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Announcement for Dynare 4.3.1 (on 2012-10-10)
=============================================
We are pleased to announce the release of Dynare 4.3.1. This release adds a few
minor features and fixes various bugs.
The Windows and Mac packages are already available for download at:
http://www.dynare.org/download/dynare-stable
The GNU/Linux packages (for Debian and Ubuntu) should follow soon.
All users are strongly encouraged to upgrade.
The new release is compatible with MATLAB versions ranging from 7.0 (R14) to
8.0 (R2012b) and with GNU Octave versions ranging from 3.2 to 3.6.
Here is the list of the main user-visible changes:
* New features in the user interface:
- New `@#ifndef' directive in the macro-processor
- Possibility of simultaneously specifying several output formats in the
`graph_format' option
- Support for XLSX files in `datafile' option of `estimation' and in
`initval_file'
* Bugs and problems identified in version 4.3.0 and that have been fixed in
version 4.3.1:
- Shock decomposition was broken
- The welfare computation with `ramsey_policy' was buggy when used in
conjunction with `histval'
- Estimation of models with both missing observations and measurement errors
was buggy
- The option `simul_replic' was broken
- The macro-processor directive `@#ifdef' was broken
- Identification with `max_dim_cova_group > 1' was broken for specially
degenerate models (when parameter theta has pairwise collinearity of one
with multiple other parameters, i.e. when all couples (theta,b), (theta,c),
... (theta,d) have perfect collinearity in the Jacobian of the model)
- The `parallel_test' option was broken
- Estimation with correlated shocks was broken when the correlations were
specified in terms of correlation and not in terms of co-variance
- The Windows package was broken with MATLAB 7.1 and 7.2
- When using `mode_compute=0' with a mode file generated using
`mode_compute=6', the value of option `mh_jscale' was not loaded
- Using exogenous deterministic variables at 2nd order was causing a crash
- The option `no_create_init' for the `ms_estimation' command was broken
- Loading of datafiles with explicit filename extensions was not working
- The preprocessor had a memory corruption problem which could randomly lead
to crashes
Announcement for Dynare 4.3.0 (on 2012-06-15)
=============================================
We are pleased to announce the release of Dynare 4.3.0. This major release adds
new features and fixes various bugs.
The Windows and Mac packages are already available for download at:
http://www.dynare.org/download/dynare-4.3
The GNU/Linux packages should follow soon.
All users are strongly encouraged to upgrade.
The new release is compatible with MATLAB versions ranging from 7.0 (R14) to
7.14 (R2012a) and with GNU Octave versions ranging from 3.2 to 3.6.
Here is the list of the main user-visible changes:
* New major algorithms:
- Nonlinear estimation with a particle filter based on a second order
approximation of the model, as in Fernández-Villaverde and Rubio-Ramírez
(2005); this is triggered by setting `order=2' in the `estimation' command
- Extended path solution method as in Fair and Taylor (1983); see the
`extended_path' command
- Support for Markov-Switching Structural Bayesian VARs (MS-SBVAR) along the
lines of Sims, Waggoner and Zha (2008) (see the dedicated section in the
reference manual)
- Optimal policy under discretion along the lines of Dennis (2007); see the
`discretionary_policy' command
- Identification analysis along the lines of Iskrev (2010); see the
`identification' command
- The Global Sensitivity Analysis toolbox (Ratto, 2008) is now part of the
official Dynare distribution
* Other algorithmic improvements:
- Stochastic simulation and estimation can benefit from block decomposition
(with the `block' option of `model'; only at 1st order)
- Possibility of running smoother and filter on a calibrated model; see the
`calib_smoother' command
- Possibility of doing conditional forecast on a calibrated model; see the
`parameter_set=calibration' option of the `conditional_forecast' command
- The default algorithm for deterministic simulations has changed and is now
based on sparse matrices; the historical algorithm (Laffargue, Boucekkine
and Juillard) is still available under the `stack_solve_algo=6'option of the
`simul' command
- Possibility of using an analytic gradient for the estimation; see the
`analytic_derivation' option of the `estimation' command
- Implementation of the Nelder-Mead simplex based optimization routine for
computing the posterior mode; available under the `mode_compute=8' option of
the `estimation' command
- Implementation of the CMA Evolution Strategy algorithm for computing the
posterior mode; available under the `mode_compute=9' option of the
`estimation' command
- New solvers for Lyapunov equations which can accelerate the estimation of
large models; see the `lyapunov' option of the `estimation' command
- New solvers for Sylvester equations which can accelerate the resolution of
large models with block decomposition; see the `sylvester' option of the
`stoch_simul' and `estimation' commands
- The `ramsey_policy' command now displays the planner objective value
function under Ramsey policy and stores it in `oo_.planner_objective_value'
- Theoretical autocovariances are now computed when the `block' option is
present
- The `linear' option is now compatible with the `block' and `bytecode'
options
- The `loglinear' option now works with purely backward or forward models at
first order
* New features in the user interface:
- New mathematical primitives allowed in model block: `abs()', `sign()'
- The behavior with respect to graphs has changed:
+ By default, Dynare now displays graphs and saves them to disk in EPS
format only
+ The format can be changed to PDF or FIG with the new `graph_format'
option
+ It is possible to save graphs to disk without displaying them with the
new `nodisplay' option
- New `nocheck' option to the `steady' command: tells not to check the steady
state and accept values given by the user (useful for models with unit
roots)
- A series of deterministic shocks can be passed as a pre-defined vector in
the `values' statement of a `shocks' block
- New option `sub_draws' in the `estimation' command for controlling the
number of draws used in computing the posterior distributions of various
objects
- New macroprocessor command `@#ifdef' for testing if a macro-variable is
defined
- New option `irf_shocks' of the `stoch_simul' command, to allow IRFs to be
created only for certain exogenous variables
- In the parallel engine, possibility of assigning different weights to nodes
in the cluster and of creating clusters comprised of nodes with different
operating systems (see the relevant section in the reference manual)
- It is now possible to redefine a parameter in the `steady_state_model' block
(use with caution)
- New option `maxit' in the `simul' and `steady' commands to determine the
maximum number of iterations of the nonlinear solver
- New option `homotopy_force_continue' in the `steady' command to control the
behavior when a homotopy fails
- Possibility of globally altering the defaults of options by providing a file
in the `GlobalInitFile' field of the configuration file (use with caution)
- New option `nolog' to the `dynare' command line to avoid creating a logfile
- New option `-D' to the `dynare' command line with for defining
macro-variables
* Miscellaneous changes:
- The `use_dll' option of `model' now creates a MEX file for the static model
in addition to that for the dynamic model
- The `unit_root_vars' command is now obsolete; use the `diffuse_filter'
option of the `estimation' command instead
- New option `--burn' to Dynare++ to discard initial simulation points
- New top-level MATLAB/Octave command `internals' for internal documentation
and unitary tests
* Bugs and problems identified in version 4.2.5 and that have been fixed in
version 4.3.0:
- Backward models with the `loglinear' option were incorrectly handled
- Solving for hyperparameters of inverse gamma priors was sometimes crashing
- The deterministic solver for purely forward models was broken
- When running `estimation' or `identification' on models with non-diagonal
structural error covariance matrices, while not simultaneously estimating
the correlation between shocks (i.e. calibrating the correlation), the
off-diagonal elements were incorrectly handled or crashes were occuring
- When using the `prefilter' option, smoother plots were omitting the smoothed
observables
- In the rare case of entering and expression x as x^(alpha-1) with x being 0
in steady state and alpha being a parameter equal to 2, the Jacobian was
evaluating to 0 instead of 1
- Setting the prior for shock correlations was failing if a lower bound was not
explicitly specified
* References:
- Dennis, Richard (2007): “Optimal Policy In Rational Expectations Models: New
Solution Algorithms,” Macroeconomic Dynamics, 11(1), 3155
- Fair, Ray and John Taylor (1983): “Solution and Maximum Likelihood
Estimation of Dynamic Nonlinear Rational Expectation Models,” Econometrica,
51, 11691185
- Fernández-Villaverde, Jesús and Juan Rubio-Ramírez (2005): “Estimating
Dynamic Equilibrium Economies: Linear versus Nonlinear Likelihood,” Journal
of Applied Econometrics, 20, 891910
- Iskrev, Nikolay (2010): “Local identification in DSGE models,” Journal of
Monetary Economics, 57(2), 189202
- Ratto, Marco (2008): “Analysing DSGE models with global sensitivity
analysis'', Computational Economics, 31, 115139
- Sims, Christopher A., Daniel F. Waggoner and Tao Zha (2008): “Methods for
inference in large multiple-equation Markov-switching models,” Journal of
Econometrics, 146, 255274
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 [1]. The Mac and Linux packages should follow soon.
All users are strongly encouraged to upgrade.
This release is compatible with MATLAB versions ranging from 7.0 (R14)
to 7.12 (R2011a) and with GNU Octave versions ranging from 3.0 to 3.4.
Here is a list of the main bugfixes since version 4.2.0:
* The `STEADY_STATE' operator has been fixed
* Problems with MATLAB 7.3 (R2006b) and older have been fixed
* The `partial_information' option of `stoch_simul' has been fixed
* Option `conditional_variance_decomposition' of `stoch_simul' and
`estimation' has been fixed
* Automatic detrending now works in conjunction with the `EXPECTATION'
operator
* Percentage signs inside strings in MATLAB statements (like disp('%
This is not a comment %')) now work
* Beta prior with a very small standard deviation now work even if you
do not have the MATLAB Statistical toolbox
* External functions can now been used in assignment of model local
variables
* `identification' command has been fixed
* Option `cova_compute' of `estimation' command has been fixed
* Random crashes with 3rd order approximation without `use_dll' option
have been eliminated
[1] http://www.dynare.org
Announcement for Dynare 4.2.0 (on 2011-02-15)
=============================================
We are pleased to announce the release of Dynare 4.2.0.
This major release adds new features and fixes various bugs.
The Windows package is already available for download. The Mac and Linux
packages should follow soon.
All users are strongly encouraged to upgrade.
This release is compatible with MATLAB versions ranging from 6.5 (R13) to 7.11
(R2010b) and with GNU Octave versions 3.0.x and 3.2.x (support for GNU Octave
3.4.x is not complete and will be added in the next minor release).
Here is the list of major user-visible changes:
* New solution algorithms:
- Pruning for second order simulations has been added, as described in Kim,
Kim, Schaumburg and Sims (2008) [1,2]
- Models under partial information can be solved, as in Pearlman, Currie and
Levine (1986) [3,4]
- New nonlinear solvers for faster deterministic simulations and steady state
computation [5]
* Dynare can now use the power of multi-core computers or of a cluster of
computer using parallelization [6]
* New features in the user interface:
- A steady state file can now be automatically generated, provided that the
model can be solved analytically, and that the steady state as a function
of the parameters is declared with the new "steady_state_model" command [7]
- For non-stationary models, Dynare is now able of automatically removing
trends in all the equations: the user writes the equations in
non-stationary form and declares the deflator of each variable. Then Dynare
perform a check to determine if the proposed deflators are compatible with
balanced growth path, and, if yes, then it computes the detrended equations
[8]
- It is now possible to use arbitrary functions in the model block [9]
* Other minor changes to the user interface:
- New primitives allowed in model block: normpdf(), erf()
- New syntax for DSGE-VAR [10]
- Syntax of deterministic shocks has changed: after the values keyword,
arbitrary expressions must be enclosed within parentheses (but numeric
constants are still accepted as is)
* Various improvements:
- Third order simulations now work without the "USE_DLL" option:
installing a C++ compiler is no longer necessary for 3rd order
- The HP filter works for empirical moments (previously it was only available
for theoretical moments)
- "ramsey_policy" now displays the planner objective value function under
Ramsey policy and stores it in "oo_.planner_objective_value"
- Estimation: if the "selected_variables_only" option is present, then the
smoother will only be run on variables listed just after the estimation
command
- Estimation: in the "shocks" block, it is now possible to calibrate
measurement errors on endogenous variables (using the same keywords than
for calibrating variance/covariance matrix of exogenous shocks)
- It is possibile to choose the parameter set for shock decomposition [11]
- The diffuse filter now works under Octave
- New option "console" on the Dynare command-line: use it when running Dynare
from the console, it will replace graphical waitbars by text waitbars for
long computations
- Steady option "solve_algo=0" (uses fsolve()) now works under Octave
* For Emacs users:
- New Dynare mode for Emacs editor (contributed by Yannick Kalantzis)
- Reference manual now available in Info format (distributed with
Debian/Ubuntu packages)
* Miscellaneous:
- Deterministic models: leads and lags of two or more on endogenous
variables are now substituted by auxiliary variables; exogenous variables
are left as is [12]
[1] Kim, J., S. Kim, E. Schaumburg and C.A. Sims (2008), "Calculating and using
second-order accurate solutions of discrete time dynamic equilibrium
models", Journal of Economic Dynamics and Control, 32(11), 3397-3414
[2] It is triggered by option "pruning" of "stoch_simul" (only 2nd order, not
available at 3rd order)
[3] Pearlman J., D. Currie and P. Levine (1986), "Rational expectations models
with partial information", Economic Modelling, 3(2), 90-105
[4] http://www.dynare.org/DynareWiki/PartialInformation
[5] http://www.dynare.org/DynareWiki/FastDeterministicSimulationAndSteadyStateComputation
[6] http://www.dynare.org/DynareWiki/ParallelDynare
[7] See the entry for "steady_state_model" in the reference manual for more
details and an example
[8] http://www.dynare.org/DynareWiki/RemovingTrends
[9] http://www.dynare.org/DynareWiki/ExternalFunctions
[10] http://www.dynare.org/DynareWiki/DsgeVar
[11] http://www.dynare.org/DynareWiki/ShockDecomposition
[12] http://www.dynare.org/DynareWiki/AuxiliaryVariables