706 lines
25 KiB
Plaintext
706 lines
25 KiB
Plaintext
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.
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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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The new release is compatible with MATLAB versions ranging from 7.0 (R14) to
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8.1 (R2013a) and with GNU Octave versions ranging from 3.2 to 3.6.
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Here is a list of the problems identified in version 4.3.2 and that have been
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fixed in version 4.3.3:
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- Estimation with measurement errors was wrong if a correlation between two
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measurement errors was calibrated
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- Option `use_dll' was broken under Windows
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- Degenerate case of purely static models (no leads/no lags) were not
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correctly handled
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- Deterministic simulations over a single period were not correctly done
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- The sensitivity call `dynare_sensitivity(identification=1,morris=2)' was
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buggy when there are no shocks estimated
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- Calls to `shock_decomposition' after using `selected_variables_only' option
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fail
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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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- 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.
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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) should follow soon.
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All users are encouraged to upgrade.
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The new release is compatible with MATLAB versions ranging from 7.0 (R14) to
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8.0 (R2012b) and with GNU Octave versions ranging from 3.2 to 3.6.
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Here is a list of the problems identified in version 4.3.1 and that have been
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fixed in version 4.3.2:
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- Computation of posterior distribution of unconditional variance
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decomposition was sometimes crashing (only for very large models)
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- Estimation with `mode_compute=6' was sometimes crashing
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- Derivative of erf() function was incorrect
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- The `check' command was not setting `oo_.dr.eigval' unless `stoch_simul' was
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also used
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- Computation of conditional forecast when the constraint is only on
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one period was buggy
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- Estimation with `mode_compute=3' was crashing under Octave
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Announcement for Dynare 4.3.1 (on 2012-10-10)
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=============================================
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We are pleased to announce the release of Dynare 4.3.1. This release adds a few
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minor features and fixes various bugs.
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The Windows and Mac packages are already available for download at:
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http://www.dynare.org/download/dynare-stable
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The GNU/Linux packages (for Debian and Ubuntu) should follow soon.
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All users are strongly encouraged to upgrade.
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The new release is compatible with MATLAB versions ranging from 7.0 (R14) to
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8.0 (R2012b) and with GNU Octave versions ranging from 3.2 to 3.6.
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Here is the list of the main user-visible changes:
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* New features in the user interface:
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- New `@#ifndef' directive in the macro-processor
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- Possibility of simultaneously specifying several output formats in the
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`graph_format' option
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- Support for XLSX files in `datafile' option of `estimation' and in
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`initval_file'
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* Bugs and problems identified in version 4.3.0 and that have been fixed in
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version 4.3.1:
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- Shock decomposition was broken
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- The welfare computation with `ramsey_policy' was buggy when used in
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conjunction with `histval'
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- Estimation of models with both missing observations and measurement errors
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was buggy
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- The option `simul_replic' was broken
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- The macro-processor directive `@#ifdef' was broken
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- Identification with `max_dim_cova_group > 1' was broken for specially
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degenerate models (when parameter theta has pairwise collinearity of one
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with multiple other parameters, i.e. when all couples (theta,b), (theta,c),
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... (theta,d) have perfect collinearity in the Jacobian of the model)
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- The `parallel_test' option was broken
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- Estimation with correlated shocks was broken when the correlations were
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specified in terms of correlation and not in terms of co-variance
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- The Windows package was broken with MATLAB 7.1 and 7.2
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- When using `mode_compute=0' with a mode file generated using
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`mode_compute=6', the value of option `mh_jscale' was not loaded
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- Using exogenous deterministic variables at 2nd order was causing a crash
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- The option `no_create_init' for the `ms_estimation' command was broken
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- Loading of datafiles with explicit filename extensions was not working
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- The preprocessor had a memory corruption problem which could randomly lead
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to crashes
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Announcement for Dynare 4.3.0 (on 2012-06-15)
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=============================================
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We are pleased to announce the release of Dynare 4.3.0. This major release adds
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new features and fixes various bugs.
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The Windows and Mac packages are already available for download at:
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http://www.dynare.org/download/dynare-4.3
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The GNU/Linux packages should follow soon.
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All users are strongly encouraged to upgrade.
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The new release is compatible with MATLAB versions ranging from 7.0 (R14) to
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7.14 (R2012a) and with GNU Octave versions ranging from 3.2 to 3.6.
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Here is the list of the main user-visible changes:
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* New major algorithms:
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- Nonlinear estimation with a particle filter based on a second order
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approximation of the model, as in Fernández-Villaverde and Rubio-Ramírez
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(2005); this is triggered by setting `order=2' in the `estimation' command
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- Extended path solution method as in Fair and Taylor (1983); see the
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`extended_path' command
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- Support for Markov-Switching Structural Bayesian VARs (MS-SBVAR) along the
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lines of Sims, Waggoner and Zha (2008) (see the dedicated section in the
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reference manual)
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- Optimal policy under discretion along the lines of Dennis (2007); see the
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`discretionary_policy' command
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- Identification analysis along the lines of Iskrev (2010); see the
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`identification' command
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- The Global Sensitivity Analysis toolbox (Ratto, 2008) is now part of the
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official Dynare distribution
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* Other algorithmic improvements:
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- Stochastic simulation and estimation can benefit from block decomposition
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(with the `block' option of `model'; only at 1st order)
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- Possibility of running smoother and filter on a calibrated model; see the
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`calib_smoother' command
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- Possibility of doing conditional forecast on a calibrated model; see the
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`parameter_set=calibration' option of the `conditional_forecast' command
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- The default algorithm for deterministic simulations has changed and is now
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based on sparse matrices; the historical algorithm (Laffargue, Boucekkine
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and Juillard) is still available under the `stack_solve_algo=6'option of the
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`simul' command
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- Possibility of using an analytic gradient for the estimation; see the
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`analytic_derivation' option of the `estimation' command
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- Implementation of the Nelder-Mead simplex based optimization routine for
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computing the posterior mode; available under the `mode_compute=8' option of
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the `estimation' command
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- Implementation of the CMA Evolution Strategy algorithm for computing the
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posterior mode; available under the `mode_compute=9' option of the
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`estimation' command
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- New solvers for Lyapunov equations which can accelerate the estimation of
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large models; see the `lyapunov' option of the `estimation' command
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- New solvers for Sylvester equations which can accelerate the resolution of
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large models with block decomposition; see the `sylvester' option of the
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`stoch_simul' and `estimation' commands
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- The `ramsey_policy' command now displays the planner objective value
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function under Ramsey policy and stores it in `oo_.planner_objective_value'
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- Theoretical autocovariances are now computed when the `block' option is
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present
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- The `linear' option is now compatible with the `block' and `bytecode'
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options
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- The `loglinear' option now works with purely backward or forward models at
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first order
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* New features in the user interface:
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- New mathematical primitives allowed in model block: `abs()', `sign()'
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- The behavior with respect to graphs has changed:
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+ By default, Dynare now displays graphs and saves them to disk in EPS
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format only
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+ The format can be changed to PDF or FIG with the new `graph_format'
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option
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+ It is possible to save graphs to disk without displaying them with the
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new `nodisplay' option
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- New `nocheck' option to the `steady' command: tells not to check the steady
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state and accept values given by the user (useful for models with unit
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roots)
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- A series of deterministic shocks can be passed as a pre-defined vector in
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the `values' statement of a `shocks' block
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- New option `sub_draws' in the `estimation' command for controlling the
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number of draws used in computing the posterior distributions of various
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objects
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- New macroprocessor command `@#ifdef' for testing if a macro-variable is
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defined
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- New option `irf_shocks' of the `stoch_simul' command, to allow IRFs to be
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created only for certain exogenous variables
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- In the parallel engine, possibility of assigning different weights to nodes
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in the cluster and of creating clusters comprised of nodes with different
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operating systems (see the relevant section in the reference manual)
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- It is now possible to redefine a parameter in the `steady_state_model' block
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(use with caution)
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- New option `maxit' in the `simul' and `steady' commands to determine the
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maximum number of iterations of the nonlinear solver
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- New option `homotopy_force_continue' in the `steady' command to control the
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behavior when a homotopy fails
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- Possibility of globally altering the defaults of options by providing a file
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in the `GlobalInitFile' field of the configuration file (use with caution)
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- New option `nolog' to the `dynare' command line to avoid creating a logfile
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- New option `-D' to the `dynare' command line with for defining
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macro-variables
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* Miscellaneous changes:
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- The `use_dll' option of `model' now creates a MEX file for the static model
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in addition to that for the dynamic model
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- The `unit_root_vars' command is now obsolete; use the `diffuse_filter'
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option of the `estimation' command instead
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- New option `--burn' to Dynare++ to discard initial simulation points
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- New top-level MATLAB/Octave command `internals' for internal documentation
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and unitary tests
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* Bugs and problems identified in version 4.2.5 and that have been fixed in
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version 4.3.0:
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- Backward models with the `loglinear' option were incorrectly handled
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- Solving for hyperparameters of inverse gamma priors was sometimes crashing
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- The deterministic solver for purely forward models was broken
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- When running `estimation' or `identification' on models with non-diagonal
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structural error covariance matrices, while not simultaneously estimating
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the correlation between shocks (i.e. calibrating the correlation), the
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off-diagonal elements were incorrectly handled or crashes were occuring
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- When using the `prefilter' option, smoother plots were omitting the smoothed
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observables
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- In the rare case of entering and expression x as x^(alpha-1) with x being 0
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in steady state and alpha being a parameter equal to 2, the Jacobian was
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evaluating to 0 instead of 1
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- Setting the prior for shock correlations was failing if a lower bound was not
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explicitly specified
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* References:
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- Dennis, Richard (2007): “Optimal Policy In Rational Expectations Models: New
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Solution Algorithms,” Macroeconomic Dynamics, 11(1), 31–55
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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,” Econometrica,
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51, 1169–1185
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- Fernández-Villaverde, Jesús and Juan Rubio-Ramírez (2005): “Estimating
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Dynamic Equilibrium Economies: Linear versus Nonlinear Likelihood,” Journal
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of Applied Econometrics, 20, 891–910
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- Iskrev, Nikolay (2010): “Local identification in DSGE models,” Journal of
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Monetary Economics, 57(2), 189–202
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- Ratto, Marco (2008): “Analysing DSGE models with global sensitivity
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analysis'', Computational Economics, 31, 115–139
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- Sims, Christopher A., Daniel F. Waggoner and Tao Zha (2008): “Methods for
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inference in large multiple-equation Markov-switching models,” Journal of
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Econometrics, 146, 255–274
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Announcement for Dynare 4.2.5 (on 2012-03-14)
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=============================================
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We are pleased to announce the release of Dynare 4.2.5.
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This is a bugfix release.
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The Windows package for the new release is already available for download at
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the official Dynare website <http://www.dynare.org>. The Mac and Linux packages
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should follow soon.
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All users are strongly encouraged to upgrade.
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The new release is compatible with MATLAB versions ranging from 7.0 (R14) to
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7.14 (R2012a) and with GNU Octave versions ranging from 3.0 to 3.6.
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Note that GNU Octave users under Windows will have to upgrade to GNU Octave
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version 3.6.1 (MinGW). The Octave installer can be downloaded at:
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http://www.dynare.org/octave/Octave3.6.1_gcc4.6.2_20120303-setup.exe
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Here is a non-exhaustive list of the problems identified in version 4.2.4 and
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that have been fixed in version 4.2.5:
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* The MATLAB optimization toolbox was sometimes not correctly detected even
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when installed
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* Using the inverse gamma distribution with extreme hyperparameter values
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could lead to a crash
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* Various issues in the accelerated deterministic solver with block
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decomposition
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* Various issues in the parallelization engine
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* Compatibility issues with the Global Sensitivity Analysis toolbox
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* The Dynare++ binary was broken in the Windows package because of a missing
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dynamic library
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Announcement for Dynare 4.2.4 (on 2011-12-02)
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=============================================
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We are pleased to announce the release of Dynare 4.2.4.
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This is a bugfix release. It comes only a few days after the previous release,
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because version 4.2.3 was affected by a critical bug (see below).
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The Windows package for the new release is already available for download at
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the official Dynare website <http://www.dynare.org>. The Mac and Linux packages
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should follow soon.
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All users are strongly encouraged to upgrade, especially those who have
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installed the buggy 4.2.3 release.
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The new release is compatible with MATLAB versions ranging from 7.0 (R14) to
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7.13 (R2011b) and with GNU Octave versions ranging from 3.0 to 3.4.
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Here is the list of the problems identified in version 4.2.3 and that have been
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fixed in version 4.2.4:
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* Second order approximation was broken for most models, giving incorrect
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results (this problem only affects version 4.2.3, not previous versions)
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* Bayesian priors with inverse gamma distribution and very small variances
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were giving incorrect results in some cases
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* The `model_diagnostics' command was broken
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Announcement for Dynare 4.2.3 (on 2011-11-30)
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=============================================
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We are pleased to announce the release of Dynare 4.2.3.
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This is a bugfix release.
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The Windows package is already available for download at the official
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Dynare website <http://www.dynare.org>. The Mac and Linux packages
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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 7.0 (R14)
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to 7.13 (R2011b) and with GNU Octave versions ranging from 3.0 to 3.4.
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Here is a non-exhaustive list of the problems identified in version 4.2.2 and
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that have been fixed in version 4.2.3:
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* `steady_state_model' was broken for lags higher than 2
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* `simult_.m' was not working correctly with `order=3' if `k_order_solver' had
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not been explicitly specified
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* `stoch_simul' with `order=3' and without `periods' option was reporting
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dummy theoretical moments
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* Under Octave, option `solve_algo=0' was causing crashes in `check' and
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`stoch_simul'
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* Identification module was broken
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* The test for singularity in the model reporting eigenvalues close to 0/0 was
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sometimes reporting false positives
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* The `conditional_variance_decomposition' option was not working if one
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period index was 0. Now, Dynare reports an error if the periods are not
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strictly positive.
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* Second order approximation was buggy if one variable was not present at the
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current period
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Announcement for Dynare 4.2.2 (on 2011-10-04)
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=============================================
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We are pleased to announce the release of Dynare 4.2.2.
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This is a bugfix release.
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The Windows package is already available for download at the official
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Dynare website <http://www.dynare.org>. The Mac and Linux packages
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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 7.0 (R14)
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to 7.13 (R2011b) and with GNU Octave versions ranging from 3.0 to 3.4.
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Here is a list of the problems identified in version 4.2.1 and that have
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been fixed in version 4.2.2:
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* The secondary rank test following the order test of the Blanchard and
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Kahn condition was faulty and almost never triggered
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* The variance prior for BVAR “à la Sims” with only one lag was
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inconsistent. The solution implemented consists of adding one extra
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observation in the presample used to compute the prior; as a
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consequence, the numerical results for all estimations will be
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slightly different in future releases (thanks to Marek Jarociński for
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spotting this)
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* The `conditional_forecast' command was buggy: it was always using the
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posterior mode, whatever the value of the `parameter_set' option
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* `STEADY_STATE' was not working correctly with certain types of
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expressions (the priority of the addition and substraction operators
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was incorrectly handled)
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* With the `block' option of `model', the preprocessor was failing on
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expressions of the form "a^b" (with no endogenous in "a" but an
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endogenous in "b")
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* Some native MATLAB statements were not correctly passed on to MATLAB
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(e.g. x = { 'foo' 'bar' } )
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* `external_function' was crashing in some circumstances
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* The lambda parameter for HP filter was restricted to integer values
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for no good reason
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* The `load_mh_file' option of `estimation' was crashing under Octave
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for Windows (MinGW version)
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* 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
|