434 lines
12 KiB
Plaintext
434 lines
12 KiB
Plaintext
\input texinfo
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@c %**start of header
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@setfilename dynare.info
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@documentencoding UTF-8
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@settitle Dynare Internal Documentation
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@afourwide
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@dircategory Math
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@direntry
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* Dynare: (dynare). A platform for handling a wide class
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of economic models.
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@end direntry
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@include ../version.texi
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@c Define some macros
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@macro descriptionhead
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@ifnothtml
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@sp 1
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@end ifnothtml
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@emph{Description}
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@end macro
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@macro optionshead
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@iftex
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@sp 1
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@end iftex
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@emph{Options}
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@end macro
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@macro examplehead
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@iftex
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@sp 1
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@end iftex
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@emph{Example}
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@end macro
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@macro outputhead
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@iftex
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@sp 1
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@end iftex
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@emph{Output}
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@end macro
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@macro customhead{title}
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@iftex
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@sp 1
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@end iftex
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@emph{\title\}
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@end macro
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@c %**end of header
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@copying
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Copyright @copyright{} 1996-2011, Dynare Team.
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@quotation
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Permission is granted to copy, distribute and/or modify this document
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under the terms of the GNU Free Documentation License, Version 1.3 or
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any later version published by the Free Software Foundation; with no
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Invariant Sections, no Front-Cover Texts, and no Back-Cover Texts.
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A copy of the license can be found at @uref{https://www.gnu.org/licenses/fdl.txt}.
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@end quotation
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@end copying
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@titlepage
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@title Dynare
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@subtitle Internal documentation, version @value{VERSION}
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@author Stéphane Adjemian
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@author Houtan Bastani
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@author Michel Juillard
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@author Junior Maih
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@author Ferhat Mihoubi
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@author George Perendia
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@author Marco Ratto
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@author Sébastien Villemot
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@page
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@vskip 0pt plus 1filll
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@insertcopying
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@end titlepage
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@contents
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@ifnottex
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@node Top
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@top Dynare
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This is Dynare Internal Documentation, version @value{VERSION}.
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@insertcopying
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@end ifnottex
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@menu
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* Introduction::
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* Dynare Structures::
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* Data::
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* Estimation::
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* Simulation::
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* Bibliography::
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* Function Index::
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* Variable Index::
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@detailmenu
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--- The Detailed Node Listing ---
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Introduction
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* What is Dynare ?::
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* Documentation sources::
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Dynare structures
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* dataset_::
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* M_::
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* options_::
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* oo_::
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Data
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* Create a data structure::
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* Compute descripive statistics::
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* Functions::
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Estimation
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* Likelihood of DSGE models::
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* DsgeVar likelihood::
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* Simulated Method of Moments::
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Simulation
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* Perfect foresight models::
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* Solve rational expectation models with perturbation::
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@end detailmenu
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@end menu
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@node Introduction
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@chapter Introduction
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@menu
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* What is Dynare ?::
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* Documentation sources::
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@end menu
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@node What is Dynare ?
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@section What is Dynare ?
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Dynare is a software platform for handling a wide class of economic
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models, in particular dynamic stochastic general equilibrium (DSGE)
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and overlapping generations (OLG) models. The models solved by Dynare
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include those relying on the @i{rational expectations} hypothesis, wherein
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agents form their expectations about the future in a way consistent
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with the model. But Dynare is also able to handle models where
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expectations are formed differently: on one extreme, models where
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agents perfectly anticipate the future; on the other extreme, models
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where agents have limited rationality or imperfect knowledge of the
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state of the economy and, hence, form their expectations through a
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learning process. In terms of types of agents, models solved by Dynare
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can incorporate consumers, productive firms, governments, monetary
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authorities, investors and financial intermediaries. Some degree of
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heterogeneity can be achieved by including several distinct classes of
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agents in each of the aforementioned agent categories.
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Dynare offers a user-friendly and intuitive way of describing these
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models. It is able to perform simulations of the model given a
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calibration of the model parameters and is also able to estimate these
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parameters given a dataset. In practice, the user will write a text
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file containing the list of model variables, the dynamic equations
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linking these variables together, the computing tasks to be performed
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and the desired graphical or numerical outputs.
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A large panel of applied mathematics and computer science techniques
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are internally employed by Dynare: multivariate nonlinear solving and
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optimization, matrix factorizations, local functional approximation,
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Kalman filters and smoothers, MCMC techniques for Bayesian estimation,
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graph algorithms, optimal control, @dots{}
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Various public bodies (central banks, ministries of economy and
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finance, international organisations) and some private financial
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institutions use Dynare for performing policy analysis exercises and
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as a support tool for forecasting exercises. In the academic world,
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Dynare is used for research and teaching purposes in postgraduate
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macroeconomics courses.
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Dynare is a free software, which means that it can be downloaded free
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of charge, that its source code is freely available, and that it can
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be used for both non-profit and for-profit purposes. Most of the
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source files are covered by the GNU General Public Licence (GPL)
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version 3 or later (there are some exceptions to this, see the file
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@file{license.txt} in Dynare distribution). It is available for the
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Windows, Mac and Linux platforms and is fully documented through a
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user guide and a reference manual. Part of Dynare is programmed in
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C++, while the rest is written using the
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@uref{http://www.mathworks.com/products/matlab/, MATLAB} programming
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language. The latter implies that commercially-available MATLAB
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software is required in order to run Dynare. However, as an
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alternative to MATLAB, Dynare is also able to run on top of
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@uref{http://www.octave.org, GNU Octave} (basically a free clone of
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MATLAB): this possibility is particularly interesting for students or
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institutions who cannot afford, or do not want to pay for, MATLAB and
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are willing to bear the concomitant performance loss.
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The development of Dynare is mainly done at
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@uref{http://www.cepremap.ens.fr, CEPREMAP} by a core team of
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researchers who devote part of their time to software
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development. Currently the development team of Dynare is composed of
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Stéphane Adjemian (Université du Maine, Gains and CEPREMAP), Houtan
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Bastani (CEPREMAP), Michel Juillard (Banque de France), Frédéric
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Karamé (Université d'Évry, Epee and CEPREMAP), Junior Maih (Norges
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Bank), Ferhat Mihoubi (Université d'Évry, Epee and CEPREMAP), George
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Perendia, Marco Ratto (JRC) and Sébastien Villemot (CEPREMAP and Paris
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School of Economics). Financial support is provided by CEPREMAP,
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Banque de France and DSGE-net (an international research network for
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DSGE modeling). Increasingly, the developer base is expanding, as
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tools developed by researchers outside of CEPREMAP are integrated into
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Dynare.
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Interaction between developers and users of Dynare is central to the
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project. A @uref{http://www.dynare.org/phpBB3, web forum} is available
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for users who have questions about the usage of Dynare or who want to
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report bugs. Training sessions are given through the Dynare Summer
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School, which is organized every year and is attended by about 40
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people. Finally, priorities in terms of future developments and
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features to be added are decided in cooperation with the institutions
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providing financial support.
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@node Documentation sources
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@section Documentation sources
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The present document is a reference manual for Dynare codes. It is not
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intended for basic usage, but for users willing to use Dynare as a library.
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There is also a reference manual for Dynare, documenting
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all commands and features in a systematic fashion.
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New users should rather begin with Dynare User Guide (@cite{Mancini
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(2007)}), distributed with Dynare and also available from the
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@uref{http://www.dynare.org,official Dynare web site}.
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Other useful sources of information include the
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@uref{http://www.dynare.org,Dynare wiki} and the
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@uref{http://www.dynare.org/phpBB3, Dynare forums}.
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@node Dynare structures
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@chapter Dynare structures
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@menu
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* options_::
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* dataset_::
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* M_::
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* oo_::
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* StateSpaceModel_::
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@end menu
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The data are organized in structures. General options are stored in @var{options_}, the model is decribed
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in @var{M_}, the dataset used for estimation purposes is given in @var{dataset_}, results are saved in @var{oo_}, ...
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@node options_
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@section options_
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The following table documents the options appearing in this structure and specify the default values.
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@node dataset_
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@section dataset_
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@node M_
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@section M_
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@node oo_
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@section oo_
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@node StateSpaceModel_
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@section StateSpaceModel_
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@node Data
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@chapter Data
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@include data.texi
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@node Estimation
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@chapter Estimation
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@include estimation.texi
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@node Simulation
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@chapter Simulation
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@include simulation.texi
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@node Miscellaneous
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@chapter Miscellaneous
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@include misc.texi
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@node Bibliography
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@chapter Bibliography
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@itemize
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@item
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Backus, David K., Patrick J. Kehoe, and Finn E. Kydland (1992):
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``International Real Business Cycles,'' @i{Journal of Political
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Economy}, 100(4), 745--775.
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@item
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Boucekkine, Raouf (1995): ``An alternative methodology for solving
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nonlinear forward-looking models,'' @i{Journal of Economic Dynamics
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and Control}, 19, 711--734.
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@item
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Collard, Fabrice (2001): ``Stochastic simulations with Dynare: A practical guide''.
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@item
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Collard, Fabrice and Michel Juillard (2001a): ``Accuracy of stochastic
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perturbation methods: The case of asset pricing models,'' @i{Journal
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of Economic Dynamics and Control}, 25, 979--999.
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@item
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Collard, Fabrice and Michel Juillard (2001b): ``A Higher-Order Taylor
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Expansion Approach to Simulation of Stochastic Forward-Looking Models
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with an Application to a Non-Linear Phillips Curve,'' @i{Computational
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Economics}, 17, 125--139.
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@item
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Durbin, J. and S. J. Koopman (2001), @i{Time Series Analysis by State
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Space Methods}, Oxford University Press.
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@item
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Fair, Ray and John Taylor (1983): ``Solution and Maximum Likelihood
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Estimation of Dynamic Nonlinear Rational Expectation Models,''
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@i{Econometrica}, 51, 1169--1185.
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@item
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Fernandez-Villaverde, Jesus and Juan Rubio-Ramirez (2004): ``Comparing
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Dynamic Equilibrium Economies to Data: A Bayesian Approach,''
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@i{Journal of Econometrics}, 123, 153--187.
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@item
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Ireland, Peter (2004): ``A Method for Taking Models to the Data,''
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@i{Journal of Economic Dynamics and Control}, 28, 1205--26.
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@item
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Judd, Kenneth (1996): ``Approximation, Perturbation, and Projection
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Methods in Economic Analysis'', in @i{Handbook of Computational
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Economics}, ed. by Hans Amman, David Kendrick, and John Rust, North
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Holland Press, 511--585.
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@item
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Juillard, Michel (1996): ``Dynare: A program for the resolution and
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simulation of dynamic models with forward variables through the use of
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a relaxation algorithm,'' CEPREMAP, @i{Couverture Orange}, 9602.
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@item
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Kim, Jinill, Sunghyun Kim, Ernst Schaumburg, and Christopher A. Sims
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(2008): ``Calculating and using second-order accurate solutions of
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discrete time dynamic equilibrium models,'' @i{Journal of Economic
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Dynamics and Control}, 32(11), 3397--3414.
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@item
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Koopman, S. J. and J. Durbin (2003): ``Filtering and Smoothing of
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State Vector for Diffuse State Space Models,'' @i{Journal of Time
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Series Analysis}, 24(1), 85--98.
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@item
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Laffargue, Jean-Pierre (1990): ``Résolution d'un modèle
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macroéconomique avec anticipations rationnelles'', @i{Annales
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d'Économie et Statistique}, 17, 97--119.
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@item
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Lubik, Thomas and Frank Schorfheide (2007): ``Do Central Banks Respond
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to Exchange Rate Movements? A Structural Investigation,'' @i{Journal
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of Monetary Economics}, 54(4), 1069--1087.
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@item
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Mancini-Griffoli, Tommaso (2007): ``Dynare User Guide: An introduction
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to the solution and estimation of DSGE models''.
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@item
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Pearlman, Joseph, David Currie, and Paul Levine (1986): ``Rational
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expectations models with partial information,'' @i{Economic
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Modelling}, 3(2), 90--105.
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@item
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Rabanal, Pau and Juan Rubio-Ramirez (2003): ``Comparing New Keynesian
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Models of the Business Cycle: A Bayesian Approach,'' Federal Reserve
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of Atlanta, @i{Working Paper Series}, 2003-30.
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@item
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Schorfheide, Frank (2000): ``Loss Function-based evaluation of DSGE
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models,'' @i{Journal of Applied Econometrics}, 15(6), 645--670.
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@item
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Schmitt-Grohé, Stephanie and Martin Uríbe (2004): ``Solving Dynamic
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General Equilibrium Models Using a Second-Order Approximation to the
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Policy Function,'' @i{Journal of Economic Dynamics and Control},
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28(4), 755--775.
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@item
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Smets, Frank and Rafael Wouters (2003): ``An Estimated Dynamic
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Stochastic General Equilibrium Model of the Euro Area,'' @i{Journal of
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the European Economic Association}, 1(5), 1123--1175.
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@end itemize
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@node Command and Function Index
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@unnumbered Command and Function Index
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@printindex fn
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@node Variable Index
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@unnumbered Variable Index
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@printindex vr
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@bye
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