1130 lines
42 KiB
Plaintext
1130 lines
42 KiB
Plaintext
Announcement for Dynare 4.4.3 (on 2014-07-31)
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=============================================
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We are pleased to announce the release of Dynare 4.4.3.
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This is a bugfix release.
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The Windows packages are already available for download at:
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http://www.dynare.org/download/dynare-stable
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The Mac and GNU/Linux packages (for Debian and Ubuntu LTS) should follow soon.
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This release is compatible with MATLAB versions 7.3 (R2006b) to 8.2 (R2013b)
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and with GNU Octave versions 3.6 to 3.8.
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Here is a list of the problems identified in version 4.4.2 and that have been
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fixed in version 4.4.3:
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- When loading a dataset in XLS, XLSX or CSV format, the first
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observation was discarded.
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- Reading data in an Excel-file with only one variable wasz leading
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to a crash.
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- When using the k_order_perturbation option (which is implicit at
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3rd order) without the use_dll option, crashes or unexpected
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behavior could happen if some 2nd or 3rd derivative evaluates to
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zero (while not being symbolically zero)
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- When using external function, Ramsey policy could crash or return
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wrong results.
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- For Ramsey policy, the equation numbers associated with the
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Lagrange multipliers stored in M_.aux_vars were erroneously one too
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low
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- When updating deep parameters in the steady state file, the changes
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were not fully taken into account (this was only affecting the
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Ramsey policy).
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- When using external functions and the bytecode option, wrong
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results were returned (if second order derivates of the external
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functions were needed).
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- The confidence level for computations in estimation, conf_sig could
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not be changed and was fixed at 0.9. The new option mh_conf_sig is
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now used to set this interval
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- Conditional forecasts with non-diagonal covariance matrix used an
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incorrect decomposition of the covariance matrix. A Cholesky
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factorization is used.
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- Option geweke_interval was not effective, Dynare always defaulted
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to the standard value.
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- The mode_file option lacked backward compatibility with older
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Dynare versions.
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- Loading an mh_mode file with the mode_file option was broken.
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- Using identification with var_exo_det leaded to crashes (the
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preprocessor now returns an error if they are used simultaneously)
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- The identification command did not print results if the initial
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parameter set was invalid and then crashed later on if the MC
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sample is bigger than 1
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- Inconsistencies between static and dynamic models leaded to crashes
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instead of error messages (only with block option).
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- The use of external functions crashed the preprocessor when the
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derivatives of the external function are explicitly called in the
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model block. The preprocessor now forbids the use of external
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functions derivates in the model block.
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- Using the block option when a variable does not appear in the
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current period crashed Dynare instead of providing an error
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message.
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Announcement for Dynare 4.4.2 (on 2014-03-04)
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=============================================
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We are pleased to announce the release of Dynare 4.4.2.
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This is a bugfix release.
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The Windows packages are already available for download at:
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http://www.dynare.org/download/dynare-stable
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The Mac and GNU/Linux packages (for Debian and Ubuntu LTS) should follow soon.
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This release is compatible with MATLAB versions 7.3 (R2006b) to 8.2 (R2013b)
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and with GNU Octave versions 3.6 to 3.8.
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Here is a list of the problems identified in version 4.4.1 and that have been
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fixed in version 4.4.2:
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- Geweke convergence diagnostics was computed on the wrong sample if `mh_drop'
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was not equal to the default of 0.5.
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- The `loglinear' option of `stoch_simul' was displaying the steady state of
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the original values, not the logged ones, and was producing incorrect
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simulations and simulated moments. Theoretical moments were unaffected.
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- The `optim' option of `estimation (for setting options to `mode_compute')
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was only working with at least MATLAB 8.1 (R2013a) or Octave 3.8.
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- For unit root models, theoretical HP filtered moments were sometimes
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erroneously displayed as NaN.
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- Specifying an endogenous variable twice after the `estimation' command would
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lead to a crash in the computation of moments.
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- Deterministic simulations were crashing on some models with more than one
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lead or one lag on exogenous variables.
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- Homotopy in stochastic extended path with order greater than 0 was not
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working correctly (during the homotopy steps the perfect foresight model
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solver was called instead of the stochastic perfect foresight model solver).
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- MCMC convergence diagnostics were not computed if `mh_replic' was less than
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2000; the test now relies on the total number of iterations (this only makes
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a difference if option `load_mh_file' is used).
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Announcement for Dynare 4.4.1 (on 2014-01-17)
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=============================================
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We are pleased to announce the release of Dynare 4.4.1.
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This release contains a few changes to the user interface and fixes various
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bugs. It also adds compatibility with Octave 3.8.
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The Windows packages are already available for download at:
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http://www.dynare.org/download/dynare-stable
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The Mac and GNU/Linux packages (for Debian and Ubuntu) should follow soon.
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All users are encouraged to upgrade.
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This release is compatible with MATLAB versions 7.3 (R2006b) to 8.2 (R2013b) and
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with GNU Octave versions 3.6 to 3.8.
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* Changes to the user interface:
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- The syntax introduced in 4.4.0 for conditional forecast in a deterministic
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setup was removed, and replaced by a new one that is better suited to the
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task. More precisely, such deterministic forecasts are no longer done using
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the `conditional_forecast' command. The latter is replaced by a group of
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commands: `init_plan', `basic_plan' and `flip_plan'. See the reference
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manual for more details.
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- Changes to the reporting module: option `annualAverages' to `addTable' has
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been removed (use option `tableDataRhs' to `addSeries' instead); option
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`vlineAfter' to `addTable' now also accepts a cell array.
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- Changes to the date and time series classes: implement broadcasting for
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operations (+,-,* and /) between `dseries' class and scalar or vectors; add
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the possibility of selecting an observation within a time series using a
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formatted string containing a date.
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* Bugs and problems identified in version 4.4.0 and that have been fixed in
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version 4.4.1:
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- In MS-SBVAR, there was a bug preventing the computation of impulse responses
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on a constant regime.
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- Under Octave, after modifying the MOD file, the changes were not taken into
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account at the first Dynare run, but only at the second run.
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Announcement for Dynare 4.4.0 (on 2013-12-16)
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=============================================
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We are pleased to announce the release of Dynare 4.4.0.
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This major release adds new features and fixes various bugs.
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The Windows packages are already available for download at:
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http://www.dynare.org/download/dynare-stable
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The Mac and Debian/Ubuntu packages should follow soon.
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All users are strongly encouraged to upgrade.
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This release is compatible with MATLAB versions ranging from 7.3 (R2006b) to
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8.2 (R2013b) and with GNU Octave version 3.6.
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Here is the list of major user-visible changes:
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* New major algorithms:
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- Extended path at order 1 and above, also known as “stochastic extended
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path”. This method is triggered by setting the `order' option of the
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`extended_path' command to a value greater than 0. Dynare will then use a
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Gaussian quadrature to take into account the effects of future uncertainty.
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The time series for the endogenous variables are generated by assuming that
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the agents believe that there will no more shocks after period t+order.
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- Alternative algorithms for computing decision rules of a stochastic model,
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based on the cycle reduction and logarithmic reduction algorithms. These
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methods are respectively triggered by giving `dr = cycle_reduction' or 'dr
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= logarithmic_reduction' as an option to the `stoch_simul' command.
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- Pruning now works with 3rd order approximation, along the lines of
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Andreasen, Fernández-Villaverde and Rubio-Ramírez (2013).
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- Computation of conditional forecast using an extended path method. This is
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triggered by the new option `simulation_type = deterministic' in the
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`conditional_forecast' command. In this case, the `expectation' command in
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the `conditional_forecast_paths' block has to be used to indicate the nature
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of expectations (whether shocks are a surprise or are perfectly
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anticipated).
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- Endogenous priors as in Christiano, Trabandt and Walentin (2011). Those are
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triggered by the new option `endogenous_prior' of the `estimation' command.
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* Other algorithmic improvements:
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- New command `model_diagnostics' to perform various sanity checks on the
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model. Note: in the past, some users may have used a preliminary MATLAB
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function implementing this; the new command has the same syntax, except that
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you shouldn't pass any argument to it.
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- Terminal conditions of perfect foresight simulations can now be specified in
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growth rates. More specifically, the new option `differentiate_forward_vars'
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of the `model' block will create auxiliary forward looking variables
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expressed in first differences or growth rates of the actual forward looking
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variables defined in the model. These new variables have obvious zero
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terminal conditions whatever the simulation context and this in many cases
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helps convergence of simulations.
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- Convergence diagnostics for single chain MCMC à la Geweke (1992, 1999).
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- New optimizer for the posterior mode (triggered by `mode_compute=10'): it
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uses the simpsa algorithm, based on the combination of the non-linear
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simplex and simulated annealing algorithms and proposed by Cardoso, Salcedo
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and Feyo de Azevedo (1996).
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- The automatic detrending engine has been extended to work on models written
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in logs. The corresponding trend variable type is `log_trend_var', and the
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corresponding deflator type is `log_deflator'.
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* New features in the user interface:
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- New set of functions for easily creating PDF reports including figures and
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tables. See the “Reporting” section in the reference manual for more
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details.
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- New MATLAB/Octave classes for handling time series. See the “Time series”
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section in the reference manual for more details.
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- Datafiles in CSV format can now be used for estimation.
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- New macro processor `length' operator, returns the length of an array.
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- New option `all_values_required' of `initval' and `endval' blocks: enforces
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initialization of all endogenous and exogenous variables within the block.
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- Option `ar' can now be given to the `estimation' command.
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- New options `nograph', `nointeractive' and `nowarn' to the `dynare' command,
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for a better control of what is displayed.
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- New option `nostrict' to the `dynare' command, for allowing Dynare to
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continue processing when there are more endogenous variables than equations
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or when an undeclared symbol is assigned in `initval' or `endval'.
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- The information on MCMC acceptance rates, seeds, last log posterior
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likelihood, and last parameter draw are now saved on the disk and can
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be displayed with `internals --display-mh-history' or loaded into the
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workspace with `internals --load-mh-history'.
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- New options `mode_check_neighbourhood_size', `mode_check_symmetric_plots'
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and `mode_check_number_of_points', for a better control of the diagnostic
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plots.
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- New option `parallel_local_files' of `model' block, for transferring extra
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files during parallel computations.
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- New option `clock' of `set_dynare_seed', for setting a different seed at
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each run.
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- New option `qz_zero_threshold' of the `check', `stoch_simul' and
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`estimation' commands, for a better control of the situation where a
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generalized eigenvalue is close to 0/0.
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- New `verbatim' block for inclusion of text that should pass through the
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preprocessor and be placed as is in the `modfile.m' file.
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- New option `mcmc_jumping_covariance' of the `estimation' command, for a
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better control of the covariance matrix used for the proposal density of the
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MCMC sampler.
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- New option `use_calibration' of the `estimated_params_init', for using the
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calibration of deep parameters and the elements of the covariance matrix
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specified in the `shocks' block as starting values for the estimation.
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- New option `save_draws' of the `ms_simulation' command.
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- New option `irf_plot_threshold' of the `stoch_simul' and `estimation'
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commands, for a better control of the display of IRFs which are almost nil.
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- New option `long_name' for endogenous, exogenous and parameter declarations,
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which can be used to declare a long name for variables. That long name can
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be programmatically retrieved in `M_.endo_names_long'.
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* Miscellaneous changes
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- The deciles of some posterior moments were erroneously saved in a field
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`Distribution' under `oo_'. This field is now called `deciles', for
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consistency with other posterior moments and with the manual. Similarly, the
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fields `Mean', `Median', `HPDsup', `HPDinf', and `Variance' are now
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consistently capitalized.
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- The console mode now implies the `nodisplay' option.
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* Bugs and problems identified in version 4.3.3 and that have been fixed in
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version 4.4.0:
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- In an `endval' block, auxiliary variables were not given the right value.
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This would not result in wrong results, but could prevent convergence of
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the steady state computation.
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- Deterministic simulations with `stack_solve_algo=0' (the default value) were
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crashing if some exogenous had a lag strictly greater than 1.
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- When using the `mode_file' option, the initial estimation checks were not
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performed for the loaded mode, but for the original starting values. Thus,
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potential prior violations by the mode only appeared during estimation,
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leading to potentially cryptic crashes and error messages.
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- If a shock/measurement error variance was set to 0 in calibration, the
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correlation matrix featured a 0 instead of a 1 on the diagonal, leading to
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wrong estimation results.
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- In the presence of calibrated covariances, estimation did not enforce
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positive definiteness of the covariance matrix.
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- Estimation using the `diffuse_filter' option together with the univariate
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Kalman filter and a diagonal measurement error matrix was broken.
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- A purely backward model with `k_order_solver' was leading to crashes of
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MATLAB/Octave.
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- Non-linear estimation was not skipping the specified presample when
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computing the likelihood.
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- IRFs and theoretical moments at order > 1 were broken for purely
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forward-looking models.
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- Simulated moments with constant variables was leading to crashes when
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displaying autocorrelations.
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- The `osr' command was sometimes crashing with cryptic error messages because
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of some unaccounted error codes returned from a deeper routine.
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- The check for stochastic singularity during initial estimation checks was
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broken.
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- Recursive estimation starting with the pathological case of `nobs=1' was
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crashing.
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- Conditional variance decomposition within or after estimation was crashing
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when at least one shock had been calibrated to zero variance.
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- The `estimated_params_init' and `estimated_params_bounds' blocks were broken
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for correlations.
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- The `filter_step_ahead' option was not producing any output in Bayesian
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estimation.
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- Deterministic simulations were sometimes erroneously indicating convergence
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although the residuals were actually NaN or Inf.
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- Supplying a user function in the `mode_compute' option was leading to
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a crash.
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- Deterministic simulation of models without any exogenous variable was
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crashing.
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- The MS-SBVAR code was not updating files between runs on Windows. This means
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that if a MOD file was updated between runs in the same folder and a
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`file_tag' was not changed, then the results would not change.
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- The `ramsey_policy' command was not putting in `oo_.planner_objective_value'
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the value of the planner objective at the optimum.
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* References:
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- Andreasen, Martin M., Jesús Fernández-Villaverde, and Juan Rubio-Ramírez
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(2013): “The Pruned State-Space System for Non-Linear DSGE Models: Theory
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and Empirical Applications,” NBER Working Paper, 18983
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- Cardoso, Margarida F., R. L. Salcedo and S. Feyo de Azevedo (1996): “The
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simplex simulated annealing approach to continuous non-linear optimization,”
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Computers chem. Engng, 20(9), 1065-1080
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- Christiano, Lawrence J., Mathias Trabandt and Karl Walentin (2011):
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“Introducing financial frictions and unemployment into a small open economy
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model,” Journal of Economic Dynamics and Control, 35(12), 1999-2041
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- Geweke, John (1992): “Evaluating the accuracy of sampling-based approaches
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to the calculation of posterior moments,” in J.O. Berger, J.M. Bernardo,
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A.P. Dawid, and A.F.M. Smith (eds.) Proceedings of the Fourth Valencia
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International Meeting on Bayesian Statistics, pp. 169-194, Oxford University
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Press
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- Geweke, John (1999): “Using simulation methods for Bayesian econometric
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models: Inference, development and communication,” Econometric Reviews,
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18(1), 1-73
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Announcement for Dynare 4.3.3 (on 2013-04-12)
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=============================================
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We are pleased to announce the release of Dynare 4.3.3.
|
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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
|
||
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||
- 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
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||
buggy when there are no shocks estimated
|
||
|
||
- Calls to `shock_decomposition' after using `selected_variables_only' option
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fail
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||
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- Sometimes, only the last open graph was saved, leading to missing and
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duplicate EPS/PDF graphs
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||
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- Forecasting after maximum likelihood estimation when not forecasting at
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least one observed variables (`var_obs') was leading to crashes
|
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- Some functionalities were crashing with MATLAB 8.1/R2013a (bytecode,
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MS-SBVAR)
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- Sometimes only the first order autocorrelation of `moments_varendo' was
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saved instead of all up to the value of `ar' option
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Announcement for Dynare 4.3.2 (on 2013-01-18)
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=============================================
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We are pleased to announce the release of Dynare 4.3.2.
|
||
|
||
This is a bugfix release.
|
||
|
||
The Windows packages are already available for download at:
|
||
|
||
http://www.dynare.org/download/dynare-stable
|
||
|
||
The Mac and GNU/Linux packages (for Debian and Ubuntu) should follow soon.
|
||
|
||
All users are encouraged to upgrade.
|
||
|
||
The new release is compatible with MATLAB versions ranging from 7.0 (R14) to
|
||
8.0 (R2012b) and with GNU Octave versions ranging from 3.2 to 3.6.
|
||
|
||
Here is a list of the problems identified in version 4.3.1 and that have been
|
||
fixed in version 4.3.2:
|
||
|
||
- Computation of posterior distribution of unconditional variance
|
||
decomposition was sometimes crashing (only for very large models)
|
||
|
||
- Estimation with `mode_compute=6' was sometimes crashing
|
||
|
||
- Derivative of erf() function was incorrect
|
||
|
||
- The `check' command was not setting `oo_.dr.eigval' unless `stoch_simul' was
|
||
also used
|
||
|
||
- Computation of conditional forecast when the constraint is only on
|
||
one period was buggy
|
||
|
||
- Estimation with `mode_compute=3' was crashing under Octave
|
||
|
||
|
||
Announcement for Dynare 4.3.1 (on 2012-10-10)
|
||
=============================================
|
||
|
||
We are pleased to announce the release of Dynare 4.3.1. This release adds a few
|
||
minor features and fixes various bugs.
|
||
|
||
The Windows and Mac packages are already available for download at:
|
||
|
||
http://www.dynare.org/download/dynare-stable
|
||
|
||
The GNU/Linux packages (for Debian and Ubuntu) should follow soon.
|
||
|
||
All users are strongly encouraged to upgrade.
|
||
|
||
The new release is compatible with MATLAB versions ranging from 7.0 (R14) to
|
||
8.0 (R2012b) and with GNU Octave versions ranging from 3.2 to 3.6.
|
||
|
||
Here is the list of the main user-visible changes:
|
||
|
||
|
||
* New features in the user interface:
|
||
|
||
- New `@#ifndef' directive in the macro-processor
|
||
|
||
- Possibility of simultaneously specifying several output formats in the
|
||
`graph_format' option
|
||
|
||
- Support for XLSX files in `datafile' option of `estimation' and in
|
||
`initval_file'
|
||
|
||
|
||
* Bugs and problems identified in version 4.3.0 and that have been fixed in
|
||
version 4.3.1:
|
||
|
||
- Shock decomposition was broken
|
||
|
||
- The welfare computation with `ramsey_policy' was buggy when used in
|
||
conjunction with `histval'
|
||
|
||
- Estimation of models with both missing observations and measurement errors
|
||
was buggy
|
||
|
||
- The option `simul_replic' was broken
|
||
|
||
- The macro-processor directive `@#ifdef' was broken
|
||
|
||
- Identification with `max_dim_cova_group > 1' was broken for specially
|
||
degenerate models (when parameter theta has pairwise collinearity of one
|
||
with multiple other parameters, i.e. when all couples (theta,b), (theta,c),
|
||
... (theta,d) have perfect collinearity in the Jacobian of the model)
|
||
|
||
- The `parallel_test' option was broken
|
||
|
||
- Estimation with correlated shocks was broken when the correlations were
|
||
specified in terms of correlation and not in terms of co-variance
|
||
|
||
- The Windows package was broken with MATLAB 7.1 and 7.2
|
||
|
||
- When using `mode_compute=0' with a mode file generated using
|
||
`mode_compute=6', the value of option `mh_jscale' was not loaded
|
||
|
||
- Using exogenous deterministic variables at 2nd order was causing a crash
|
||
|
||
- The option `no_create_init' for the `ms_estimation' command was broken
|
||
|
||
- Loading of datafiles with explicit filename extensions was not working
|
||
|
||
- The preprocessor had a memory corruption problem which could randomly lead
|
||
to crashes
|
||
|
||
|
||
Announcement for Dynare 4.3.0 (on 2012-06-15)
|
||
=============================================
|
||
|
||
We are pleased to announce the release of Dynare 4.3.0. This major release adds
|
||
new features and fixes various bugs.
|
||
|
||
The Windows and Mac packages are already available for download at:
|
||
|
||
http://www.dynare.org/download/dynare-4.3
|
||
|
||
The GNU/Linux packages should follow soon.
|
||
|
||
All users are strongly encouraged to upgrade.
|
||
|
||
The new release is compatible with MATLAB versions ranging from 7.0 (R14) to
|
||
7.14 (R2012a) and with GNU Octave versions ranging from 3.2 to 3.6.
|
||
|
||
Here is the list of the main user-visible changes:
|
||
|
||
|
||
* New major algorithms:
|
||
|
||
- Nonlinear estimation with a particle filter based on a second order
|
||
approximation of the model, as in Fernández-Villaverde and Rubio-Ramírez
|
||
(2005); this is triggered by setting `order=2' in the `estimation' command
|
||
|
||
- Extended path solution method as in Fair and Taylor (1983); see the
|
||
`extended_path' command
|
||
|
||
- Support for Markov-Switching Structural Bayesian VARs (MS-SBVAR) along the
|
||
lines of Sims, Waggoner and Zha (2008) (see the dedicated section in the
|
||
reference manual)
|
||
|
||
- Optimal policy under discretion along the lines of Dennis (2007); see the
|
||
`discretionary_policy' command
|
||
|
||
- Identification analysis along the lines of Iskrev (2010); see the
|
||
`identification' command
|
||
|
||
- The Global Sensitivity Analysis toolbox (Ratto, 2008) is now part of the
|
||
official Dynare distribution
|
||
|
||
|
||
* Other algorithmic improvements:
|
||
|
||
- Stochastic simulation and estimation can benefit from block decomposition
|
||
(with the `block' option of `model'; only at 1st order)
|
||
|
||
- Possibility of running smoother and filter on a calibrated model; see the
|
||
`calib_smoother' command
|
||
|
||
- Possibility of doing conditional forecast on a calibrated model; see the
|
||
`parameter_set=calibration' option of the `conditional_forecast' command
|
||
|
||
- The default algorithm for deterministic simulations has changed and is now
|
||
based on sparse matrices; the historical algorithm (Laffargue, Boucekkine
|
||
and Juillard) is still available under the `stack_solve_algo=6'option of the
|
||
`simul' command
|
||
|
||
- Possibility of using an analytic gradient for the estimation; see the
|
||
`analytic_derivation' option of the `estimation' command
|
||
|
||
- Implementation of the Nelder-Mead simplex based optimization routine for
|
||
computing the posterior mode; available under the `mode_compute=8' option of
|
||
the `estimation' command
|
||
|
||
- Implementation of the CMA Evolution Strategy algorithm for computing the
|
||
posterior mode; available under the `mode_compute=9' option of the
|
||
`estimation' command
|
||
|
||
- New solvers for Lyapunov equations which can accelerate the estimation of
|
||
large models; see the `lyapunov' option of the `estimation' command
|
||
|
||
- New solvers for Sylvester equations which can accelerate the resolution of
|
||
large models with block decomposition; see the `sylvester' option of the
|
||
`stoch_simul' and `estimation' commands
|
||
|
||
- The `ramsey_policy' command now displays the planner objective value
|
||
function under Ramsey policy and stores it in `oo_.planner_objective_value'
|
||
|
||
- Theoretical autocovariances are now computed when the `block' option is
|
||
present
|
||
|
||
- The `linear' option is now compatible with the `block' and `bytecode'
|
||
options
|
||
|
||
- The `loglinear' option now works with purely backward or forward models at
|
||
first order
|
||
|
||
|
||
* New features in the user interface:
|
||
|
||
- New mathematical primitives allowed in model block: `abs()', `sign()'
|
||
|
||
- The behavior with respect to graphs has changed:
|
||
|
||
+ By default, Dynare now displays graphs and saves them to disk in EPS
|
||
format only
|
||
|
||
+ The format can be changed to PDF or FIG with the new `graph_format'
|
||
option
|
||
|
||
+ It is possible to save graphs to disk without displaying them with the
|
||
new `nodisplay' option
|
||
|
||
- New `nocheck' option to the `steady' command: tells not to check the steady
|
||
state and accept values given by the user (useful for models with unit
|
||
roots)
|
||
|
||
- A series of deterministic shocks can be passed as a pre-defined vector in
|
||
the `values' statement of a `shocks' block
|
||
|
||
- New option `sub_draws' in the `estimation' command for controlling the
|
||
number of draws used in computing the posterior distributions of various
|
||
objects
|
||
|
||
- New macroprocessor command `@#ifdef' for testing if a macro-variable is
|
||
defined
|
||
|
||
- New option `irf_shocks' of the `stoch_simul' command, to allow IRFs to be
|
||
created only for certain exogenous variables
|
||
|
||
- In the parallel engine, possibility of assigning different weights to nodes
|
||
in the cluster and of creating clusters comprised of nodes with different
|
||
operating systems (see the relevant section in the reference manual)
|
||
|
||
- It is now possible to redefine a parameter in the `steady_state_model' block
|
||
(use with caution)
|
||
|
||
- New option `maxit' in the `simul' and `steady' commands to determine the
|
||
maximum number of iterations of the nonlinear solver
|
||
|
||
- New option `homotopy_force_continue' in the `steady' command to control the
|
||
behavior when a homotopy fails
|
||
|
||
- Possibility of globally altering the defaults of options by providing a file
|
||
in the `GlobalInitFile' field of the configuration file (use with caution)
|
||
|
||
- New option `nolog' to the `dynare' command line to avoid creating a logfile
|
||
|
||
- New option `-D' to the `dynare' command line with for defining
|
||
macro-variables
|
||
|
||
|
||
* Miscellaneous changes:
|
||
|
||
- The `use_dll' option of `model' now creates a MEX file for the static model
|
||
in addition to that for the dynamic model
|
||
|
||
- The `unit_root_vars' command is now obsolete; use the `diffuse_filter'
|
||
option of the `estimation' command instead
|
||
|
||
- New option `--burn' to Dynare++ to discard initial simulation points
|
||
|
||
- New top-level MATLAB/Octave command `internals' for internal documentation
|
||
and unitary tests
|
||
|
||
|
||
* Bugs and problems identified in version 4.2.5 and that have been fixed in
|
||
version 4.3.0:
|
||
|
||
- Backward models with the `loglinear' option were incorrectly handled
|
||
|
||
- Solving for hyperparameters of inverse gamma priors was sometimes crashing
|
||
|
||
- The deterministic solver for purely forward models was broken
|
||
|
||
- When running `estimation' or `identification' on models with non-diagonal
|
||
structural error covariance matrices, while not simultaneously estimating
|
||
the correlation between shocks (i.e. calibrating the correlation), the
|
||
off-diagonal elements were incorrectly handled or crashes were occuring
|
||
|
||
- When using the `prefilter' option, smoother plots were omitting the smoothed
|
||
observables
|
||
|
||
- In the rare case of entering and expression x as x^(alpha-1) with x being 0
|
||
in steady state and alpha being a parameter equal to 2, the Jacobian was
|
||
evaluating to 0 instead of 1
|
||
|
||
- Setting the prior for shock correlations was failing if a lower bound was not
|
||
explicitly specified
|
||
|
||
|
||
* References:
|
||
|
||
- Dennis, Richard (2007): “Optimal Policy In Rational Expectations Models: New
|
||
Solution Algorithms,” Macroeconomic Dynamics, 11(1), 31–55
|
||
|
||
- Fair, Ray and John Taylor (1983): “Solution and Maximum Likelihood
|
||
Estimation of Dynamic Nonlinear Rational Expectation Models,” Econometrica,
|
||
51, 1169–1185
|
||
|
||
- Fernández-Villaverde, Jesús and Juan Rubio-Ramírez (2005): “Estimating
|
||
Dynamic Equilibrium Economies: Linear versus Nonlinear Likelihood,” Journal
|
||
of Applied Econometrics, 20, 891–910
|
||
|
||
- Iskrev, Nikolay (2010): “Local identification in DSGE models,” Journal of
|
||
Monetary Economics, 57(2), 189–202
|
||
|
||
- Ratto, Marco (2008): “Analysing DSGE models with global sensitivity
|
||
analysis'', Computational Economics, 31, 115–139
|
||
|
||
- Sims, Christopher A., Daniel F. Waggoner and Tao Zha (2008): “Methods for
|
||
inference in large multiple-equation Markov-switching models,” Journal of
|
||
Econometrics, 146, 255–274
|
||
|
||
|
||
|
||
Announcement for Dynare 4.2.5 (on 2012-03-14)
|
||
=============================================
|
||
|
||
We are pleased to announce the release of Dynare 4.2.5.
|
||
|
||
This is a bugfix release.
|
||
|
||
The Windows package for the new release is already available for download at
|
||
the official Dynare website <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
|