
- New `endval_steady` option to the `perfect_foresight_setup` command for
|
||
computing the terminal steady state at the same time as the transitory
|
||
dynamics (and new options `steady_solve_algo`, `steady_tolf`,
|
||
`steady_tolx`, `steady_maxit` and `steady_markowitz` for controlling the
|
||
steady state nonlinear solver).
|
||
|
||
- New `homotopy_linearization_fallback` and
|
||
`homotopy_marginal_linearization_fallback` options to the
|
||
`perfect_foresight_solver` command to get an approximate solution when
|
||
homotopy fails to go to 100%.
|
||
|
||
- New `homotopy_initial_step_size`, `homotopy_min_step_size`,
|
||
`homotopy_step_size_increase_success_count` and
|
||
`homotopy_max_completion_share` options to the
|
||
`perfect_foresight_solver` command to fine tune the homotopy behavior.
|
||
|
||
- Purely backward, forward and static models are now supported by the
|
||
homotopy procedure.
|
||
|
||
- The `stack_solve_algo=1` and `stack_solve_algo=6` options of the
|
||
`perfect_foresight_solver` command were merged and are now synonymous.
|
||
They both provide the Laffargue-Boucekkine-Juillard algorithm and work
|
||
with and without the `block` and `bytecode` options of the `model` block.
|
||
Using `stack_solve_algo=1` is now recommended, but `stack_solve_algo=6` is
|
||
kept for backward compatibility.
|
||
|
||
- OccBin
|
||
|
||
- New `simul_reset_check_ahead_periods` option to the `occbin_setup` and
|
||
`occbin_solver` commands, for resetting `check_ahead_periods` in each
|
||
simulation period.
|
||
|
||
- new `simul_max_check_ahead_periods`, `likelihood_max_check_ahead_periods`,
|
||
and `smoother_max_check_ahead_periods` options to the `occbin_setup`
|
||
command, for truncating the number of periods for which agents check ahead
|
||
which regime is present.
|
||
|
||
- Optimal policy
|
||
|
||
- The `osr` command now accepts the `analytic_derivation` and
|
||
`analytic_derivation_mode` options.
|
||
|
||
- The `evaluate_planner_objective` command now computes the unconditional
|
||
welfare for higher-order approximations (⩾ 3).
|
||
|
||
- New `periods` and `drop` options to the `evaluate_planner_objective`
|
||
command.
|
||
|
||
- Semi-structural models
|
||
|
||
- New `pac_target_info` block for decomposing the PAC target into an
|
||
arbitrary number of components. Furthermore, in the presence of such a
|
||
block, the new `pac_target_nonstationary` operator can be used to select
|
||
the non stationary part of the target (typically useful in the error
|
||
correction term of the PAC equation).
|
||
|
||
- New `kind` option to the `pac_model` command. This option allows the user
|
||
to select the formula used to compute the weights on the VAR companion
|
||
matrix variables that are used to form PAC expectations.
|
||
|
||
- Performance improvement to `solve_algo=12` and `solve_algo=14`, which
|
||
significantly accelerates the simulation of purely backward, forward and
|
||
static models with the `perfect_foresight_solver` command and the routines
|
||
for semi-structural models.
|
||
|
||
- dseries classes
|
||
|
||
- The `remove` and `remove_` methods now accept a list of variables (they
|
||
would previously only accept a single variable).
|
||
|
||
- New MATLAB/Octave command `dplot` to plot mathematical expressions
|
||
generated from variables fetched from (different) dseries objects.
|
||
|
||
- Misc
|
||
|
||
- New `display_parameter_values` command to print the parameter values in
|
||
the command window.
|
||
|
||
- New `collapse_figures_in_tabgroup` command to dock all figures.
|
||
|
||
- Performance improvement for the `use_dll` option of the `model` block. The
|
||
preprocessor now takes advantage of parallelization when compiling the MEX
|
||
files.
|
||
|
||
- New mathematical primitives available: complementary error function
|
||
(`erfc`), hyperbolic functions (`cosh`, `sinh`, `tanh`, `acosh`, `asinh`,
|
||
`atanh`).
|
||
|
||
- New `last_simulation_period` option to the `initval_file` command.
|
||
|
||
- The `calib_smoother` command now accepts the `nobs` and
|
||
`heteroskedastic_filter` options.
|
||
|
||
- Under the MATLAB Desktop, autocompletion is now available for the `dynare`
|
||
command and other CLI commands (thanks to Eduard Benet Cerda from
|
||
MathWorks).
|
||
|
||
- Model debugging: The preprocessor now creates files for evaluating the
|
||
left- and right-hand sides of model equations separately. For a model file
|
||
called `ramst.mod`, you can call
|
||
`[lhs,rhs]=ramst.debug.static_resid(y,x,params);` (for the static model)
|
||
and `[lhs,rhs]=ramst.debug.dynamic_resid(y,x,params,steady_state);` (for
|
||
the dynamic model), where `y` are the endogenous, `x` the exogenous,
|
||
`params` the parameters, and `steady_state` is self-explanatory. NB: In
|
||
the dynamic case, the vector `y` of endogenous must have 3n elements
|
||
where n is the number of endogenous (including auxiliary ones); the
|
||
first n elements correspond to the lagged values, the middle n
|
||
elements to the contemporaneous values, and the last n elements to the
|
||
lead values.
|
||
|
||
- New interactive MATLAB/Octave command `search` for listing the equations
|
||
in which given variable(s) appear (requires `json` command line option).
|
||
|
||
- The `model_info` command allows to print the block decomposition even if
|
||
the `block` option of the `model` block has not been used, by specifying
|
||
the new options `block_static` and `block_dynamic`.
|
||
|
||
- There is now a default value for the global initialization file
|
||
(`GlobalInitFile` option of the configuration file): the `global_init.m`
|
||
in the Dynare configuration directory (typically
|
||
`$HOME/.config/dynare/global_init.m` under Linux and macOS, and
|
||
`c:\Users\USERNAME\AppData\Roaming\dynare\global_init.m` under Windows).
|
||
|
||
- For those compiling Dynare from source, the build system has been entirely
|
||
rewritten and now uses Meson; as a consequence, it is now faster and
|
||
easier to understand.
|
||
|
||
- References:
|
||
|
||
- Andreasen, Martin M., Jesús Fernández-Villaverde, and Juan Rubio-Ramírez
|
||
(2018): “The Pruned State-Space System for Non-Linear DSGE Models: Theory
|
||
and Empirical Applications,” *Review of Economic Studies*, 85(1), 1-49.
|
||
- Brooks, Stephen P., and Andrew Gelman (1998): “General methods for
|
||
monitoring convergence of iterative simulations,” *Journal of Computational
|
||
and Graphical Statistics*, 7, pp. 434–455.
|
||
- Christiano, Eichenbaum and Charles L. Evans (2005): “Nominal Rigidities and
|
||
the Dynamic Effects of a Shock to Monetary Policy,” *Journal of Political
|
||
Economy*, 113(1), 1–45.
|
||
- Christiano, Lawrence J., Mathias Trabandt, and Karl Walentin (2010): “DSGE
|
||
Models for Monetary Policy Analysis,” In: *Handbook of Monetary Economics
|
||
3*, 285–367.
|
||
- Herbst, Edward and Schorfheide, Frank (2014): "Sequential Monte Carlo
|
||
Sampling for DSGE Models," *Journal of Applied Econometrics*, 29,
|
||
1073-1098.
|
||
|
||
Incompatible changes
|
||
--------------------
|
||
|
||
- The default value of the `mode_compute` option of the `estimation` command
|
||
has been changed to `5` (it was previously `4`).
|
||
|
||
- When using block decomposition (with the `block` option of the `model`
|
||
block), the option `mfs` now defaults to `1`. This setting should deliver
|
||
better performance in perfect foresight simulation on most models.
|
||
|
||
- The default location for the configuration file has changed. On Linux and
|
||
macOS, the configuration file is now searched by default under
|
||
`dynare/dynare.ini` in the configuration directories defined by the XDG
|
||
specification (typically `$HOME/.config/dynare/dynare.ini` for the
|
||
user-specific configuration and `/etc/xdg/dynare/dynare.ini` for the
|
||
system-wide configuration, the former having precedence over the latter).
|
||
Under Windows, the configuration file is now searched by default in
|
||
`%APPDATA%\dynare\dynare.ini` (typically
|
||
`c:\Users\USERNAME\AppData\Roaming\dynare\dynare.ini`).
|
||
|
||
- The information stored in `oo_.endo_simul, oo_.exo_simul`, and `oo_.irfs` is
|
||
no longer duplicated in the base workspace. New helper functions
|
||
`send_endogenous_variables_to_workspace`,
|
||
`send_exogenous_variables_to_workspace`, and `send_irfs_to_workspace` have
|
||
been introduced to explicitly request these outputs and to mimic the old
|
||
behavior.
|
||
|
||
- The `dynare_sensitivity` command has been renamed `sensitivity`. The old
|
||
name is still accepted but triggers a warning.
|
||
|
||
- The syntax `resid(1)` is no longer supported.
|
||
|
||
- The `mode_compute=6` option to the `estimation` command now recursively
|
||
updates the covariance matrix across the `NumberOfMh` Metropolis-Hastings
|
||
runs, starting with the `InitialCovarianceMatrix` in the first run, instead
|
||
of computing it from scratch in every Metropolis-Hastings run.
|
||
|
||
- The `periods` command has been removed.
|
||
|
||
- The `Sigma_e` command has been removed.
|
||
|
||
- The `block` option of the `model` block no longer has an effect when used in
|
||
conjunction with `stoch_simul` or `estimation` commands.
|
||
|
||
- The Dynare++ executable is no longer distributed since almost all of its
|
||
functionalities have been integrated inside Dynare for MATLAB/Octave.
|
||
|
||
- A macro-processor variable defined without a value (such as `@#define var`
|
||
in the `.mod` file or alternatively `-Dvar` on the `dynare` command line) is
|
||
now assigned the `true` logical value (it was previously assigned `1`).
|
||
|
||
- The `parallel_slave_open_mode` option of the `dynare` command has been
|
||
renamed `parallel_follower_open_mode`.
|
||
|
||
- The `static` option of the `model_info` command is now deprecated and is
|
||
replaced by the `block_static` option.
|
||
|
||
Bugs that were present in 5.5 and that have been fixed in 6.0
|
||
-------------------------------------------------------------
|
||
|
||
* The `mh_initialize_from_previous_mcmc` option of the `estimation` command
|
||
would not work if estimation was conducted with a different prior and the
|
||
last draw in the previous MCMC fell outside the new prior bounds
|
||
* When specifying a generalized inverse Gamma prior, the hyperparameter
|
||
computation would erroneously ignore the resulting mean shift
|
||
* When using the `mh_recover` option of the `estimation` command, the status
|
||
bar always started at zero instead of showing the overall progress of the
|
||
recovered chain
|
||
* The `model_diagnostics` command would fail to check the correctness of
|
||
user-defined steady state files
|
||
* GSA: LaTeX output was not working as expected
|
||
* Forecasts and filtered variables could not be retrieved with the
|
||
`heteroskedastic_shocks` block
|
||
* The OccBin smoother would potentially not display all smoothed shocks with
|
||
`heteroskedastic_filter` option
|
||
* The OccBin smoother would crash if the number of requested periods was
|
||
smaller than the data length
|
||
* The multivariate OccBin smoother would return wrong results if the constraint
|
||
was binding in the first period
|
||
* The `plot_shock_decomposition` command would fail with the `init2shocks`
|
||
block if the `initial_condition_decomposition` was not run before
|
||
* LaTeX output under Windows failed to compile for `plot_priors=1` option of
|
||
the `estimation` command and Brooks and Gelman (1998) convergence diagnostics
|
||
* The plot produced by the `shock_decomposition` command was too big, making
|
||
the close button inaccessible
|
||
* Monthly dates for October, November and December (*i.e.* with a 2-digit month
|
||
number) were not properly interpreted by the preprocessor
|
||
* Theoretical moments computed by `stoch_simul` at `order=2` with `pruning`
|
||
would not contain unconditional and conditional variance decomposition
|
||
|
||
|
||
Announcement for Dynare 5.5 (on 2023-10-23)
|
||
===========================================
|
||
|
||
We are pleased to announce the release of Dynare 5.5.
|
||
|
||
This maintenance release fixes various bugs.
|
||
|
||
The Windows, macOS and source packages are already available for download at
|
||
[the Dynare website](https://www.dynare.org/download/).
|
||
|
||
All users are strongly encouraged to upgrade.
|
||
|
||
This release is compatible with MATLAB versions ranging from 8.3 (R2014a) to
|
||
23.2 (R2023b), and with GNU Octave version 8.3.0 (under Windows).
|
||
|
||
Note for macOS users with an Apple Silicon processor: this is the first Dynare
|
||
release that comes with native Apple Silicon (arm64) support under MATLAB.
|
||
Please download the corresponding package, to be used with MATLAB R2023b for
|
||
Apple Silicon.
|
||
|
||
Here is a list of the problems identified in version 5.4 and that have been
|
||
fixed in version 5.5:
|
||
|
||
* In a stochastic context, results could be incorrect if an endogenous with a
|
||
lead ⩾ 2 or an exogenous with a lead ⩾ 1 appeared in the argument(s) of a
|
||
call to a (nonlinear) external function
|
||
* With the `use_dll` option of the `model` block, the expression `sign(x)`
|
||
would evaluate to ±1 instead of 0 if `x=0`
|
||
* If the guess value given to the `steady` command was such that the residuals
|
||
were all below tolerance, except some that are `NaN`, then this guess value
|
||
was incorrectly accepted as the solution to the steady state problem
|
||
* The `method_of_moments` command with GMM was ignoring the
|
||
`analytic_standard_errors` option when using `mode_compute=4`
|
||
* Homotopy with the `extended_path` command at `order=0` was broken
|
||
* The `parallel_use_psexec` command-line option was ignored
|
||
* With the `bytecode` option of the `model` block, using the operators `abs()`,
|
||
`cbrt()` and `sign()` would lead to a crash
|
||
* The `fast` command-line option was broken under MATLAB with Windows
|
||
* Ramsey steady state computation could fail if an `expectation` or `diff`
|
||
operator was present in the model
|
||
* A crash could occur if some external function call was present in an
|
||
auxiliary variable
|
||
* The `endogenous_prior` option of the `estimation` command could erroneously
|
||
display a warning message about missing observations
|
||
* The `model_comparison` command would crash if the `.mod` file name had less
|
||
than four characters
|
||
* The `shock_decomposition` command would overwrite previously stored smoother
|
||
results
|
||
* The `x13` interface in dseries did not handle missing values, particularly at
|
||
the beginning of a series
|
||
* The `x13` interface in dseries would occasionally crash under Windows with
|
||
segmentation violations
|
||
* OccBin: estimation would crash if a previous `shocks(surprise)` simulation
|
||
was conducted
|
||
* The `internals` command would not find the location of the `_results.mat`
|
||
file
|
||
* The `prior optimize` command would not work with `mode_compute=5`
|
||
|
||
|
||
Announcement for Dynare 5.4 (on 2023-03-22)
|
||
===========================================
|
||
|
||
We are pleased to announce the release of Dynare 5.4.
|
||
|
||
This maintenance release fixes various bugs.
|
||
|
||
The Windows, macOS and source packages are already available for download at
|
||
[the Dynare website](https://www.dynare.org/download/).
|
||
|
||
All users are strongly encouraged to upgrade.
|
||
|
||
This release is compatible with MATLAB versions ranging from 8.3 (R2014a) to
|
||
9.14 (R2023a), and with GNU Octave version 8.1.0 (under Windows).
|
||
|
||
Note for macOS users with an Apple Silicon processor, and who are also MATLAB
|
||
users: the official MATLAB version for use on those processors is still the
|
||
Intel version (running through Rosetta 2), so the official Dynare package for
|
||
download on our website is built for Intel only. However, since Mathworks has
|
||
released a beta version of MATLAB for Apple Silicon, we created a beta package
|
||
of Dynare that you can try with it. See this forum thread for more details:
|
||
https://forum.dynare.org/t/testers-wanted-release-of-dynare-5-x-beta-for-apple-silicon-m1-m2-chips/20499
|
||
|
||
Here is a list of the problems identified in version 5.3 and that have been
|
||
fixed in version 5.4:
|
||
|
||
* Files installed through the Windows installer had too weak permissions and
|
||
could be modified by unpriviledged local users, if the default installation
|
||
location (`c:\dynare\`) had been chosen
|
||
* Estimation:
|
||
+ the `load_results_after_load_mh` option would not find the location of the
|
||
results file
|
||
+ the computation of prior/posterior statistics would crash if the value of
|
||
the `filter step_ahead` option was greater than 1 without requesting a
|
||
`forecast` or the `smoother`
|
||
+ NaN or complex parameters returned by steady state files were not correctly
|
||
handled
|
||
+ `analytical_derivation` could be triggered with `endogenous_prior` but
|
||
would not take the endogenous prior into account for the Jacobian and
|
||
Hessian
|
||
* OccBin:
|
||
+ running the `calib_smoother` command with `smoother_inversion_filter` would
|
||
crash unless `likelihood_inversion_filter` was also specified
|
||
+ running the piecewise Kalman smoother would crash if an error was
|
||
encountered during computation of the decision rules
|
||
* PAC equation estimation through iterative OLS would crash if the auxiliary
|
||
model contained a constant
|
||
* The variable label was incorrect for leads and lags of exogenous variables in
|
||
the display of decision rules and in the `model_info` command
|
||
* Declaring a `trend_var` variable while not having a `var(deflator=...)`
|
||
statement would cause the preprocessor to crash
|
||
* Macro processor: error messages following a `@#define`, `@#include` or
|
||
`@#includepath` directive could in some cases point to a line number off by 1
|
||
* Perfect foresight simulations: the `debug` option would not preserve
|
||
sparsity, causing out of memory errors
|
||
|
||
|
||
Announcement for Dynare 5.3 (on 2022-11-21)
|
||
===========================================
|
||
|
||
We are pleased to announce the release of Dynare 5.3.
|
||
|
||
This maintenance release fixes various bugs.
|
||
|
||
The Windows, macOS and source packages are already available for download at
|
||
[the Dynare website](https://www.dynare.org/download/).
|
||
|
||
All users are strongly encouraged to upgrade.
|
||
|
||
This release is compatible with MATLAB versions ranging from 8.3 (R2014a) to
|
||
9.13 (R2022b), and with GNU Octave version 7.3.0 (under Windows).
|
||
|
||
Note for macOS users with an Apple Silicon processor, and who are also MATLAB
|
||
users: the official MATLAB version for use on those processors is still the
|
||
Intel version (running through Rosetta 2), so the official Dynare package for
|
||
download on our website is built for Intel only. However, since Mathworks has
|
||
released a beta version of MATLAB for Apple Silicon, we created a beta package
|
||
of Dynare that you can try with it. See this forum thread for more details:
|
||
https://forum.dynare.org/t/testers-wanted-release-of-dynare-5-x-beta-for-apple-silicon-m1-m2-chips/20499
|
||
|
||
Here is a list of the problems identified in version 5.2 and that have been
|
||
fixed in version 5.3:
|
||
|
||
* The `notmpterms` option of the `dynare` command would trigger a crash if the
|
||
`block` option of the `model` block was used
|
||
* When the `use_dll` option was passed to the `model` block, the operator `abs`
|
||
in the `model` block incorrectly returned only the integer part of the
|
||
absolute value
|
||
* Problems with OccBin (`estimation` and `occbin_solver`):
|
||
+ the piecewise linear Kalman filter (PKF) could crash if the model solution
|
||
could not be computed for a parameter draw
|
||
+ the piecewise linear Kalman filter (PKF) could crash mode finding if an
|
||
error was encountered
|
||
+ the piecewise linear Kalman filter (PKF) would crash in the one-constraint
|
||
case if the fixed point algorithm did not converge
|
||
+ the smoother could crash due to the initial states being empty and when
|
||
encountering errors
|
||
+ the smoother fields of `oo_` contained wrong results if the piecewise
|
||
linear Kalman smoother did not converge
|
||
+ in pathological cases, seemingly periodic solutions were incorrectly
|
||
accepted as true solutions
|
||
* Problems related to Bayesian or ML estimation:
|
||
+ `mh_recover` and `load_mh_file` would not find the saved proposal density
|
||
and had to rely on the `_mode` file
|
||
+ When requesting `bayesian_irf` together with `loglinear`, the resulting
|
||
IRFs would be incorrect
|
||
+ the diffuse Kalman smoother initialization (`lik_init=3`) was wrong when
|
||
the state transition matrix contained a column of zeros
|
||
+ the diffuse Kalman smoother initialization (`lik_init=3`) was wrong when
|
||
the shock covariance matrix was not diagonal
|
||
* Problems with perfect foresight simulations
|
||
(`perfect_foresight_solver` command):
|
||
+ when solving purely forward or backward models with the PATH solver
|
||
(`solve_algo=10`), specified `mcp` tags were ignored
|
||
+ the `linear_approximation` option would ignore the `nocheck` option for not
|
||
checking the correctness of the steady state
|
||
+ in the presence of a steady state file or a `steady_state_model` block, the
|
||
contents of the last `initval` or `endval` block would be ignored and
|
||
replaced by a steady state
|
||
* The `identification` and `dynare_sensitivity` commands would not pass a
|
||
`graph_format` option to other subsequent commands
|
||
* Problems with sensitivity analysis (`dynare_sensitivity` command)
|
||
+ stability mapping incorrectly imposed a parameter limit of 52
|
||
+ prior sampling did not work with when a user specified `prior_trunc=0`
|
||
* `dynare++`: the `dynare_simul.m` would not run
|
||
* The `model_diagnostics` command would not work with `block_trust_region`
|
||
algorithms (`solve_algo=13,14`)
|
||
|
||
Announcement for Dynare 5.2 (on 2022-07-27)
|
||
===========================================
|
||
|
||
We are pleased to announce the release of Dynare 5.2.
|
||
|
||
This maintenance release fixes various bugs.
|
||
|
||
The Windows, macOS and source packages are already available for download at
|
||
[the Dynare website](https://www.dynare.org/download/).
|
||
|
||
All users are strongly encouraged to upgrade.
|
||
|
||
This release is compatible with MATLAB versions ranging from 8.3 (R2014a) to
|
||
9.12 (R2022a), and with GNU Octave version 6.4.0 (under Windows).
|
||
|
||
Note for macOS users with an Apple Silicon processor, and who are also MATLAB
|
||
users: the official MATLAB version for use on those processors is still the
|
||
Intel version (running through Rosetta 2), so the official Dynare package for
|
||
download on our website is built for Intel only. However, since Mathworks has
|
||
released a beta version of MATLAB for Apple Silicon, we created a beta package
|
||
of Dynare that you can try with it. See this forum thread for more details:
|
||
https://forum.dynare.org/t/testers-wanted-release-of-dynare-5-x-beta-for-apple-silicon-m1-m2-chips/20499
|
||
|
||
Here is a list of the problems identified in version 5.1 and that have been
|
||
fixed in version 5.2:
|
||
|
||
* Problems with the `steady_state` operator:
|
||
+ if a `steady_state` operator contained an algebraic expression appearing
|
||
multiple times in the model and sufficiently complex to trigger the
|
||
creation of a temporary term, then the result of the operator would be
|
||
wrong (the operator was essentially ignored)
|
||
+ if a `steady_state` operator contained a call to an external function, then
|
||
the result of the operator would be wrong (the operator was essentially
|
||
ignored). A proper fix to this problem would require substantial
|
||
architectural changes, so for now it is forbidden to use an external
|
||
function inside a `steady_state` operator
|
||
* Pruning in particle filtering at order 2 was not using the exact same formula
|
||
as the original Kim et al. (2008) paper. A second-order term entered the
|
||
cross-product between states and shocks, where it should have been a
|
||
first-order term. This however would not lead to explosive trajectories in
|
||
practice
|
||
* The `simul_replic` option of the `stoch_simul` command would not store the
|
||
binary file in the `Output` folder
|
||
* Problems with Ramsey policy (`ramsey_model`/`ramsey_policy` commands):
|
||
+ steady state files would not work when auxiliary variables included
|
||
Lagrange multipliers
|
||
+ for linear competitive equilibrium laws of motion, welfare evaluated at
|
||
higher order was erroneously equated to steady state welfare
|
||
* The `discretionary_policy` command would not always correctly infer the
|
||
number of instruments and equations, leading to spurious error messages
|
||
* Perfect foresight simulations of purely forward or backward models would
|
||
crash if complex numbers were encountered
|
||
* When using both `block` and `bytecode` options of the `model` block, if the
|
||
model was such that a sufficiently complex algebraic expression appeared both
|
||
in the residuals and in the derivatives, leading to the creation of a
|
||
temporary term, then the results could be incorrect under some circumstances
|
||
* When using the `bytecode` option of the `model` block, leads of more than
|
||
+127 or lags of less than -128 were not correctly handled
|
||
* Problems with the solver under occasionally binding constraints
|
||
(`occbin_solver` command):
|
||
+ when solving the baseline regime, it would not properly handle errors like
|
||
Blanchard-Kahn violations
|
||
+ the piecewise linear Kalman filter (PKF) would crash if the model solution
|
||
could not be computed for a parameter draw
|
||
+ the `oo_.FilteredVariablesKStepAhead` and `oo_.UpdatedVariables`
|
||
MATLAB/Octave variables would contain the steady state twice
|
||
+ the inversion filter would crash if the `filter_step_ahead` or
|
||
`state_uncertainty` options were requested
|
||
+ the PKF would crash if `filter_step_ahead=1` was specified
|
||
+ the PKF would crash if the `state_uncertainty` option was specified
|
||
together with the `smoother_redux` option
|
||
+ the last regime before the system is back to normal times in the
|
||
two-constraints case could be wrongly set, possibly leading to wrong
|
||
simulations, lack of convergence or crashes
|
||
* Problems with identification (`identification` command):
|
||
+ with `prior_mc>1` specified, it would incorrectly display the share of rank
|
||
deficient Jacobians
|
||
+ it would crash during plotting or displaying identification strength when
|
||
the necessary identification criteria based on moments could not be
|
||
computed
|
||
* The `plot_shock_decomposition` command would crash if invalid field names
|
||
were encountered
|
||
* The `shock_decomposition` command would not pass specified initial dates to
|
||
generated plots
|
||
* Various pathological cases encountered in steady state finding could lead to
|
||
a crash
|
||
* The `solve_algo=0` option of the `steady` command would not honor `tolx`
|
||
* In the `dynare_sensitivity` command, stability mapping would not correctly
|
||
honor the prior bounds
|
||
|
||
|
||
Announcement for Dynare 5.1 (on 2022-04-06)
|
||
===========================================
|
||
|
||
We are pleased to announce the release of Dynare 5.1.
|
||
|
||
This maintenance release fixes various bugs.
|
||
|
||
The Windows, macOS and source packages are already available for download at
|
||
[the Dynare website](https://www.dynare.org/download/).
|
||
|
||
All users are strongly encouraged to upgrade.
|
||
|
||
This release is compatible with MATLAB versions ranging from 8.3 (R2014a) to
|
||
9.12 (R2022a), and with GNU Octave version 6.4.0 (under Windows).
|
||
|
||
Here is a list of the problems identified in version 5.0 and that have been
|
||
fixed in version 5.1:
|
||
|
||
* Various problems with perfect foresight simulations in combination with
|
||
`block` and/or `bytecode` options of the `model` block:
|
||
+ Simulation with `bytecode` and `stack_solve_algo=4` could give incorrect
|
||
results if the model has a linear block of type “Solve two boundaries
|
||
simple/complete”
|
||
+ Simulation with `bytecode` and `stack_solve_algo=1` could fail to converge
|
||
+ Simulation with `block` (but without `bytecode`) and `stack_solve_algo=1`
|
||
gave wrong results in the last simulation period if the model has a block
|
||
of type “Solve two boundaries simple/complete”
|
||
+ Simulation with `bytecode` and `block` would give incorrect results if the
|
||
model has a linear block of type “Solve forward simple/complete”
|
||
+ Simulation with `block` (but without `bytecode`) would crash or give
|
||
incorrect results if the model has a block of type “Solve forward/backward
|
||
simple/complete”
|
||
+ Simulation with `bytecode`, `block` and `stack_solve_algo={0,1,4}` would
|
||
crash or give incorrect results if the model has a block of type “Solve
|
||
forward/backward complete”
|
||
+ Simulation with `block` (but without `bytecode`) gave incorrect results if
|
||
the model has a block of type “Solve backward simple/complete”
|
||
+ Simulation with `block` (with or without `bytecode`) could give incorrect
|
||
results if the model has a nonlinear block of type “Solve forward/backward
|
||
simple/complete”
|
||
+ Simulation with `bytecode`, `block` and `stack_solve_algo=4` could give
|
||
incorrect results if the model has a block of type “Solve backward/forward
|
||
simple/complete” that follows a block of type “Solve two boundaries” (in
|
||
the sense of the dependency graph)
|
||
+ The convergence criterion in simulations with `block` (but without
|
||
`bytecode`) was incorrect: the value of the `tolf` option from the `steady`
|
||
command was used instead of the value of `tolf` option from the
|
||
`perfect_foresight_solver` command
|
||
* Various problems with steady state computation in combination with `block`
|
||
and/or `bytecode` options of the `model` block:
|
||
+ Steady state computation with `bytecode` and `block` could fail if some
|
||
equations are marked `[static]`
|
||
+ Steady state computation with `bytecode`, `block` and `solve_algo` ⩽ 4 or ⩾
|
||
9 could fail
|
||
+ Steady state computation with `bytecode`, `block` and `solve_algo=6` would
|
||
crash or give incorrect results if the model has a block of type “Solve
|
||
forward/backward complete”
|
||
* The `check` command would crash or give incorrect results when using the
|
||
`block` option of the `model` block and if the model has a block of type
|
||
“Solve backward complete”
|
||
* The `static` and `incidence` options of the `model_info` command did not work
|
||
as documented in the reference manual
|
||
* Various problems with the `method_of_moments` command:
|
||
+ It would crash if no `matched_moments` block is present
|
||
+ It would always load the full range of the first Excel sheet instead of the
|
||
`xls_range` of the specified `xls_sheet`
|
||
+ SMM would crash if a parameter draw triggers an error during
|
||
`additional_optimizer_steps = 13`
|
||
+ The `debug` option could not be passed to the command
|
||
* In the `estimation` command, the `scale_file` field of the
|
||
`posterior_sampler_options` option did not correctly load the scale
|
||
* The `moments_varendo` option of the `estimation` command could crash for
|
||
large models
|
||
* The `resid` command would not show `name` tags when used in conjunction with
|
||
the `ramsey_model` command
|
||
* Simulations with the `occbin_solver` command would not work if there is only
|
||
a surprise shock in the first period
|
||
* The Liu & West auxiliary particle filter could enter infinite loops
|
||
|
||
|
||
Announcement for Dynare 5.0 (on 2022-01-07)
|
||
===========================================
|
||
|
||
We are pleased to announce the release of Dynare 5.0.
|
||
|
||
This major release adds new features and fixes various bugs.
|
||
|
||
The Windows, macOS and source packages are already available for download at
|
||
[the Dynare website](https://www.dynare.org/download/).
|
||
|
||
All users are strongly encouraged to upgrade.
|
||
|
||
This release is compatible with MATLAB versions ranging from 8.3 (R2014a) to
|
||
9.11 (R2021b), and with GNU Octave version 6.4.0 (under Windows).
|
||
|
||
The new tools for semi-structural models and the improvements on the nonlinear
|
||
solvers were funded by the European Central Bank. Special thanks to Nikola
|
||
Bokan (ECB) for his contributions and numerous bug reports and fixes.
|
||
|
||
Major user-visible changes
|
||
--------------------------
|
||
|
||
- New routines for simulating semi-structural (backward) models where
|
||
some equations incorporate expectations based on future values of a VAR or
|
||
trend component model. See the `var_model`, `trend_component_model` and
|
||
`var_expectation_model` commands, and the `var_expectation` operator.
|
||
|
||
- New routines for simulating semi-structural models where some equations are
|
||
specified using the polynomial adjustment costs (PAC) approach, as in the
|
||
FRB/US model (see Brayton et al., 2014 and Brayton et al., 2000) and the
|
||
ECB-BASE model (see Angelini et al., 2019). The forward-looking terms of the
|
||
PAC equations can be computed either using a satellite VAR model, or using
|
||
full model-consistent expectations. See the `pac_model` command and the
|
||
`pac_expectation` operator.
|
||
|
||
- New Method of Moments toolbox that provides functionality to estimate
|
||
parameters by (i) Generalized Method of Moments (GMM) up to 3rd-order pruned
|
||
perturbation approximation or (ii) Simulated Method of Moments (SMM) up to
|
||
any perturbation approximation order. The toolbox is inspired by replication
|
||
codes accompanying Andreasen et al. (2018), Born and Pfeifer (2014), and
|
||
Mutschler (2018). It is accessible via the new `method_of_moments` command
|
||
and the new `matched_moments` block. Moreover, by default, a new non-linear
|
||
least squares optimizer based on `lsqnonlin` is used for minimizing the
|
||
method of moments objective function (available under `mode_compute=13`).
|
||
GMM can further benefit from using gradient-based optimizers (using
|
||
`analytic_standard_errors` option and/or passing `'Jacobian','on'` to the
|
||
optimization options) as the Jacobian of the moment conditions can be
|
||
computed analytically.
|
||
|
||
- Implementation of the Occbin algorithm by Guerrieri and Iacoviello (2015),
|
||
together with the inversion filter of Cuba-Borda, Guerrieri, Iacoviello, and
|
||
Zhong (2019) and the piecewise Kalman filter of Giovannini, Pfeiffer, and
|
||
Ratto (2021). It is available via the new block `occbin_constraints` and the
|
||
new commands `occbin_setup`, `occbin_solver`, `occbin_graph`, and
|
||
`occbin_write_regimes`.
|
||
|
||
- Stochastic simulations
|
||
|
||
- `stoch_simul` now supports theoretical moments at `order=3` with
|
||
`pruning`.
|
||
|
||
- `stoch_simul` now reports second moments based on the pruned state space
|
||
if the `pruning` option is set (in previous Dynare releases it would
|
||
report a second-order accurate result based on the linear solution).
|
||
|
||
- Estimation
|
||
|
||
- Performance optimization to pruned state space systems and Lyapunov
|
||
solvers.
|
||
|
||
- New option `mh_posterior_mode_estimation` to `estimation` to perform
|
||
mode-finding by running the MCMC.
|
||
|
||
- New heteroskedastic filter and smoother, where shock standard errors may
|
||
*unexpectedly* change in every period. Triggered by the
|
||
`heteroskedastic_filter` option of the `estimation` command, and
|
||
configured via the `heteroskedastic_shocks` block.
|
||
|
||
- New option `mh_tune_guess` for setting the initial value for
|
||
`mh_tune_jscale`.
|
||
|
||
- New option `smoother_redux` to `estimation` and `calib_smoother` to
|
||
trigger computing the Kalman smoother on a restricted state space instead
|
||
of the full one.
|
||
|
||
- New block `filter_initial_state` for setting the initial condition of the
|
||
Kalman filter/smoother.
|
||
|
||
- New option `mh_initialize_from_previous_mcmc` to the `estimation` command
|
||
that allows to pick initial values for a new MCMC from a previous one.
|
||
|
||
- The `xls_sheet` option of the `estimation` command now takes a quoted
|
||
string as value. The former unquoted syntax is still accepted, but no
|
||
longer recommended.
|
||
|
||
- New option `particle_filter_options` to set various particle filter options.
|
||
|
||
- Perfect foresight and extended path
|
||
|
||
- New specialized algorithm in `perfect_foresight_solver` to deal with
|
||
purely static problems.
|
||
|
||
- The `debug` option of `perfect_foresight_solver` provides debugging
|
||
information if the Jacobian is singular.
|
||
|
||
- In deterministic models (perfect foresight or extended path), exogenous
|
||
variables with lead/lags are now replaced by auxiliary variables. This
|
||
brings those models in line with the transformation done on stochastic
|
||
models. However, note that the transformation is still not exactly the same
|
||
between the two classes of models, because there is no need to take into
|
||
account the Jensen inequality for the latter. In deterministic models,
|
||
there is a one-to-one mapping between exogenous with lead/lags and
|
||
auxiliaries, while in stochastic models, an auxiliary endogenous may
|
||
correspond to a more complex nonlinear expression.
|
||
|
||
- Optimal policy
|
||
|
||
- Several improvements to `evaluate_planner_objective`:
|
||
|
||
- it now applies a consistent approximation order when doing the
|
||
computation;
|
||
- in addition to the conditional welfare, it now also provides the
|
||
unconditional welfare;
|
||
- in a stochastic context, it now works with higher order approximation
|
||
(only the conditional welfare is available for order ⩾ 3);
|
||
- it now also works in a perfect foresight context.
|
||
|
||
- `discretionary_policy` is now able to solve nonlinear models (it will
|
||
then use their first-order approximation, and the analytical steady state
|
||
must be provided).
|
||
|
||
- Identification
|
||
|
||
- New option `schur_vec_tol` to the `identification` command, for setting
|
||
the tolerance level used to find nonstationary variables in the Schur
|
||
decomposition of the transition matrix.
|
||
|
||
- The `identification` command now supports optimal policy.
|
||
|
||
- Shock decomposition
|
||
|
||
- The `fast_realtime` option of the `realtime_shock_decomposition` command
|
||
now accepts a vector of integers, which runs the smoother for all the
|
||
specified data vintages.
|
||
|
||
- Macro processor
|
||
|
||
- Macroprocessor variables can be defined without a value (they are
|
||
assigned integer 1).
|
||
|
||
- LaTeX and JSON outputs
|
||
|
||
- New `nocommutativity` option to the `dynare` command. This option tells
|
||
the preprocessor not to use the commutativity of addition and
|
||
multiplication when looking for common subexpressions. As a consequence,
|
||
when using this option, equations in various outputs (LaTeX, JSON…) will
|
||
appear as the user entered them (without terms or factors swapped). Note
|
||
that using this option may have a performance impact on the preprocessing
|
||
stage, though it is likely to be small.
|
||
|
||
- Model-local variables are now substituted out as part of the various
|
||
model transformations. This means that they will no longer appear in
|
||
LaTeX or in JSON files (for the latter, they are still visible with
|
||
`json=parse` or `json=check`).
|
||
|
||
- Compilation of the model (`use_dll` option)
|
||
|
||
- Block decomposition (option `block` of `model`) can now be used in
|
||
conjunction with the `use_dll` option.
|
||
|
||
- The `use_dll` option can now directly be given to the `dynare` command.
|
||
|
||
- dseries classes
|
||
|
||
- Routines for converting between time series frequencies (e.g. daily to
|
||
monthly) have been added.
|
||
|
||
- dseries now supports bi-annual and daily frequency data.
|
||
|
||
- dseries can now import data from [DBnomics](https://db.nomics.world), via
|
||
the [mdbnomics](https://git.dynare.org/dbnomics/mdbnomics) plugin. Note
|
||
that this does not yet work under Octave. For the time being, the
|
||
DBnomics plugin must be installed separately.
|
||
|
||
- Misc improvements
|
||
|
||
- The `histval_file` and `initval_file` commands have been made more
|
||
flexible and now have functionalities similar to the `datafile` option of
|
||
the `estimation` command.
|
||
|
||
- When using the `loglinear` option, the output from Dynare now clearly
|
||
shows that the results reported concern the log of the original variable.
|
||
|
||
- Options `block` and `bytecode` of `model` can now be used in conjunction
|
||
with model-local variables (variables declared with a pound-sign `#`).
|
||
|
||
- The `model_info` command now prints the typology of endogenous variables
|
||
for non-block decomposed models.
|
||
|
||
- The total computing time of a run (in seconds) is now saved to `oo_.time`.
|
||
|
||
- New `notime` option to the `dynare` command, to disable the printing and
|
||
the saving of the total computing time.
|
||
|
||
- New `parallel_use_psexec` command-line Windows-specific option for
|
||
parallel local clusters: when `true` (the default), use `psexec` to spawn
|
||
processes; when `false`, use `start`.
|
||
|
||
- When compiling from source, it is no longer necessary to pass the
|
||
`MATLAB_VERSION` version to the configure script; the version is now
|
||
automatically detected.
|
||
|
||
Incompatible changes
|
||
--------------------
|
||
|
||
- Dynare will now generally save its output in the `MODFILENAME/Output` folder
|
||
(or the `DIRNAME/Output` folder if the `dirname` option was specified)
|
||
instead of the main directory. Most importantly, this concerns the
|
||
`_results.mat` and the `_mode.mat` files.
|
||
|
||
- The structure of the `oo_.planner_objective` field has been changed, in
|
||
relation to the improvements to `evaluate_planner_objective`.
|
||
|
||
- The preprocessor binary has been renamed to `dynare-preprocessor`, and is
|
||
now located in a dedicated `preprocessor` subdirectory.
|
||
|
||
- The `dynare` command no longer accepts `output=dynamic` and `output=first`
|
||
(these options actually had no effect).
|
||
|
||
- The minimal required MATLAB version is now R2014a (8.3).
|
||
|
||
- The 32-bit support has been dropped for Windows.
|
||
|
||
Bugs that were present in 4.6.4 and that have been fixed in 5.0
|
||
---------------------------------------------------------------
|
||
|
||
* Equations marked with `static`-tags were not detrended when a `deflator` was
|
||
specified
|
||
* Parallel execution of `dsge_var` estimation was broken
|
||
* The preprocessor would incorrectly simplify forward-looking constant
|
||
equations of the form `x(+1)=0` to imply `x=0`
|
||
* Under some circumstances, the use of the `model_local_variable` statement
|
||
would lead to a crash of the preprocessor
|
||
* When using the `block`-option without `bytecode` the residuals of the static
|
||
model were incorrectly displayed
|
||
* When using `k_order_solver`, the `simult_` function ignored requested
|
||
approximation orders that differed from the one used to compute the decision
|
||
rules
|
||
* Stochastic simulations of the `k_order_solver` without `pruning` iterated on
|
||
the policy function with a zero shock vector for the first (non-endogenous)
|
||
period
|
||
* `estimation` would ignore the mean of non-zero observables if the mean was 0
|
||
for the initial parameter vector
|
||
* `mode_check` would crash if a parameter was estimated to be exactly 0
|
||
* `load_mh_file` would not be able to load the proposal density if the previous run
|
||
was done in parallel
|
||
* `load_mh_file` would not work with MCMC runs from Dynare versions before
|
||
4.6.2
|
||
* `ramsey_model` would not correctly work with `lmmcp`
|
||
* `ramsey_model` would crash if a non-scalar error code was encountered during
|
||
steady state finding.
|
||
* Using undefined objects in the `planner_objective` function would yield an
|
||
erroneous error message about the objective containing exogenous variables
|
||
* `model_diagnostics` did not correctly handle a previous `loglinear` option
|
||
* `solve_algo=3` (csolve) would ignore user-set `maxit` and `tolf` options
|
||
* The `planner_objective` values were not based on the correct initialization
|
||
of auxiliary variables (if any were present)
|
||
* The `nostrict` command line option was not ignoring unused endogenous
|
||
variables in `initval`, `endval`, and `histval`
|
||
* `prior_posterior_statistics_core` could crash for models with eigenvalues
|
||
very close to 1
|
||
* The display of the equation numbers in `debug` mode related to issues in the
|
||
Jacobian would not correctly take auxiliary equations into account
|
||
* The `resid` command was not correctly taking auxiliary and missing equations
|
||
related to optimal policy (`ramsey_model`, `discretionary_policy`) into
|
||
account
|
||
* `bytecode` would lock the `dynamic.bin` file upon encountering an exception,
|
||
requiring a restart of MATLAB to be able to rerun the file
|
||
* Estimation with the `block` model option would crash when calling the block
|
||
Kalman filter
|
||
* The `block` model option would crash if no `initval` statement was present
|
||
* Having a variable with the same name as the mod-file present in the base
|
||
workspace would result in a crash
|
||
* `oo_.FilteredVariablesKStepAheadVariances` was wrongly computed in the Kalman
|
||
smoother based on the previous period forecast error variance
|
||
* Forecasts after `estimation` would not work if there were lagged exogenous
|
||
variables present
|
||
* Forecasts after `estimation` with MC would crash if measurement errors were
|
||
present
|
||
* Smoother results would be infinity for auxiliary variables associated with
|
||
lagged exogenous variables
|
||
* In rare cases, the posterior Kalman smoother could crash due to previously
|
||
accepted draws violating the Blanchard-Kahn conditions when using an
|
||
unrestricted state space
|
||
* `perfect_foresight_solver` would crash for purely static problems
|
||
* Monte Carlo sampling in `identification` would crash if the minimal state
|
||
space for the Komunjer and Ng test could not be computed
|
||
* Monte Carlo sampling in `identification` would skip the computation of
|
||
identification statistics for all subsequent parameter draws if an error was
|
||
triggered by one draw
|
||
* The `--steps`-option of Dynare++ was broken
|
||
* `smoother2histval` would crash if variable names were too similar
|
||
* `smoother2histval` was not keeping track of whether previously stored results
|
||
were generated with `loglinear`
|
||
* The `initval_file` option was not supporting Dynare’s translation of a model
|
||
into a one lead/lag-model via auxiliary variables
|
||
|
||
References
|
||
----------
|
||
|
||
- Andreasen et al. (2018): “The pruned state-space system for non-linear DSGE
|
||
models: Theory and empirical applications,” Review of Economic Studies,
|
||
85(1), 1–49
|
||
|
||
- Angelini, Bokan, Christoffel, Ciccarelli and Zimic (2019): “Introducing
|
||
ECB-BASE: The blueprint the new ECB semi-structural model for the euro area,”
|
||
ECB Working Paper no. 2315
|
||
|
||
- Born and Pfeifer (2014): “Policy risk and the business cycle,” Journal of
|
||
Monetary Economics, 68, 68–85
|
||
|
||
- Brayton, Davis and Tulip (2000): “Polynomial adjustment costs in FRB/US,”
|
||
Unpublished manuscript
|
||
|
||
- Brayton, Laubach, and Reifschneider (2014): “The FRB/US Model: A tool for
|
||
macroeconomic policy analysis,” FEDS Notes. Washington: Board of Governors
|
||
of the Federal Reserve System, https://doi.org/10.17016/2380-7172.0012
|
||
|
||
- Cuba-Borda, Guerrieri, Iacoviello, and Zhong (2019): “Likelihood evaluation
|
||
of models with occasionally binding constraints,” Journal of Applied
|
||
Econometrics, 34(7), 1073–1085
|
||
|
||
- Giovannini, Pfeiffer, and Ratto (2021): “Efficient and robust inference of
|
||
models with occasionally binding constraints,” Working Paper 2021-03, Joint
|
||
Research Centre, European Commission
|
||
|
||
- Guerrieri and Iacoviello (2015): “OccBin: A toolkit for solving dynamic
|
||
models with occasionally binding constraints easily,” Journal of Monetary
|
||
Economics, 70, 22–38
|
||
|
||
- Mutschler (2018): “Higher-order statistics for DSGE models,” Econometrics
|
||
and Statistics, 6(C), 44–56
|
||
|
||
|
||
Announcement for Dynare 4.6.4 (on 2021-03-18)
|
||
=============================================
|
||
|
||
We are pleased to announce the release of Dynare 4.6.4.
|
||
|
||
This maintenance release fixes various bugs.
|
||
|
||
The Windows, macOS and source packages are already available for download at
|
||
[the Dynare website](https://www.dynare.org/download/).
|
||
|
||
All users are strongly encouraged to upgrade.
|
||
|
||
This release is compatible with MATLAB versions ranging from 7.9 (R2009b) to
|
||
9.10 (R2021a), and with GNU Octave version 6.2.0 (under Windows).
|
||
|
||
Here is a list of the problems identified in version 4.6.3 and that have been
|
||
fixed in version 4.6.4:
|
||
|
||
* Passing multiple shock values through a MATLAB/Octave vector in a `mshocks`
|
||
block would not work
|
||
* The `mode_compute=12` option was broken
|
||
* The `use_mh_covariance_matrix` option was ignored
|
||
* The `load_mh_file` option together with `mh_replic=0` would not allow
|
||
computing `moments_varendo` for a different list of variables
|
||
* The `forecast` option was ignored when using `mode_compute=0` without a
|
||
mode-file to execute the smoother
|
||
* The `discretionary_policy` command would crash in the presence of news shocks
|
||
* The `ramsey_constraints` block would crash if the constraints contained
|
||
defined `parameters`
|
||
* Identification would display a wrong error message if a unit root was present
|
||
and `diffuse_filter` had been set
|
||
* Particle filter estimation would crash if the initial state covariance became
|
||
singular for a draw
|
||
* Particle filter estimation would crash if `k_order_solver` option was
|
||
specified with `options_.particle.pruning`
|
||
* The initial state covariance in particle filter estimation could be `NaN`
|
||
when using `nonlinear_filter_initialization=2` despite
|
||
`options_.particles.pruning=1`
|
||
* Output of `smoother` results when using particle filters would be based on
|
||
`order=1`
|
||
* Output of `moments_varendo` results when using particle filters would be
|
||
based on `order=1`
|
||
* When decreasing the `order` in `.mod` files, `oo_.dr` could contain stale
|
||
results from higher orders
|
||
* Estimation results using the particle filter at `order=3` would be incorrect
|
||
if the restricted state space differed from the unrestricted one
|
||
* The `mode_compute=102` option (SOLVEOPT) could return with `Inf` instead of
|
||
the last feasible value
|
||
* Using `analytic_derivation` for Bayesian estimation would result in wrong
|
||
results when the multivariate Kalman filter entered the steady state stage
|
||
* Using `analytic_derivation` for maximum likelihood estimation would result in
|
||
a crash
|
||
* When using the Bayesian smoother with `filtered_vars`, the field for
|
||
`Filtered_Variables_X_step_ahead` used the length of vector instead of the
|
||
actual steps in `filter_step_ahead`
|
||
* `mode_compute=1,3` crashed when `analytic_derivation` was specified
|
||
* `mode_compute=1,3,102` did only allow for post-MATLAB 2016a option names
|
||
* The `cova_compute=0` option was not working with user-defined
|
||
`MCMC_jumping_covariance`
|
||
* The `mode_compute=1` option was not working with `analytic_derivation`
|
||
* Not all commands were honouring the `M_.dname` folder when saving
|
||
* LaTeX output of the simulated variance decomposition for observables with
|
||
measurement error could have a wrong variable label
|
||
|
||
Announcement for Dynare 4.6.3 (on 2020-11-23)
|
||
=============================================
|
||
|
||
We are pleased to announce the release of Dynare 4.6.3.
|
||
|
||
This maintenance release fixes various bugs.
|
||
|
||
The Windows, macOS and source packages are already available for download at
|
||
[the Dynare website](https://www.dynare.org/download/).
|
||
|
||
All users are strongly encouraged to upgrade.
|
||
|
||
This release is compatible with MATLAB versions ranging from 7.9 (R2009b) to
|
||
9.9 (R2020b), and with GNU Octave versions 5.2.0 (under Windows) and 4.4.1
|
||
(under macOS).
|
||
|
||
Here is a list of the problems identified in version 4.6.2 and that have been
|
||
fixed in version 4.6.3:
|
||
|
||
* Using an unknown symbol in `irf_shocks` option of `stoch_simul` would lead to
|
||
a crash of the preprocessor
|
||
* `identification` would crash for purely forward-looking models
|
||
* The `endogenous_prior` option did not properly handle missing observations
|
||
* The auxiliary particle filter with pruning and resampling would crash
|
||
* Initialization of the state variance for particle filters was buggy
|
||
* An `@#else` clause after an `@#ifndef` was not correctly interpreted
|
||
* An `@#elseif` clause after an `@#ifdef` or an `@#ifndef` was not correctly
|
||
interpreted
|
||
* Perfect foresight simulations of models with a single equation would crash
|
||
when using either the `lmmcp` option or the `linear_approximation`
|
||
* Inequality constraints on endogenous variables (when using the `lmmcp`
|
||
option) were not enforced on purely backward or purely forward models
|
||
* Perfect foresight simulations with `bytecode` and `block` options could crash
|
||
if there was a purely forward variable whose value in all periods could be
|
||
evaluated backward (typically a process of the form `y=a*y(+1)+e`)
|
||
* `extended_path` was broken with `bytecode`
|
||
* Under Windows, with Octave, the k-order perturbation and MS-SBVAR MEX files
|
||
could not be loaded
|
||
* On Fedora (and possibly other GNU/Linux distributions), compilation from
|
||
source would fail against Octave 5
|
||
|
||
Announcement for Dynare 4.6.2 (on 2020-09-07)
|
||
=============================================
|
||
|
||
We are pleased to announce the release of Dynare 4.6.2.
|
||
|
||
This maintenance release fixes various bugs.
|
||
|
||
The Windows, macOS and source packages are already available for download at
|
||
[the Dynare website](https://www.dynare.org/download/).
|
||
|
||
All users are strongly encouraged to upgrade.
|
||
|
||
This release is compatible with MATLAB versions ranging from 7.9 (R2009b) to
|
||
9.8 (R2020a), and with GNU Octave versions 5.2.0 (under Windows) and 4.4.1
|
||
(under macOS).
|
||
|
||
*Note for Windows users:* upon launching the Dynare installer, you may get a
|
||
warning emitted by Windows Defender SmartScreen, saying that this is an
|
||
unrecognized app and that it was prevented from starting. You can safely ignore
|
||
this warning, as long as you can verify on the next screen that CEPREMAP is the
|
||
editor of the software. This security warning is due to the fact that we had to
|
||
renew our code signing certificate (which had expired), and it takes some time
|
||
to rebuild our reputation as a software editor using the new certificate.
|
||
|
||
Here is a list of the problems identified in version 4.6.1 and that have been
|
||
fixed in version 4.6.2:
|
||
|
||
* Perfect foresight simulations of purely backward models could deliver an
|
||
incorrect result if some exogenous variable appeared with a lag of 2 or more
|
||
(and neither `block` nor `bytecode` option was used)
|
||
* Perfect foresight simulations of linear models could deliver an incorrect
|
||
result if the following four conditions were met:
|
||
+ the model was actually declared as linear through the `linear` option
|
||
+ there was an exogenous variable with a lead or a lag
|
||
+ `stack_solve_algo` was equal to 0 (the default) or 7
|
||
+ neither `block` nor `bytecode` option was used
|
||
* In stochastic simulations, for variables that actually do not leave the
|
||
steady state, reported simulated moments could be spurious (due to division
|
||
by zero)
|
||
* Displayed variance decompositions would only take into account measurement
|
||
errors if measurement errors were present for all observed variables
|
||
* The posterior variance decompositions with measurement errors computed with
|
||
`moments_varendo` were incorrect
|
||
* `moments_varendo` would not update `oo_.PosteriorTheoreticalMoments` if it
|
||
was already present, from *e.g.* an earlier run of `estimation`
|
||
* Identification would in some cases compute wrong Jacobian of moments
|
||
* Identification would display incorrect results if parameter dependence was
|
||
implemented via a steady state file
|
||
* `generate_trace_plots` would crash when measurement errors were present
|
||
* `estimation` would crash for correlated measurement errors
|
||
* Parallel execution/testing could crash instead of aborting with a proper
|
||
error message
|
||
* Under macOS, Dynare would incorrectly claim that it is compiled for Octave
|
||
5.2.0 (it is actually compiled for Octave 4.4.1)
|
||
* Using external functions in a model local variable would crash the
|
||
preprocessor
|
||
* Tolerance criteria for steady state computations were inconsistently set
|
||
* `stoch_simul` with its default `order=2` would crash with a message about
|
||
`hessian_eq_zero` not existing if an explicit `order=1` was present somewhere
|
||
else in the `.mod` file
|
||
* Model local variables were not written to the `modfile.json` JSON file
|
||
* Model local variables names would have two spurious underscores at their
|
||
point of definition in the `dynamic.json` and `static.json` files (but only
|
||
in the definition, not when they were used, which is inconsistent)
|
||
* The `solve_algo=9` option was not accessible. The `solve_algo=10` and
|
||
`solve_algo=11` options were not accessible with `block` (without `bytecode`)
|
||
* Under certain circumstances, `extended_path` would crash when used in
|
||
conjunction with the `block` option
|
||
* `extended_path` was not working with the `bytecode` option
|
||
* `shock_decomposition` was not accepting the options of `estimation` related
|
||
to smoothing
|
||
* `conditional_forecast` would display a warning even if the simulation was
|
||
successful
|
||
* The `prior_trunc` option of `identification` was not working
|
||
* The `rand_multivariate_student` value of the `proposal_distribution` option
|
||
was not working when used with the
|
||
`tailored_random_block_metropolis_hastings` posterior sampling method
|
||
* Perfect foresight simulations of backward models would crash if convergence
|
||
failed with complex-valued residuals
|
||
* The diffuse Kalman smoother would crash if `Finf` became singular
|
||
|
||
Announcement for Dynare 4.6.1 (on 2020-03-13)
|
||
=============================================
|
||
|
||
We are pleased to announce the release of Dynare 4.6.1.
|
||
|
||
This maintenance release fixes various bugs.
|
||
|
||
The Windows, macOS and source packages are already available for download at
|
||
[the Dynare website](https://www.dynare.org/download/).
|
||
|
||
All users are strongly encouraged to upgrade.
|
||
|
||
This release is compatible with MATLAB versions ranging from 7.9 (R2009b) to
|
||
9.7 (R2019b), and with GNU Octave versions 5.2.0 (under Windows) and 4.4.1
|
||
(under macOS).
|
||
|
||
Here is a list of the problems identified in version 4.6.0 and that have been
|
||
fixed in version 4.6.1:
|
||
|
||
* Installation on macOS would fail if the GCC compiler was supposed to be
|
||
installed and `www.google.com` was not reachable or blocked
|
||
* Dynare++ was missing the `dynare_simul.m` file
|
||
* The parameter vector `M_.params` would not be correctly updated after calls
|
||
to `stoch_simul` and `discretionary_policy` if parameters had been modified
|
||
in a steady state file
|
||
* The `stoch_simul` command with both the `nograph` and `TeX` options would
|
||
crash
|
||
* The `stoch_simul` command with the `noprint` option would crash
|
||
* The `prior moments` command would crash if the used parameter vector
|
||
triggered an error code
|
||
* In case of problem, the `discretionary_policy` command would crash instead of
|
||
aborting with a proper error code
|
||
* Computing of prior/posterior statistics would not work in parallel
|
||
* Closing of parallel estimation on GNU/Linux could crash
|
||
* The `histval` command would not work in combination with the
|
||
`predetermined_variables` command
|
||
* Ramsey optimal policy with multiple instruments would crash if a steady state
|
||
file returned complex values, instead of providing an error message
|
||
* The `model_diagnostics` command would not correctly update the parameter
|
||
vector if the latter was set in a steady state file
|
||
* The `model_diagnostics` command would ignore the `nocheck` steady state flag
|
||
|
||
|
||
Announcement for Dynare 4.6.0 (on 2020-02-20)
|
||
=============================================
|
||
|
||
We are pleased to announce the release of Dynare 4.6.0.
|
||
|
||
This major release adds new features and fixes various bugs.
|
||
|
||
The Windows, macOS and source packages are already available for download at
|
||
[the Dynare website](https://www.dynare.org/download/).
|
||
|
||
All users are strongly encouraged to upgrade.
|
||
|
||
This release is compatible with MATLAB versions ranging from 7.9 (R2009b) to
|
||
9.7 (R2019b), and with GNU Octave versions 5.2.0 (under Windows) and 4.4.1
|
||
(under macOS).
|
||
|
||
Major user-visible changes
|
||
--------------------------
|
||
|
||
- Stochastic simulations
|
||
|
||
- The perturbation method is now available at an arbitrary approximation
|
||
order. In other words, the `order` option of `stoch_simul` accepts an
|
||
arbitrary positive integer (of course, up to some model-specific
|
||
computational limit).
|
||
|
||
- New option `filtered_theoretical_moments_grid` of `stoch_simul`, that
|
||
supersedes `hp_ngrid`.
|
||
|
||
- Estimation
|
||
|
||
- Nonlinear estimation is now also available at an arbitrary approximation
|
||
order. In other words, the `order` option of `estimation` accepts an
|
||
arbitrary positive integer (of course, up to some model-specific
|
||
computational limit).
|
||
|
||
- Various improvements to particle filters.
|
||
|
||
- It is now possible to estimate models under optimal policy (see below).
|
||
|
||
- Variance decomposition of observables now accounts for measurement error.
|
||
|
||
- New option `mh_tune_jscale` of `estimation` command for tuning the scale
|
||
parameter of the proposal distribution of the Random Walk Metropolis
|
||
Hastings.
|
||
|
||
- Added debugging info when parameters take a `NaN` or `Inf` value.
|
||
|
||
- Option `mode_compute=1` is now available under Octave.
|
||
|
||
- Perfect foresight and extended path
|
||
|
||
- A significant speed improvement should be noted on large models (when
|
||
neither `bytecode` nor `block` option is used). The stacked problem is
|
||
now constructed using a dedicated machine-compiled library that greatly
|
||
speeds up the process (in particular, the time spent in that step can
|
||
become negligible when the `use_dll` option is used).
|
||
|
||
- New options `print` and `noprint` of `perfect_foresight_solver` command.
|
||
|
||
- Option `stack_solve_algo=2` is now available under Octave.
|
||
|
||
- Steady state
|
||
|
||
- Option `solve_algo=7` is now available under Octave.
|
||
|
||
- Optimal policy
|
||
|
||
- The `ramsey_policy` command is now deprecated. It is superseded by
|
||
successive calls to `ramsey_model`, `stoch_simul`, and
|
||
`evaluate_planner_objective` (in this order).
|
||
|
||
- It is now possible to estimate a model under optimal policy (either
|
||
Ramsey or discretionary) by running the `estimation` command after either
|
||
`ramsey_model` or `discretionary_policy`. It is however not yet possible
|
||
to estimate parameters that appear in the discount factor of the social
|
||
planner.
|
||
|
||
- Discretionary policy returns a more informative error message when the
|
||
objective has nonzero derivatives with respect to some variables.
|
||
|
||
- Identification
|
||
|
||
- Added minimal system identification check of *Komunjer and Ng (2011)*.
|
||
|
||
- Added spectrum identification check of *Qu and Tkachenko (2012)*.
|
||
|
||
- Identification is now also available for approximation orders 2 and 3
|
||
with either analytical or numerical parameter derivatives. The relevant
|
||
moments and spectrum are computed from the pruned state space system
|
||
as in *Mutschler (2015)*.
|
||
|
||
- All tests (moments, spectrum, minimal system, strength) can be turned
|
||
off.
|
||
|
||
- More numerical options can be changed by the user.
|
||
|
||
- Improved printing and storage (same folder) of results.
|
||
|
||
- Sensitivity analysis
|
||
|
||
- New `diffuse_filter` option to the `dynare_sensitivity` command.
|
||
|
||
- Arbitrary expressions can now be passed for the interval boundaries in
|
||
`irf_calibration` and `moment_calibration`. ⚠ This breaks the
|
||
previous syntax, requiring that the lower/upper bounds be separated by
|
||
commas.
|
||
|
||
- Forecasting and smoothing
|
||
|
||
- In `conditional_forecast_paths`, it is no longer required that all
|
||
constrained paths be of the same length. There may now be a different
|
||
number of controlled variables at each period. In that case, the order of
|
||
declaration of endogenous controlled variables and of `controlled_varexo`
|
||
matters: if the second endogenous variable is controlled for less periods
|
||
than the first one, the second `controlled_varexo` isn't set for the last
|
||
periods.
|
||
|
||
- New option `parameter_set` to the `calib_smoother` command.
|
||
|
||
- ⚠ The results of `conditional_forecast` command is now saved in
|
||
`oo_` (used to be in a file)
|
||
|
||
- Shock decomposition
|
||
|
||
- Added `fast_realtime` option to real time shock decomposition (deactivated
|
||
by default, runs the smoother only twice: once for the last in-sample and
|
||
once for the last out-of-sample data point).
|
||
|
||
- New `diff`, `flip`, `max_nrows`, `plot_init_date` and `plot_end_date`
|
||
options to `plot_shock_decomposition`.
|
||
|
||
- New `initial_decomposition_decomposition` command, for computing and
|
||
plotting the decomposition of the effect of smoothed initial conditions of
|
||
state variables.
|
||
|
||
- New `squeeze_shock_decomposition` command, for removing decompositions of
|
||
variables that are not of interest.
|
||
|
||
- New `with_epilogue` option (common to `shock_decomposition`,
|
||
`realtime_shock_decomposition` and `initial_condition_decomposition`).
|
||
|
||
- New `init2shocks` block to attribute initial conditions to shocks.
|
||
|
||
- Macro processor
|
||
|
||
- New object types: real (supersedes integers), boolean (distinct from
|
||
integers), tuple, user-defined function.
|
||
|
||
- New operators: various mathematical functions, set operations on arrays
|
||
(union, intersection, difference, cartesian power and product), type
|
||
checking and conversion.
|
||
|
||
- Added support for comprehensions (*e.g.* the set containing the squares of
|
||
all even numbers between 1 and 5 can be constructed with `[ i^2 for i in
|
||
1:5 when mod(i,2) == 0]`).
|
||
|
||
- User-defined functions can be declared using the `@#define` operator (*e.g.*
|
||
`@#define f(x) = 2*x^2+3*x+5`).
|
||
|
||
- `@#elseif`-clauses are now supported in conditional statements.
|
||
|
||
- `@#for` loops can iterate over several variables at the same time (*e.g.*
|
||
`@#for (i,j) in X`, where `X` is an array containing tuples of size 2).
|
||
|
||
- Added the possibility to exclude some elements when iterating over `@#for`
|
||
loops (*e.g.* `@#for i in 1:5 when mod(i,2) == 0` iterates over all even
|
||
numbers between 1 and 5).
|
||
|
||
- A `defined()` function allows testing whether macro variables have been
|
||
defined.
|
||
|
||
- Empty arrays (with the `[]` syntax) are now possible.
|
||
|
||
- Arrays of arrays are now supported.
|
||
|
||
- New macro directives `@#echomacrovars` and `@#echomacrovars(save)` for
|
||
displaying or saving the values of all macro-variables.
|
||
|
||
- Inline comments are now supported.
|
||
|
||
- ⚠ All division operations are now done with doubles (as opposed to
|
||
integers). To achieve the old functionality, use the new `floor` operator.
|
||
|
||
- ⚠ Colon syntax used to require braces around it to create an array
|
||
(*e.g.* `[1:3]` would create `[1,2,3]`). Now this is not necessary (`1:3`
|
||
creates `[1,2,3]` while `[1:3]` would create `[[1,2,3]]`).
|
||
|
||
- ⚠ Previously, printing a boolean would print `1` or `0`. Now, it
|
||
prints `true` or `false`. To achieve the old functionality, you must cast
|
||
it to a real, *e.g.* `@{(real)(1!=0)}`.
|
||
|
||
- LaTeX output
|
||
|
||
- New command `write_latex_steady_state_model`.
|
||
|
||
- New option `planner_discount_latex_name` of `ramsey_model` and
|
||
`discretionary_policy`.
|
||
|
||
- New command `model_local_variable` command for assigning a LaTeX name to
|
||
model-local variables.
|
||
|
||
- The `write_latex_static_model` and `write_latex_original_model` commands
|
||
now support the `write_equation_tags` option.
|
||
|
||
- Compilation of the model (`use_dll` option) made easier and faster
|
||
|
||
- Under Windows, it is no longer necessary to manually install the
|
||
compiler, since the latter is now shipped by the Dynare installer.
|
||
|
||
- Under macOS, the Dynare installer now automatically downloads and
|
||
installs the compiler.
|
||
|
||
- It is no longer necessary to configure MATLAB to let it know where the
|
||
compiler is, since the compilation is now done by the preprocessor.
|
||
|
||
- The compilation phase is now faster on large models (this has been
|
||
achieved by disabling a few time-consuming and not-so-useful optimization
|
||
passes otherwise done by the compiler).
|
||
|
||
- New `compilation_setup` block for specifying a custom compiler or custom
|
||
compilation flags.
|
||
|
||
- Model, variables and parameters declaration
|
||
|
||
- New syntax to declare model variables and parameters on-the-fly in the
|
||
`model` block. To do this, simply follow the symbol name with a vertical
|
||
line (`|`, pipe character) and either an `e`, an `x`, or a `p`. For
|
||
example, to declare a parameter named `alpha` in the model block, you
|
||
could write `alpha|p` directly in an equation where it appears.
|
||
Similarly, to declare an endogenous variable `c` in the model block you
|
||
could write `c|e`.
|
||
|
||
- New syntax to declare model variable and parameters on-the-fly in
|
||
equation tags. In the tag, simply state the type of variable to be
|
||
declared (`endogenous`, `exogenous`, or `parameter` followed by an equal
|
||
sign and the variable name in single quotes. Hence, to declare a variable
|
||
`c` as endogenous in an equation tag, you can type `[endogenous='c']`.
|
||
|
||
- New `epilogue` block for computing output variables of interest that may
|
||
not be necessarily defined in the model (*e.g.* various kinds of
|
||
real/nominal shares or relative prices, or annualized variables out of a
|
||
quarterly model).
|
||
|
||
- Command-line options
|
||
|
||
- Added the possibility to declare Dynare command-line options in the `.mod`
|
||
file.
|
||
|
||
- New option `nopreprocessoroutput` to disable printing of messages from
|
||
the preprocessor.
|
||
|
||
- It is now possible to assign an arbitrary macro-expression to a
|
||
macro-variable defined on the command-line, using the `-D` syntax.
|
||
|
||
- New option `linemacro` to revert to the old format of the
|
||
macro-processed file (see below).
|
||
|
||
- Preprocessor outputs and inputs
|
||
|
||
- Added JSON output to the preprocessor. A representation of the model file
|
||
and the whole content of the `.mod` file is saved in `.json` files.
|
||
These JSON files can be easily parsed from any language (C++, Fortran,
|
||
Python, Julia, MATLAB, Octave…). This new feature opens the possibility to
|
||
develop alternative back-ends for the Dynare language.
|
||
|
||
- ⚠ Most files generated by the preprocessor are now grouped under
|
||
two subdirectories. Assuming your file is `FILENAME.mod`, then M-files
|
||
and MEX-files will be under `+FILENAME/`, while other output (JSON,
|
||
LaTeX, source code for the MEX files) will be under `FILENAME/`.
|
||
|
||
- The macro-generated output is now more readable (no more line numbers and
|
||
empty lines). The old behaviour can be restored using the `linemacro`
|
||
option (see above).
|
||
|
||
- Ability to call the preprocessor by passing the `.mod` file as a string
|
||
argument from the macOS or GNU/Linux command line.
|
||
|
||
- dseries classes
|
||
|
||
- New functionalities and efficiency improvements.
|
||
|
||
- Complete rewrite using the new `classdef` syntax and exploiting in place
|
||
modifications when possible.
|
||
|
||
- Integration of the `dates` classes within `dseries`.
|
||
|
||
- Reporting classes
|
||
|
||
- Automatically create titlepage with page numbers/page titles.
|
||
|
||
- Allow for the removal of headers and footers from a given page.
|
||
|
||
- Allow user to set page number.
|
||
|
||
- Split up report output. Create new files for the preamble, the body of
|
||
the report, and each individual page of the report.
|
||
|
||
- The classes have been converted to the new `classdef` syntax.
|
||
|
||
- Misc
|
||
|
||
- External functions can be located in MATLAB/Octave namespaces.
|
||
|
||
- Improvements to the balanced growth path test that is performed after
|
||
Dynare has detrended the model (given the trends on variables declared by
|
||
the user): the default tolerance has been raised, and a different value
|
||
can be set with new option `balanced_growth_test_tol` to the `model`
|
||
block; as a consequence, failing the test is now an error again.
|
||
|
||
- New collection of MATLAB/Octave utilities to retrieve and alter objects:
|
||
`get_irf`, `get_mean`, `get_shock_stderr_by_name`, `get_smooth`,
|
||
`get_update`, `set_shock_stderr_value`.
|
||
|
||
- ⚠ Previously, when some MEX files were missing, Dynare would
|
||
automatically fall back to slower M-file functional alternative; this is
|
||
no longer the case. It is however still possible to manually add these
|
||
alternatives in the MATLAB/Octave path (they are located under
|
||
`matlab/missing/mex`; this only applies to the `mjdgges`, `gensylv`,
|
||
`A_times_B_kronecker_C`, `sparse_hessian_times_B_kronecker_C` and
|
||
`local_state_space_iteration_2` DLLs).
|
||
|
||
|
||
Since there are a few backward-incompatible changes in this release, users may
|
||
want to have a look at the [upgrade
|
||
guide](https://git.dynare.org/Dynare/dynare/-/wikis/BreakingFeaturesIn4.6) to
|
||
adapt their existing codes.
|
||
|
||
|
||
Bugs that were present in 4.5.7 and that are fixed in 4.6.0
|
||
-----------------------------------------------------------
|
||
|
||
* Estimation: the check for stochastic singularity erroneously would only take
|
||
estimated measurement error into account.
|
||
* Estimation: if the Hessian at the mode was not positive definite, the Laplace
|
||
approximation returned a complex number, but only displayed the real-valued
|
||
part.
|
||
* Conditional Forecasting: using one period only would result in a crash.
|
||
* First-order approximation was not working with purely forward-looking models.
|
||
* The preprocessor would not allow for inline comments including macro
|
||
statements.
|
||
* Using the `STEADY_STATE()` operator on exogenous variables would lead to
|
||
crashes in stochastic simulations.
|
||
* `moment_calibration`: for autocorrelation functions, the x-axis labeling had
|
||
the wrong order.
|
||
* `plot_identification`: placement of white dots indicating infinite values was
|
||
incorrect
|
||
* Automatic detrending would sometime refuse to detrend model despite the user
|
||
having given correct trends.
|
||
* Using `use_dll` + `fast` options would not always recompile the model when
|
||
the equations were changed.
|
||
* Under certain circumstances, the combination of `bytecode` and
|
||
`stack_solve_algo=1` options could lead to crashes or wrong results.
|
||
|
||
|
||
References
|
||
----------
|
||
|
||
- Komunjer, I. and S. Ng (2011), “[Dynamic Identification of Dynamic
|
||
Stochastic General Equilibrium
|
||
Models](https://www.onlinelibrary.wiley.com/doi/abs/10.3982/ECTA8916),”
|
||
*Econometrica*, 79(6), 1995–2032
|
||
|
||
- Qu, Z. and D. Tkachenko (2012), “[Identification and frequency domain
|
||
quasi‐maximum likelihood estimation of linearized dynamic stochastic
|
||
general equilibrium
|
||
models](https://onlinelibrary.wiley.com/doi/abs/10.3982/QE126),”
|
||
*Quantitative Economics*, 3(1), 95–132
|
||
|
||
- Mutschler, W. (2015), “[Identification of DSGE models—The effect of
|
||
higher-order approximation and
|
||
pruning](https://www.sciencedirect.com/science/article/pii/S0165188915000731),”
|
||
*Journal of Economic Dynamics and Control*, 56, 34–54
|
||
|
||
|
||
Announcement for Dynare 4.5.7 (on 2019-02-06)
|
||
=============================================
|
||
|
||
We are pleased to announce the release of Dynare 4.5.7.
|
||
|
||
This is a bugfix release.
|
||
|
||
The Windows packages are already available for download at: <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](http://www.dynare.org). The Mac and Linux packages
|
||
should follow soon.
|
||
|
||
All users are strongly encouraged to upgrade, especially those who have
|
||
installed the buggy 4.2.3 release.
|
||
|
||
The new release is compatible with MATLAB versions ranging from 7.0 (R14) to
|
||
7.13 (R2011b) and with GNU Octave versions ranging from 3.0 to 3.4.
|
||
|
||
Here is the list of the problems identified in version 4.2.3 and that have been
|
||
fixed in version 4.2.4:
|
||
|
||
* Second order approximation was broken for most models, giving incorrect
|
||
results (this problem only affects version 4.2.3, not previous versions)
|
||
|
||
* Bayesian priors with inverse gamma distribution and very small variances
|
||
were giving incorrect results in some cases
|
||
|
||
* The `model_diagnostics` command was broken
|
||
|
||
|
||
Announcement for Dynare 4.2.3 (on 2011-11-30)
|
||
=============================================
|
||
|
||
We are pleased to announce the release of Dynare 4.2.3.
|
||
|
||
This is a bugfix release.
|
||
|
||
The Windows package is already available for download at the official
|
||
[Dynare website](http://www.dynare.org). The Mac and Linux packages
|
||
should follow soon.
|
||
|
||
All users are strongly encouraged to upgrade.
|
||
|
||
This release is compatible with MATLAB versions ranging from 7.0 (R14)
|
||
to 7.13 (R2011b) and with GNU Octave versions ranging from 3.0 to 3.4.
|
||
|
||
Here is a non-exhaustive list of the problems identified in version 4.2.2 and
|
||
that have been fixed in version 4.2.3:
|
||
|
||
* `steady_state_model` was broken for lags higher than 2
|
||
|
||
* `simult_.m` was not working correctly with `order=3` if `k_order_solver` had
|
||
not been explicitly specified
|
||
|
||
* `stoch_simul` with `order=3` and without `periods` option was reporting
|
||
dummy theoretical moments
|
||
|
||
* Under Octave, option `solve_algo=0` was causing crashes in `check` and
|
||
`stoch_simul`
|
||
|
||
* Identification module was broken
|
||
|
||
* The test for singularity in the model reporting eigenvalues close to 0/0 was
|
||
sometimes reporting false positives
|
||
|
||
* The `conditional_variance_decomposition` option was not working if one
|
||
period index was 0. Now, Dynare reports an error if the periods are not
|
||
strictly positive.
|
||
|
||
* Second order approximation was buggy if one variable was not present at the
|
||
current period
|
||
|
||
|
||
Announcement for Dynare 4.2.2 (on 2011-10-04)
|
||
=============================================
|
||
|
||
We are pleased to announce the release of Dynare 4.2.2.
|
||
|
||
This is a bugfix release.
|
||
|
||
The Windows package is already available for download at the official
|
||
[Dynare website](http://www.dynare.org). The Mac and Linux packages
|
||
should follow soon.
|
||
|
||
All users are strongly encouraged to upgrade.
|
||
|
||
This release is compatible with MATLAB versions ranging from 7.0 (R14)
|
||
to 7.13 (R2011b) and with GNU Octave versions ranging from 3.0 to 3.4.
|
||
|
||
Here is a list of the problems identified in version 4.2.1 and that have
|
||
been fixed in version 4.2.2:
|
||
|
||
* The secondary rank test following the order test of the Blanchard and
|
||
Kahn condition was faulty and almost never triggered
|
||
|
||
* The variance prior for BVAR “à la Sims” with only one lag was
|
||
inconsistent. The solution implemented consists of adding one extra
|
||
observation in the presample used to compute the prior; as a
|
||
consequence, the numerical results for all estimations will be
|
||
slightly different in future releases (thanks to Marek Jarociński for
|
||
spotting this)
|
||
|
||
* The `conditional_forecast` command was buggy: it was always using the
|
||
posterior mode, whatever the value of the `parameter_set` option
|
||
|
||
* `STEADY_STATE` was not working correctly with certain types of
|
||
expressions (the priority of the addition and substraction operators
|
||
was incorrectly handled)
|
||
|
||
* With the `block` option of `model`, the preprocessor was failing on
|
||
expressions of the form `a^b` (with no endogenous in `a` but an
|
||
endogenous in `b`)
|
||
|
||
* Some native MATLAB statements were not correctly passed on to MATLAB
|
||
(*e.g.* `x = { 'foo' 'bar' }` )
|
||
|
||
* `external_function` was crashing in some circumstances
|
||
|
||
* The lambda parameter for HP filter was restricted to integer values
|
||
for no good reason
|
||
|
||
* The `load_mh_file` option of `estimation` was crashing under Octave
|
||
for Windows (MinGW version)
|
||
|
||
* Computation of steady state was failing on model contains auxiliary
|
||
variables created by leads or lags larger than 2 or by of the
|
||
`EXPECTATION` operator
|
||
|
||
* Compilation of MEX files for MATLAB was failing with GCC 4.6
|
||
|
||
|
||
Announcement for Dynare 4.2.1 (on 2011-05-24)
|
||
=============================================
|
||
|
||
We are pleased to announce the release of Dynare 4.2.1.
|
||
|
||
Many bugs have been fixed since the previous release. The reference
|
||
manual has also been improved: new contents has been added at various
|
||
places, the structure has been improved, an index of functions and
|
||
variables has been added, the PDF/HTML rendering has been improved.
|
||
|
||
The Windows package is already available for download at the official
|
||
[Dynare website](http://www.dynare.org). The Mac and Linux packages should follow soon.
|
||
|
||
All users are strongly encouraged to upgrade.
|
||
|
||
This release is compatible with MATLAB versions ranging from 7.0 (R14)
|
||
to 7.12 (R2011a) and with GNU Octave versions ranging from 3.0 to 3.4.
|
||
|
||
Here is a list of the main bugfixes since version 4.2.0:
|
||
|
||
* The `STEADY_STATE` operator has been fixed
|
||
|
||
* Problems with MATLAB 7.3 (R2006b) and older have been fixed
|
||
|
||
* The `partial_information` option of `stoch_simul` has been fixed
|
||
|
||
* Option `conditional_variance_decomposition` of `stoch_simul` and
|
||
`estimation` has been fixed
|
||
|
||
* Automatic detrending now works in conjunction with the `EXPECTATION`
|
||
operator
|
||
|
||
* Percentage signs inside strings in MATLAB statements (like `disp('%
|
||
This is not a comment %')`) now work
|
||
|
||
* Beta prior with a very small standard deviation now work even if you
|
||
do not have the MATLAB Statistical toolbox
|
||
|
||
* External functions can now been used in assignment of model local
|
||
variables
|
||
|
||
* `identification` command has been fixed
|
||
|
||
* Option `cova_compute` of `estimation` command has been fixed
|
||
|
||
* Random crashes with 3rd order approximation without `use_dll` option
|
||
have been eliminated
|
||
|
||
|
||
Announcement for Dynare 4.2.0 (on 2011-02-15)
|
||
=============================================
|
||
|
||
We are pleased to announce the release of Dynare 4.2.0.
|
||
|
||
This major release adds new features and fixes various bugs.
|
||
|
||
The Windows package is already available for download. The Mac and Linux
|
||
packages should follow soon.
|
||
|
||
All users are strongly encouraged to upgrade.
|
||
|
||
This release is compatible with MATLAB versions ranging from 6.5 (R13) to 7.11
|
||
(R2010b) and with GNU Octave versions 3.0.x and 3.2.x (support for GNU Octave
|
||
3.4.x is not complete and will be added in the next minor release).
|
||
|
||
Here is the list of major user-visible changes:
|
||
|
||
* New solution algorithms:
|
||
|
||
- Pruning for second order simulations has been added, as described in *Kim,
|
||
Kim, Schaumburg and Sims (2008)*. It is triggered by option `pruning` of
|
||
`stoch_simul` (only 2nd order, not available at 3rd order).
|
||
|
||
- Models under partial information can be solved, as in *Pearlman, Currie and
|
||
Levine (1986)*. See <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
|
||
|