2210 lines
79 KiB
Plaintext
2210 lines
79 KiB
Plaintext
Announcement for Dynare 4.5.6 (on 2018-07-25)
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=============================================
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We are pleased to announce the release of Dynare 4.5.6.
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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 7.5 (R2007b) to 9.4 (R2018a)
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and with GNU Octave versions 4.4.
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Here is a list of the problems identified in version 4.5.5 and that have been
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fixed in version 4.5.6:
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- TaRB sampler: incorrect last posterior was returned if the last draw was
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rejected.
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- Fixed online particle filter by drawing initial conditions in the prior
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distribution.
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- Fixed evaluation of the likelihood in non linear / particle filters.
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- Added missing documented `montecarlo` option in Gaussian Filter and
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Nonlinear Kalman Filter.
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- Added back a flag to deal with errors on Cholesky decomposition in the
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Conditional Particle Filter.
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- Macroprocessor `length()` operator was returning 1 when applied to a
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string. Macroprocessor now raises an error when `length()` operator is
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called on an integer and return the number of characters when applied to a
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string.
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- `mode_compute=8`: the error code during mode-finding was not correctly
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handled, resulting in crashes.
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- Identification was not correctly displaying a message for collinear parameters
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if there was no unidentified parameter present.
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Announcement for Dynare 4.5.5 (on 2018-06-08)
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=============================================
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We are pleased to announce the release of Dynare 4.5.5.
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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 7.5 (R2007b) to 9.4 (R2018a)
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and with GNU Octave versions 4.2.
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Here is a list of the problems identified in version 4.5.4 and that have been
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fixed in version 4.5.5:
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- Identification was crashing during prior sampling if `ar` was initially too
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low.
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- The `align` method on `dseries` did not return a functional second `dseries`
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output.
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- Predetermined variables were not properly set when used in model local
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variables.
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- `perfect_foresight_solver` with option `stack_solve_algo=7` was not working
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correctly when an exogenous variable has a lag greater than 1.
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- `identification` with `prior_mc` option would crash if the number of moments
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with non-zero derivative is smaller than the number of parameters.
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- Calling several times `normcdf` or `normpdf` with the same arguments in a
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model with block decomposition (but not bytecode) was leading to incorrect
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results.
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Announcement for Dynare 4.5.4 (on 2018-01-29)
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=============================================
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We are pleased to announce the release of Dynare 4.5.4.
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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 7.5 (R2007b) to 9.3 (R2017b)
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and with GNU Octave versions 4.2.
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Here is a list of the problems identified in version 4.5.3 and that have been
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fixed in version 4.5.4:
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- The `type` option of `plot_shock_decomposition` was always set to `qoq` regardless of what is specified.
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- Bug in GSA when no parameter was detected below pvalue threshold.
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- Various bug fixes in shock decompositions.
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- Bug in reading in macro arrays passed on `dynare` command line via the `-D` option.
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- Estimation with missing values was crashing if the `prefilter` option was used.
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- Added a workaround for a difference in behaviour between Octave and Matlab regarding the creation
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of function handles for functions that do not exist in the path. With Octave 4.2.1, steady state
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files did not work if no auxiliary variables were created.
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- The `stoch_simul` command was crashing with a cryptic message if option `order=3` was used without
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setting `k_order_solver`.
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- In cases where the prior bounds are infinite and the mode is estimated at exactly 0, no `mode_check`
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graphs were displayed.
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- Parallel execution of MCMC was broken in models without auxiliary variables.
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- Reading data with column names from Excel might crash.
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- The multivariate Kalman smoother was crashing in case of missing data in the observations and
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`Finf` became singular.
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- The `plot_shock_decomposition` command ignored various user-defined options like `fig_name`,
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`use_shock_groups` or `interactive` and instead used the default options.
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- Nested `@#ifdef` and `@#ifndef` statements don't work in the macroprocessor.
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Announcement for Dynare 4.5.3 (on 2017-10-19)
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=============================================
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We are pleased to announce the release of Dynare 4.5.3.
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This is a bugfix release. It comes less than 24 hours after the previous release,
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because version 4.5.2 was affected by a critical bug for MATLAB older than R2016b.
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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 7.5 (R2007b) to 9.3 (R2017b)
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and with GNU Octave versions 4.2.
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Here is a list of the problems identified in version 4.5.2 and that have been
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fixed in version 4.5.3:
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- `isfile` routine was failing with matlab older than R2016b. This bug did not
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affect Octave.
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Announcement for Dynare 4.5.2 (on 2017-10-19)
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=============================================
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We are pleased to announce the release of Dynare 4.5.2.
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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 7.5 (R2007b) to 9.3 (R2017b)
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and with GNU Octave versions 4.2.
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Here is a list of the problems identified in version 4.5.1 and that have been
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fixed in version 4.5.2:
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- Fixed bug in perfect foresight solver:
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+ If expected shocks were declared after the terminal period, as specified
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by the `periods` option, Dynare was crashing.
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+ Models declared with the `linear` option were crashing if exogenous
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variables were present with a lead or lag.
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- After ML or Bayesian estimation when the smoother option or `mh_replic=0`
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were not specified, not all smoothed measurement errors were displayed.
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- Fixed error in reference manual about the `conditional_forecasts` command.
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- Fixed smoother behaviour, provide informative error instead of crashing when
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model cannot be solved.
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- The `nopathchange` preprocessor option was always triggered, regardless of
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whether it was passed or not.
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- When `ramsey_policy` is used, allow state variables to be set in `histval`
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block.
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- `histval` erroneously accepted leads, leading to cryptic crashes.
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- The prior MC draws from previous runs were not deleted, potentially
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resulting in loading stale files.
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- `estim_params_` was being declared `global` more than once.
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- Fixed crashes happening when simulating linear models with order>1.
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- Make empirical moments independent of `simul_replic`, as stated in the
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reference manual, by outputting moments computed with the first simulated
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sample.
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- The `prior_function` required a preceding `estimation`-command to properly
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set up the prior.
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- If the mode for a parameter was at exactly 0, `mode_check` was crashing.
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- Fixed `get_posterior_parameters`-routine which should not do more than
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getting parameters. As a consequense, the `shock_decomposition`-command
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did not correctly set the `parameter_set` for use in subsequent function
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calls if shocks are correlated or measurement error is present.
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- Fixed bug in Ramsey problem with constraints both on a policy instrument and
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another variable. Note that the constraint on a variable that is not an
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instrument of the Ramsey problem must be written with an equation tag in the
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model block.
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- Fixed bug in Ramsey problem with constraints on policy instrument.
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- Fixed crash with optimizer 5 when not used with DSGE model at order 1.
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- Fixed mex file used for third order approximation (was crashing on
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Matlab/Windows 7).
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Announcement for Dynare 4.5.1 (on 2017-08-24)
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=============================================
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We are pleased to announce the release of Dynare 4.5.1.
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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 7.5 (R2007b) to 9.2 (R2017a)
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and with GNU Octave versions 4.2.
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Here is a list of the problems identified in version 4.5.0 and that have been
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fixed in version 4.5.1:
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- Fixed out of memory issue with simpsa optimization algorithm.
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- Added missing plots for measurement errors with `generate_trace_plot`
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command.
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- Posterior moments after MCMC for very big models were not correctly computed
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and their plotting might crash Dynare.
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- Results of the posterior conditional variance decomposition after MCMC were
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not correctly computed.
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- Options `use_shock_groups` and `colormap` of the `shock_decomposition`
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command were not working.
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- Added a clean error message if sensitivity toolbox is used with recursive
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estimation.
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- Computation of posterior filtered variables was crashing in models with only
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one variable.
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- Fixed various typos and errors in the reference manual.
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Announcement for Dynare 4.5.0 (on 2017-06-11)
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=============================================
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We are pleased to announce the release of Dynare 4.5.0.
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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 7.5 (R2007b) to
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9.2 (R2017a) and with GNU Octave version 4.2.
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Here is the list of major user-visible changes:
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- Ramsey policy
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+ Added command `ramsey_model` that builds the expanded model with
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FOC conditions for the planner's problem but doesn't perform any
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computation. Usefull to compute Ramsey policy in a perfect
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foresight model,
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+ `ramsey_policy` accepts multipliers in its variable list and
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displays results for them.
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- Perfect foresight models
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+ New commands `perfect_foresight_setup` (for preparing the
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simulation) and `perfect_foresight_solver` (for computing it). The
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old `simul` command still exist and is now an alias for
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`perfect_foresight_setup` + `perfect_foresight_solver`. It is no
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longer possible to manipulate by hand the contents of
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`oo_.exo_simul` when using `simul`. People who want to do
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it must first call `perfect_foresight_setup`, then do the
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manipulations, then call `perfect_foresight_solver`,
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+ By default, the perfect foresight solver will try a homotopy
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method if it fails to converge at the first try. The old behavior
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can be restored with the `no_homotopy` option,
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+ New option `stack_solve_algo=7` that allows specifying a
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`solve_algo` solver for solving the model,
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+ New option `solve_algo` that allows specifying a solver for
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solving the model when using `stack_solve_algo=7`,
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+ New option `lmmcp` that solves the model via a Levenberg-Marquardt
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mixed complementarity problem (LMMCP) solver,
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+ New option `robust_lin_solve` that triggers the use of a robust
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linear solver for the default `solve_algo=4`,
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+ New options `tolf` and `tolx` to control termination criteria of
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solvers,
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+ New option `endogenous_terminal_period` to `simul`,
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+ Added the possibility to set the initial condition of the
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(stochastic) extended path simulations with the histval block.
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- Optimal simple rules
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+ Saves the optimal value of parameters to `oo_.osr.optim_params`,
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+ New block `osr_params_bounds` allows specifying bounds for the
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estimated parameters,
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+ New option `opt_algo` allows selecting different optimizers while
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the new option `optim` allows specifying the optimizer options,
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+ The `osr` command now saves the names, bounds, and indices for the
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estimated parameters as well as the indices and weights of the
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variables entering the objective function into `M_.osr`.
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- Forecasts and Smoothing
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+ The smoother and forecasts take uncertainty about trends and means
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into account,
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+ Forecasts accounting for measurement error are now saved in fields
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of the form `HPDinf_ME` and `HPDsup_ME`,
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+ New fields `oo_.Smoother.Trend` and `oo_.Smoother.Constant` that
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save the trend and constant parts of the smoothed variables,
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+ new field `oo_.Smoother.TrendCoeffs` that stores the trend
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coefficients.
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+ Rolling window forecasts allowed in `estimation` command by
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passing a vector to `first_obs`,
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+ The `calib_smoother` command now accepts the `loglinear`,
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`prefilter`, `first_obs` and `filter_decomposition` options.
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- Estimation
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+ New options: `logdata`, `consider_all_endogenous`,
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`consider_only_observed`, `posterior_max_subsample_draws`,
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`mh_conf_sig`, `diffuse_kalman_tol`, `dirname`, `nodecomposition`
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+ `load_mh_file` and `mh_recover` now try to load chain's proposal density,
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+ New option `load_results_after_load_mh` that allows loading some
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posterior results from a previous run if no new MCMC draws are
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added,
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+ New option `posterior_nograph` that suppresses the generation of
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graphs associated with Bayesian IRFs, posterior smoothed objects,
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and posterior forecasts,
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+ Saves the posterior density at the mode in
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`oo_.posterior.optimization.log_density`,
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+ The `filter_covariance` option now also works with posterior
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sampling like Metropolis-Hastings,
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+ New option `no_posterior_kernel_density` to suppress computation
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of kernel density of posterior objects,
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+ Recursive estimation and forecasting now provides the individual
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`oo_` structures for each sample in `oo_recursive_`,
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+ The `trace_plot` command can now plot the posterior density,
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+ New command `generate_trace_plots` allows generating all trace
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plots for one chain,
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+ New commands `prior_function` and `posterior_function` that
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execute a user-defined function on parameter draws from the
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prior/posterior distribution,
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+ New option `huge_number` for replacement of infinite bounds with
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large number during `mode_compute`,
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+ New option `posterior_sampling_method` allows selecting the new
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posterior sampling options:
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`tailored_random_block_metropolis_hastings` (Tailored randomized
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block (TaRB) Metropolis-Hastings), `slice` (Slice sampler),
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`independent_metropolis_hastings` (Independent
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Metropolis-Hastings),
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+ New option `posterior_sampler_options` that allow controlling the
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options of the `posterior_sampling_method`, its `scale_file`-option
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pair allows loading the `_mh_scale.mat`-file storing the tuned
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scale factor from a previous run of `mode_compute=6`,
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+ New option `raftery_lewis_diagnostics` that computes Raftery/Lewis
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(1992) convergence diagnostics,
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+ New option `fast_kalman_filter` that provides fast Kalman filter
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using Chandrasekhar recursions as described in Ed Herbst (2015),
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+ The `dsge_var` option now saves results at the posterior mode into
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`oo_.dsge_var`,
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+ New option `smoothed_state_uncertainty` to provide the uncertainty
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estimate for the smoothed state estimate from the Kalman smoother,
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+ New prior density: generalized Weibull distribution,
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+ Option `mh_recover` now allows continuing a crashed chain at the
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last save mh-file,
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+ New option `nonlinear_filter_initialization` for the
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`estimation` command. Controls the initial covariance matrix
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of the state variables in nonlinear filters.
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+ The `conditional_variance_decomposition` option now displays
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output and stores it as a LaTeX-table when the `TeX` option is
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invoked,
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+ The `use_calibration` to `estimated_params_init` now also works
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with ML,
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+ Improved initial estimation checks.
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- Steady state
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+ The default solver for finding the steady state is now a
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trust-region solver (can be triggered explicitly with option
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`solve_algo=4`),
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+ New options `tolf` and `tolx` to control termination criteria of
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solver,
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+ The debugging mode now provides the termination values in steady
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state finding.
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- Stochastic simulations
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+ New options `nodecomposition`,
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+ New option `bandpass_filter` to compute bandpass-filtered
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theoretical and simulated moments,
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+ New option `one_sided_hp_filter` to compute one-sided HP-filtered
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simulated moments,
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+ `stoch_simul` displays a simulated variance decomposition when
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simulated moments are requested,
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+ `stoch_simul` saves skewness and kurtosis into respective fields
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of `oo_` when simulated moments have been requested,
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+ `stoch_simul` saves the unconditional variance decomposition in
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`oo_.variance_decomposition`,
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+ New option `dr_display_tol` that governs omission of small terms
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in display of decision rules,
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+ The `stoch_simul` command now prints the displayed tables as LaTeX
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code when the new `TeX` option is enabled,
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+ The `loglinear` option now works with lagged and leaded exogenous
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variables like news shocks,
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+ New option `spectral_density` that allows displaying the spectral
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density of (filtered) endogenous variables,
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+ New option `contemporaneous_correlation` that allows saving
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contemporaneous correlations in addition to the covariances.
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- Identification
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+ New options `diffuse_filter` and `prior_trunc`,
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+ The `identification` command now supports correlations via
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simulated moments,
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- Sensitivity analysis
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+ New blocks `irf_calibration` and `moment_calibration`,
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+ Outputs LaTeX tables if the new `TeX` option is used,
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+ New option `relative_irf` to `irf_calibration` block.
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- Conditional forecast
|
||
|
||
+ Command `conditional_forecast` now takes into account `histval`
|
||
block if present.
|
||
|
||
|
||
- Shock decomposition
|
||
|
||
+ New option `colormap` to `shocks_decomposition` for controlling
|
||
the color map used in the shocks decomposition graphs,
|
||
|
||
+ `shocks_decomposition` now accepts the `nograph` option,
|
||
|
||
+ New command `realtime_shock_decomposition` that for each period `T= [presample,...,nobs]`
|
||
allows computing the:
|
||
|
||
* realtime historical shock decomposition `Y(t|T)`, i.e. without observing data in `[T+1,...,nobs]`
|
||
|
||
* forecast shock decomposition `Y(T+k|T)`
|
||
|
||
* realtime conditional shock decomposition `Y(T+k|T+k)-Y(T+k|T)`
|
||
|
||
+ New block `shock_groups` that allows grouping shocks for the
|
||
`shock_decomposition` and `realtime_shock_decomposition` commands,
|
||
|
||
+ New command `plot_shock_decomposition` that allows plotting the
|
||
results from `shock_decomposition` and
|
||
`realtime_shock_decomposition` for different vintages and shock
|
||
groupings.
|
||
|
||
|
||
- Macroprocessor
|
||
|
||
+ Can now pass a macro-variable to the `@#include` macro directive,
|
||
|
||
+ New preprocessor flag `-I`, macro directive `@#includepath`, and
|
||
dynare config file block `[paths]` to pass a search path to the
|
||
macroprocessor to be used for file inclusion via `@#include`.
|
||
|
||
|
||
- Command line
|
||
|
||
+ New option `onlyclearglobals` (do not clear JIT compiled functions
|
||
with recent versions of Matlab),
|
||
|
||
+ New option `minimal_workspace` to use fewer variables in the
|
||
current workspace,
|
||
|
||
+ New option `params_derivs_order` allows limiting the order of the
|
||
derivatives with respect to the parameters that are calculated by
|
||
the preprocessor,
|
||
|
||
+ New command line option `mingw` to support the MinGW-w64 C/C++
|
||
Compiler from TDM-GCC for `use_dll`.
|
||
|
||
|
||
- dates/dseries/reporting classes
|
||
|
||
+ New methods `abs`, `cumprod` and `chain`,
|
||
|
||
+ New option `tableRowIndent` to `addTable`,
|
||
|
||
+ Reporting system revamped and made more efficient, dependency on
|
||
matlab2tikz has been dropped.
|
||
|
||
|
||
- Optimization algorithms
|
||
|
||
+ `mode_compute=2` Uses the simulated annealing as described by
|
||
Corana et al. (1987),
|
||
|
||
+ `mode_compute=101` Uses SOLVEOPT as described by Kuntsevich and
|
||
Kappel (1997),
|
||
|
||
+ `mode_compute=102` Uses `simulannealbnd` from Matlab's Global
|
||
Optimization Toolbox (if available),
|
||
|
||
+ New option `silent_optimizer` to shut off output from mode
|
||
computing/optimization,
|
||
|
||
+ New options `verbosity` and `SaveFiles` to control output and
|
||
saving of files during mode computing/optimization.
|
||
|
||
|
||
- LaTeX output
|
||
|
||
+ New command `write_latex_original_model`,
|
||
|
||
+ New option `write_equation_tags` to `write_latex_dynamic_model`
|
||
that allows printing the specified equation tags to the generate
|
||
LaTeX code,
|
||
|
||
+ New command `write_latex_parameter_table` that writes the names and
|
||
values of model parameters to a LaTeX table,
|
||
|
||
+ New command `write_latex_prior_table` that writes the descriptive
|
||
statistics about the prior distribution to a LaTeX table,
|
||
|
||
+ New command `collect_latex_files` that creates one compilable LaTeX
|
||
file containing all TeX-output.
|
||
|
||
|
||
- Misc.
|
||
|
||
+ Provides 64bit preprocessor,
|
||
|
||
+ Introduces new path management to avoid conflicts with other
|
||
toolboxes,
|
||
|
||
+ Full compatibility with Matlab 2014b's new graphic interface,
|
||
|
||
+ When using `model(linear)`, Dynare automatically checks
|
||
whether the model is truly linear,
|
||
|
||
+ `usedll`, the `msvc` option now supports `normcdf`, `acosh`,
|
||
`asinh`, and `atanh`,
|
||
|
||
+ New parallel option `NumberOfThreadsPerJob` for Windows nodes that
|
||
sets the number of threads assigned to each remote MATLAB/Octave
|
||
run,
|
||
|
||
+ Improved numerical performance of
|
||
`schur_statespace_transformation` for very large models,
|
||
|
||
+ The `all_values_required` option now also works with `histval`,
|
||
|
||
+ Add missing `horizon` option to `ms_forecast`,
|
||
|
||
+ BVAR now saves the marginal data density in
|
||
`oo_.bvar.log_marginal_data_density` and stores prior and
|
||
posterior information in `oo_.bvar.prior` and
|
||
`oo_.bvar.posterior`.
|
||
|
||
|
||
|
||
* Bugs and problems identified in version 4.4.3 and that have been fixed in version 4.5.0:
|
||
|
||
|
||
- BVAR models
|
||
|
||
+ `bvar_irf` could display IRFs in an unreadable way when they moved from
|
||
negative to positive values,
|
||
|
||
+ In contrast to what is stated in the documentation, the confidence interval
|
||
size `conf_sig` was 0.6 by default instead of 0.9.
|
||
|
||
|
||
- Conditional forecasts
|
||
|
||
+ The `conditional_forecast` command produced wrong results in calibrated
|
||
models when used at initial values outside of the steady state (given with
|
||
`initval`),
|
||
|
||
+ The `plot_conditional_forecast` option could produce unreadable figures if
|
||
the areas overlap,
|
||
|
||
+ The `conditional_forecast` command after MLE crashed,
|
||
|
||
+ In contrast to what is stated in the manual, the confidence interval size
|
||
`conf_sig` was 0.6 by default instead of 0.8.
|
||
|
||
+ Conditional forecasts were wrong when the declaration of endogenous
|
||
variables was not preceeding the declaration of the exogenous
|
||
variables and parameters.
|
||
|
||
|
||
- Discretionary policy
|
||
|
||
+ Dynare allowed running models where the number of instruments did not match
|
||
the number of omitted equations,
|
||
|
||
+ Dynare could crash in some cases when trying to display the solution,
|
||
|
||
+ Parameter dependence embedded via a `steady_state` was not taken into
|
||
account, typically resulting in crashes.
|
||
|
||
- dseries class
|
||
|
||
+ When subtracting a dseries object from a number, the number was instead
|
||
subtracted from the dseries object.
|
||
|
||
|
||
- DSGE-VAR models
|
||
|
||
+ Dynare crashed when estimation encountered non-finite values in the Jacobian
|
||
at the steady state,
|
||
|
||
+ The presence of a constant was not considered for degrees of freedom
|
||
computation of the Gamma function used during the posterior computation; due
|
||
to only affecting the constant term, results should be be unaffected, except
|
||
for model_comparison when comparing models with and without.
|
||
|
||
|
||
- Estimation command
|
||
|
||
+ In contrast to what was stated in the manual, the confidence interval size
|
||
`conf_sig` for `forecast` without MCMC was 0.6 by default instead of 0.9,
|
||
|
||
+ Calling estimation after identification could lead to crashes,
|
||
|
||
+ When using recursive estimation/forecasting and setting some elements of
|
||
`nobs` to be larger than the number of observations T in the data,
|
||
`oo_recursive_` contained additional cell entries that simply repeated the
|
||
results obtained for `oo_recursive_T`,
|
||
|
||
+ Computation of Bayesian smoother could crash for larger models when
|
||
requesting `forecast` or `filtered_variables`,
|
||
|
||
+ Geweke convergence diagnostics were not computed on the full MCMC chain when
|
||
the `load_mh_file` option was used,
|
||
|
||
+ The Geweke convergence diagnostics always used the default `taper_steps` and
|
||
`geweke_interval`,
|
||
|
||
+ Bayesian IRFs (`bayesian_irfs` option) could be displayed in an unreadable
|
||
way when they move from negative to positive values,
|
||
|
||
+ If `bayesian_irfs` was requested when `mh_replic` was too low to compute
|
||
HPDIs, plotting was crashing,
|
||
|
||
+ The x-axis value in `oo_.prior_density` for the standard deviation and
|
||
correlation of measurement errors was written into a field
|
||
`mearsurement_errors_*` instead of `measurement_errors_*`,
|
||
|
||
+ Using a user-defined `mode_compute` crashed estimation,
|
||
|
||
+ Option `mode_compute=10` did not work with infinite prior bounds,
|
||
|
||
+ The posterior variances and covariances computed by `moments_varendo` were
|
||
wrong for very large models due to a matrix erroneously being filled up with
|
||
zeros,
|
||
|
||
+ Using the `forecast` option with `loglinear` erroneously added the unlogged
|
||
steady state,
|
||
|
||
+ When using the `loglinear` option the check for the presence of a constant
|
||
was erroneously based on the unlogged steady state,
|
||
|
||
+ Estimation of `observation_trends` was broken as the trends specified as a
|
||
function of deep parameters were not correctly updated during estimation,
|
||
|
||
+ When using `analytic_derivation`, the parameter values were not set before
|
||
testing whether the steady state file changes parameter values, leading to
|
||
subsequent crashes,
|
||
|
||
+ If the steady state of an initial parameterization did not solve, the
|
||
observation equation could erroneously feature no constant when the
|
||
`use_calibration` option was used,
|
||
|
||
+ When computing posterior moments, Dynare falsely displayed that moment
|
||
computations are skipped, although the computation was performed correctly,
|
||
|
||
+ If `conditional_variance_decomposition` was requested, although all
|
||
variables contain unit roots, Dynare crashed instead of providing an error
|
||
message,
|
||
|
||
+ Computation of the posterior parameter distribution was erroneously based
|
||
on more draws than specified (there was one additional draw for every Markov
|
||
chain),
|
||
|
||
+ The estimation option `lyapunov=fixed_point` was broken,
|
||
|
||
+ Computation of `filtered_vars` with only one requested step crashed Dynare,
|
||
|
||
+ Option `kalman_algo=3` was broken with non-diagonal measurement error,
|
||
|
||
+ When using the diffuse Kalman filter with missing observations, an additive
|
||
factor log(2*pi) was missing in the last iteration step,
|
||
|
||
+ Passing of the `MaxFunEvals` and `InitialSimplexSize` options to
|
||
`mode_compute=8` was broken,
|
||
|
||
+ Bayesian forecasts contained initial conditions and had the wrong length in
|
||
both plots and stored variables,
|
||
|
||
+ Filtered variables obtained with `mh_replic=0`, ML, or
|
||
`calibrated_smoother` were padded with zeros at the beginning and end and
|
||
had the wrong length in stored variables,
|
||
|
||
+ Computation of smoothed measurement errors in Bayesian estimation was broken,
|
||
|
||
+ The `selected_variables_only` option (`mh_replic=0`, ML, or
|
||
`calibrated_smoother`) returned wrong results for smoothed, updated, and
|
||
filtered variables,
|
||
|
||
+ Combining the `selected_variables_only` option with forecasts obtained
|
||
using `mh_replic=0`, ML, or `calibrated_smoother` leaded to crashes,
|
||
|
||
+ `oo_.UpdatedVariables` was only filled when the `filtered_vars` option was specified,
|
||
|
||
+ When using Bayesian estimation with `filtered_vars`, but without
|
||
`smoother`, then `oo_.FilteredVariables` erroneously also contained filtered
|
||
variables at the posterior mean as with `mh_replic=0`,
|
||
|
||
+ Running an MCMC a second time in the same folder with a different number of
|
||
iterations could result in crashes due to the loading of stale files,
|
||
|
||
+ Results displayed after Bayesian estimation when not specifying
|
||
the `smoother` option were based on the parameters at the mode
|
||
from mode finding instead of the mean parameters from the
|
||
posterior draws. This affected the smoother results displayed, but
|
||
also calls to subsequent command relying on the parameters stored
|
||
in `M_.params` like `stoch_simul`,
|
||
|
||
+ The content of `oo_.posterior_std` after Bayesian estimation was based on
|
||
the standard deviation at the posterior mode, not the one from the MCMC, this
|
||
was not consistent with the reference manual,
|
||
|
||
+ When the initialization of an MCMC run failed, the metropolis.log file was
|
||
locked, requiring a restart of Matlab to restart estimation,
|
||
|
||
+ If the posterior mode was right at the corner of the prior bounds, the
|
||
initialization of the MCMC erroneously crashed,
|
||
|
||
+ If the number of dropped draws via `mh_drop` coincided with the number of
|
||
draws in a `_mh'-file`, `oo_.posterior.metropolis.mean` and
|
||
`oo_.posterior.metropolis.Variance` were NaN.
|
||
|
||
|
||
- Estimation and calibrated smoother
|
||
|
||
+ When using `observation_trends` with the `prefilter` option, the mean shift
|
||
due to the trend was not accounted for,
|
||
|
||
+ When using `first_obs`>1, the higher trend starting point of
|
||
`observation_trends` was not taken into account, leading, among other things,
|
||
to problems in recursive forecasting,
|
||
|
||
+ The diffuse Kalman smoother was crashing if the forecast error variance
|
||
matrix becomes singular,
|
||
|
||
+ The multivariate Kalman smoother provided incorrect state estimates when
|
||
all data for one observation are missing,
|
||
|
||
+ The multivariate diffuse Kalman smoother provided incorrect state estimates
|
||
when the `Finf` matrix becomes singular,
|
||
|
||
+ The univariate diffuse Kalman filter was crashing if the initial covariance
|
||
matrix of the nonstationary state vector is singular,
|
||
|
||
|
||
- Forecats
|
||
|
||
+ In contrast to what is stated in the manual, the confidence interval size
|
||
`conf_sig` was 0.6 by default instead of 0.9.
|
||
|
||
+ Forecasting with exogenous deterministic variables provided wrong decision
|
||
rules, yielding wrong forecasts.
|
||
|
||
+ Forecasting with exogenous deterministic variables crashed when the
|
||
`periods` option was not explicitly specified,
|
||
|
||
+ Option `forecast` when used with `initval` was using the initial values in
|
||
the `initval` block and not the steady state computed from these initial
|
||
values as the starting point of forecasts.
|
||
|
||
|
||
- Global Sensitivity Analysis
|
||
|
||
+ Sensitivity with ML estimation could result in crashes,
|
||
|
||
+ Option `mc` must be forced if `neighborhood_width` is used,
|
||
|
||
+ Fixed dimension of `stock_logpo` and `stock_ys`,
|
||
|
||
+ Incomplete variable initialization could lead to crashes with `prior_range=1`.
|
||
|
||
|
||
- Indentification
|
||
|
||
+ Identification did not correctly pass the `lik_init` option,
|
||
requiring the manual setting of `options_.diffuse_filter=1` in
|
||
case of unit roots,
|
||
|
||
+ Testing identification of standard deviations as the only
|
||
parameters to be estimated with ML leaded to crashes,
|
||
|
||
+ Automatic increase of the lag number for autocovariances when the
|
||
number of parameters is bigger than the number of non-zero moments
|
||
was broken,
|
||
|
||
+ When using ML, the asymptotic Hessian was not computed,
|
||
|
||
+ Checking for singular values when the eigenvectors contained only
|
||
one column did not work correctly,
|
||
|
||
|
||
- Model comparison
|
||
|
||
+ Selection of the `modifiedharmonicmean` estimator was broken,
|
||
|
||
|
||
- Optimal Simple Rules
|
||
|
||
+ When covariances were specified, variables that only entered with
|
||
their variance and no covariance term obtained a wrong weight,
|
||
resulting in wrong results,
|
||
|
||
+ Results reported for stochastic simulations after `osr` were based
|
||
on the last parameter vector encountered during optimization,
|
||
which does not necessarily coincide with the optimal parameter
|
||
vector,
|
||
|
||
+ Using only one (co)variance in the objective function resulted in crashes,
|
||
|
||
+ For models with non-stationary variables the objective function was computed wrongly.
|
||
|
||
|
||
- Ramsey policy
|
||
|
||
+ If a Lagrange multiplier appeared in the model with a lead or a lag
|
||
of more than one period, the steady state could be wrong.
|
||
|
||
+ When using an external steady state file, incorrect steady states
|
||
could be accepted,
|
||
|
||
+ When using an external steady state file with more than one
|
||
instrument, Dynare crashed,
|
||
|
||
+ When using an external steady state file and running `stoch_simul`
|
||
after `ramsey_planner`, an incorrect steady state was used,
|
||
|
||
+ When the number of instruments was not equal to the number of
|
||
omitted equations, Dynare crashed with a cryptic message,
|
||
|
||
+ The `planner_objective` accepted `varexo`, but ignored them for computations,
|
||
|
||
|
||
- Shock decomposition
|
||
|
||
+ Did not work with the `parameter_set=calibration` option if an
|
||
`estimated_params` block is present,
|
||
|
||
+ Crashed after MLE.
|
||
|
||
|
||
- Perfect foresight models
|
||
|
||
+ The perfect foresight solver could accept a complex solution
|
||
instead of continuing to look for a real-valued one,
|
||
|
||
+ The `initval_file` command only accepted column and not row vectors,
|
||
|
||
+ The `initval_file` command did not work with Excel files,
|
||
|
||
+ Deterministic simulations with one boundary condition crashed in
|
||
`solve_one_boundary` due to a missing underscore when passing
|
||
`options_.simul.maxit`,
|
||
|
||
+ Deterministic simulation with exogenous variables lagged by more
|
||
than one period crashed,
|
||
|
||
+ Termination criterion `maxit` was hard-coded for `solve_algo=0`
|
||
and could no be changed,
|
||
|
||
+ When using `block`/`bytecode`, relational operators could not be enforced,
|
||
|
||
+ When using `block` some exceptions were not properly handled,
|
||
leading to code crashes,
|
||
|
||
+ Using `periods=1` crashed the solver (bug only partially fixed).
|
||
|
||
|
||
- Smoothing
|
||
|
||
+ The univariate Kalman smoother returned wrong results when used
|
||
with correlated measurement error,
|
||
|
||
+ The diffuse smoother sometimes returned linear combinations of the
|
||
smoothed stochastic trend estimates instead of the original trend
|
||
estimates.
|
||
|
||
- Perturbation reduced form
|
||
|
||
+ In contrast to what is stated in the manual, the results of the
|
||
unconditional variance decomposition were only stored in
|
||
`oo_.gamma_y(nar+2)`, not in `oo_.variance_decomposition`,
|
||
|
||
+ Dynare could crash when the steady state could not be computed
|
||
when using the `loglinear` option,
|
||
|
||
+ Using `bytcode` when declared exogenous variables were not
|
||
used in the model leaded to crashes in stochastic simulations,
|
||
|
||
+ Displaying decision rules involving lags of auxiliary variables of
|
||
type 0 (leads>1) crashed.
|
||
|
||
+ The `relative_irf` option resulted in wrong output at `order>1` as
|
||
it implicitly relies on linearity.
|
||
|
||
|
||
- Displaying of the MH-history with the `internals` command crashed
|
||
if parameter names did not have same length.
|
||
|
||
- Dynare crashed when the user-defined steady state file returned an
|
||
error code, but not an conformable-sized steady state vector.
|
||
|
||
- Due to a bug in `mjdgges.mex` unstable parameter draws with
|
||
eigenvalues up to 1+1e-6 could be accepted as stable for the
|
||
purpose of the Blanchard-Kahn conditions, even if `qz_criterium<1`.
|
||
|
||
- The `use_dll` option on Octave for Windows required to pass a
|
||
compiler flag at the command line, despite the manual stating this
|
||
was not necessary.
|
||
|
||
- Dynare crashed for models with `block` option if the Blanchard-Kahn
|
||
conditions were not satisfied instead of generating an error
|
||
message.
|
||
|
||
- The `verbose` option did not work with `model(block)`.
|
||
|
||
- When falsely specifying the `model(linear)` for nonlinear models,
|
||
incorrect steady states were accepted instead of aborting.
|
||
|
||
- The `STEADY_STATE` operator called on model local variables
|
||
(so-called pound variables) did not work as expected.
|
||
|
||
- The substring operator in macro-processor was broken. The
|
||
characters of the substring could be mixed with random characters
|
||
from the memory space.
|
||
|
||
- Block decomposition could sometimes cause the preprocessor to crash.
|
||
|
||
- A bug when external functions were used in model local variables
|
||
that were contained in equations that required auxiliary
|
||
variable/equations led to crashes of Matlab.
|
||
|
||
- Sampling from the prior distribution for an inverse gamma II
|
||
distribution when `prior_trunc>0` could result in incorrect
|
||
sampling.
|
||
|
||
- Sampling from the prior distribution for a uniform distribution
|
||
when `prior_trunc>0` was ignoring the prior truncation.
|
||
|
||
- Conditional forecasts were wrong when the declaration of endogenous
|
||
variables was not preceeding the declaration of the exogenous
|
||
variables and parameters.
|
||
|
||
|
||
|
||
Announcement for Dynare 4.4.3 (on 2014-07-31)
|
||
=============================================
|
||
|
||
We are pleased to announce the release of Dynare 4.4.3.
|
||
|
||
This is a bugfix release.
|
||
|
||
The Windows packages are already available for download at:
|
||
|
||
http://www.dynare.org/download/dynare-stable
|
||
|
||
The Mac and GNU/Linux packages (for Debian and Ubuntu LTS) should follow soon.
|
||
|
||
This release is compatible with MATLAB versions 7.3 (R2006b) to 8.2 (R2013b)
|
||
and with GNU Octave versions 3.6 to 3.8.
|
||
|
||
Here is a list of the problems identified in version 4.4.2 and that have been
|
||
fixed in version 4.4.3:
|
||
|
||
- When loading a dataset in XLS, XLSX or CSV format, the first
|
||
observation was discarded.
|
||
|
||
- Reading data in an Excel-file with only one variable wasz leading
|
||
to a crash.
|
||
|
||
- When using the k_order_perturbation option (which is implicit at
|
||
3rd order) without the use_dll option, crashes or unexpected
|
||
behavior could happen if some 2nd or 3rd derivative evaluates to
|
||
zero (while not being symbolically zero)
|
||
|
||
- When using external function, Ramsey policy could crash or return
|
||
wrong results.
|
||
|
||
- For Ramsey policy, the equation numbers associated with the
|
||
Lagrange multipliers stored in M_.aux_vars were erroneously one too
|
||
low
|
||
|
||
- When updating deep parameters in the steady state file, the changes
|
||
were not fully taken into account (this was only affecting the
|
||
Ramsey policy).
|
||
|
||
- When using external functions and the bytecode option, wrong
|
||
results were returned (if second order derivates of the external
|
||
functions were needed).
|
||
|
||
- The confidence level for computations in estimation, conf_sig could
|
||
not be changed and was fixed at 0.9. The new option mh_conf_sig is
|
||
now used to set this interval
|
||
|
||
- Conditional forecasts with non-diagonal covariance matrix used an
|
||
incorrect decomposition of the covariance matrix. A Cholesky
|
||
factorization is used.
|
||
|
||
- Option geweke_interval was not effective, Dynare always defaulted
|
||
to the standard value.
|
||
|
||
- The mode_file option lacked backward compatibility with older
|
||
Dynare versions.
|
||
|
||
- Loading an mh_mode file with the mode_file option was broken.
|
||
|
||
- Using identification with var_exo_det leaded to crashes (the
|
||
preprocessor now returns an error if they are used simultaneously)
|
||
|
||
- The identification command did not print results if the initial
|
||
parameter set was invalid and then crashed later on if the MC
|
||
sample is bigger than 1
|
||
|
||
- Inconsistencies between static and dynamic models leaded to crashes
|
||
instead of error messages (only with block option).
|
||
|
||
- The use of external functions crashed the preprocessor when the
|
||
derivatives of the external function are explicitly called in the
|
||
model block. The preprocessor now forbids the use of external
|
||
functions derivates in the model block.
|
||
|
||
- Using the block option when a variable does not appear in the
|
||
current period crashed Dynare instead of providing an error
|
||
message.
|
||
|
||
|
||
Announcement for Dynare 4.4.2 (on 2014-03-04)
|
||
=============================================
|
||
|
||
We are pleased to announce the release of Dynare 4.4.2.
|
||
|
||
This is a bugfix release.
|
||
|
||
The Windows packages are already available for download at:
|
||
|
||
http://www.dynare.org/download/dynare-stable
|
||
|
||
The Mac and GNU/Linux packages (for Debian and Ubuntu LTS) should follow soon.
|
||
|
||
This release is compatible with MATLAB versions 7.3 (R2006b) to 8.2 (R2013b)
|
||
and with GNU Octave versions 3.6 to 3.8.
|
||
|
||
Here is a list of the problems identified in version 4.4.1 and that have been
|
||
fixed in version 4.4.2:
|
||
|
||
- Geweke convergence diagnostics was computed on the wrong sample if `mh_drop'
|
||
was not equal to the default of 0.5.
|
||
|
||
- The `loglinear' option of `stoch_simul' was displaying the steady state of
|
||
the original values, not the logged ones, and was producing incorrect
|
||
simulations and simulated moments. Theoretical moments were unaffected.
|
||
|
||
- The `optim' option of `estimation (for setting options to `mode_compute')
|
||
was only working with at least MATLAB 8.1 (R2013a) or Octave 3.8.
|
||
|
||
- For unit root models, theoretical HP filtered moments were sometimes
|
||
erroneously displayed as NaN.
|
||
|
||
- Specifying an endogenous variable twice after the `estimation' command would
|
||
lead to a crash in the computation of moments.
|
||
|
||
- Deterministic simulations were crashing on some models with more than one
|
||
lead or one lag on exogenous variables.
|
||
|
||
- Homotopy in stochastic extended path with order greater than 0 was not
|
||
working correctly (during the homotopy steps the perfect foresight model
|
||
solver was called instead of the stochastic perfect foresight model solver).
|
||
|
||
- MCMC convergence diagnostics were not computed if `mh_replic' was less than
|
||
2000; the test now relies on the total number of iterations (this only makes
|
||
a difference if option `load_mh_file' is used).
|
||
|
||
|
||
Announcement for Dynare 4.4.1 (on 2014-01-17)
|
||
=============================================
|
||
|
||
We are pleased to announce the release of Dynare 4.4.1.
|
||
|
||
This release contains a few changes to the user interface and fixes various
|
||
bugs. It also adds compatibility with Octave 3.8.
|
||
|
||
The Windows packages are already available for download at:
|
||
|
||
http://www.dynare.org/download/dynare-stable
|
||
|
||
The Mac and GNU/Linux packages (for Debian and Ubuntu) should follow soon.
|
||
|
||
All users are encouraged to upgrade.
|
||
|
||
This release is compatible with MATLAB versions 7.3 (R2006b) to 8.2 (R2013b) and
|
||
with GNU Octave versions 3.6 to 3.8.
|
||
|
||
* Changes to the user interface:
|
||
|
||
- The syntax introduced in 4.4.0 for conditional forecast in a deterministic
|
||
setup was removed, and replaced by a new one that is better suited to the
|
||
task. More precisely, such deterministic forecasts are no longer done using
|
||
the `conditional_forecast' command. The latter is replaced by a group of
|
||
commands: `init_plan', `basic_plan' and `flip_plan'. See the reference
|
||
manual for more details.
|
||
|
||
- Changes to the reporting module: option `annualAverages' to `addTable' has
|
||
been removed (use option `tableDataRhs' to `addSeries' instead); option
|
||
`vlineAfter' to `addTable' now also accepts a cell array.
|
||
|
||
- Changes to the date and time series classes: implement broadcasting for
|
||
operations (+,-,* and /) between `dseries' class and scalar or vectors; add
|
||
the possibility of selecting an observation within a time series using a
|
||
formatted string containing a date.
|
||
|
||
* Bugs and problems identified in version 4.4.0 and that have been fixed in
|
||
version 4.4.1:
|
||
|
||
- In MS-SBVAR, there was a bug preventing the computation of impulse responses
|
||
on a constant regime.
|
||
|
||
- Under Octave, after modifying the MOD file, the changes were not taken into
|
||
account at the first Dynare run, but only at the second run.
|
||
|
||
|
||
Announcement for Dynare 4.4.0 (on 2013-12-16)
|
||
=============================================
|
||
|
||
We are pleased to announce the release of Dynare 4.4.0.
|
||
|
||
This major release adds new features and fixes various bugs.
|
||
|
||
The Windows packages are already available for download at:
|
||
|
||
http://www.dynare.org/download/dynare-stable
|
||
|
||
The Mac and Debian/Ubuntu packages should follow soon.
|
||
|
||
All users are strongly encouraged to upgrade.
|
||
|
||
This release is compatible with MATLAB versions ranging from 7.3 (R2006b) to
|
||
8.2 (R2013b) and with GNU Octave version 3.6.
|
||
|
||
Here is the list of major user-visible changes:
|
||
|
||
|
||
* New major algorithms:
|
||
|
||
- Extended path at order 1 and above, also known as “stochastic extended
|
||
path”. This method is triggered by setting the `order' option of the
|
||
`extended_path' command to a value greater than 0. Dynare will then use a
|
||
Gaussian quadrature to take into account the effects of future uncertainty.
|
||
The time series for the endogenous variables are generated by assuming that
|
||
the agents believe that there will no more shocks after period t+order.
|
||
|
||
- Alternative algorithms for computing decision rules of a stochastic model,
|
||
based on the cycle reduction and logarithmic reduction algorithms. These
|
||
methods are respectively triggered by giving `dr = cycle_reduction' or 'dr
|
||
= logarithmic_reduction' as an option to the `stoch_simul' command.
|
||
|
||
- Pruning now works with 3rd order approximation, along the lines of
|
||
Andreasen, Fernández-Villaverde and Rubio-Ramírez (2013).
|
||
|
||
- Computation of conditional forecast using an extended path method. This is
|
||
triggered by the new option `simulation_type = deterministic' in the
|
||
`conditional_forecast' command. In this case, the `expectation' command in
|
||
the `conditional_forecast_paths' block has to be used to indicate the nature
|
||
of expectations (whether shocks are a surprise or are perfectly
|
||
anticipated).
|
||
|
||
- Endogenous priors as in Christiano, Trabandt and Walentin (2011). Those are
|
||
triggered by the new option `endogenous_prior' of the `estimation' command.
|
||
|
||
|
||
* Other algorithmic improvements:
|
||
|
||
- New command `model_diagnostics' to perform various sanity checks on the
|
||
model. Note: in the past, some users may have used a preliminary MATLAB
|
||
function implementing this; the new command has the same syntax, except that
|
||
you shouldn't pass any argument to it.
|
||
|
||
- Terminal conditions of perfect foresight simulations can now be specified in
|
||
growth rates. More specifically, the new option `differentiate_forward_vars'
|
||
of the `model' block will create auxiliary forward looking variables
|
||
expressed in first differences or growth rates of the actual forward looking
|
||
variables defined in the model. These new variables have obvious zero
|
||
terminal conditions whatever the simulation context and this in many cases
|
||
helps convergence of simulations.
|
||
|
||
- Convergence diagnostics for single chain MCMC à la Geweke (1992, 1999).
|
||
|
||
- New optimizer for the posterior mode (triggered by `mode_compute=10'): it
|
||
uses the simpsa algorithm, based on the combination of the non-linear
|
||
simplex and simulated annealing algorithms and proposed by Cardoso, Salcedo
|
||
and Feyo de Azevedo (1996).
|
||
|
||
- The automatic detrending engine has been extended to work on models written
|
||
in logs. The corresponding trend variable type is `log_trend_var', and the
|
||
corresponding deflator type is `log_deflator'.
|
||
|
||
|
||
* New features in the user interface:
|
||
|
||
- New set of functions for easily creating PDF reports including figures and
|
||
tables. See the “Reporting” section in the reference manual for more
|
||
details.
|
||
|
||
- New MATLAB/Octave classes for handling time series. See the “Time series”
|
||
section in the reference manual for more details.
|
||
|
||
- Datafiles in CSV format can now be used for estimation.
|
||
|
||
- New macro processor `length' operator, returns the length of an array.
|
||
|
||
- New option `all_values_required' of `initval' and `endval' blocks: enforces
|
||
initialization of all endogenous and exogenous variables within the block.
|
||
|
||
- Option `ar' can now be given to the `estimation' command.
|
||
|
||
- New options `nograph', `nointeractive' and `nowarn' to the `dynare' command,
|
||
for a better control of what is displayed.
|
||
|
||
- New option `nostrict' to the `dynare' command, for allowing Dynare to
|
||
continue processing when there are more endogenous variables than equations
|
||
or when an undeclared symbol is assigned in `initval' or `endval'.
|
||
|
||
- The information on MCMC acceptance rates, seeds, last log posterior
|
||
likelihood, and last parameter draw are now saved on the disk and can
|
||
be displayed with `internals --display-mh-history' or loaded into the
|
||
workspace with `internals --load-mh-history'.
|
||
|
||
- New options `mode_check_neighbourhood_size', `mode_check_symmetric_plots'
|
||
and `mode_check_number_of_points', for a better control of the diagnostic
|
||
plots.
|
||
|
||
- New option `parallel_local_files' of `model' block, for transferring extra
|
||
files during parallel computations.
|
||
|
||
- New option `clock' of `set_dynare_seed', for setting a different seed at
|
||
each run.
|
||
|
||
- New option `qz_zero_threshold' of the `check', `stoch_simul' and
|
||
`estimation' commands, for a better control of the situation where a
|
||
generalized eigenvalue is close to 0/0.
|
||
|
||
- New `verbatim' block for inclusion of text that should pass through the
|
||
preprocessor and be placed as is in the `modfile.m' file.
|
||
|
||
- New option `mcmc_jumping_covariance' of the `estimation' command, for a
|
||
better control of the covariance matrix used for the proposal density of the
|
||
MCMC sampler.
|
||
|
||
- New option `use_calibration' of the `estimated_params_init', for using the
|
||
calibration of deep parameters and the elements of the covariance matrix
|
||
specified in the `shocks' block as starting values for the estimation.
|
||
|
||
- New option `save_draws' of the `ms_simulation' command.
|
||
|
||
- New option `irf_plot_threshold' of the `stoch_simul' and `estimation'
|
||
commands, for a better control of the display of IRFs which are almost nil.
|
||
|
||
- New option `long_name' for endogenous, exogenous and parameter declarations,
|
||
which can be used to declare a long name for variables. That long name can
|
||
be programmatically retrieved in `M_.endo_names_long'.
|
||
|
||
|
||
* Miscellaneous changes
|
||
|
||
- The deciles of some posterior moments were erroneously saved in a field
|
||
`Distribution' under `oo_'. This field is now called `deciles', for
|
||
consistency with other posterior moments and with the manual. Similarly, the
|
||
fields `Mean', `Median', `HPDsup', `HPDinf', and `Variance' are now
|
||
consistently capitalized.
|
||
|
||
- The console mode now implies the `nodisplay' option.
|
||
|
||
|
||
* Bugs and problems identified in version 4.3.3 and that have been fixed in
|
||
version 4.4.0:
|
||
|
||
- In an `endval' block, auxiliary variables were not given the right value.
|
||
This would not result in wrong results, but could prevent convergence of
|
||
the steady state computation.
|
||
|
||
- Deterministic simulations with `stack_solve_algo=0' (the default value) were
|
||
crashing if some exogenous had a lag strictly greater than 1.
|
||
|
||
- When using the `mode_file' option, the initial estimation checks were not
|
||
performed for the loaded mode, but for the original starting values. Thus,
|
||
potential prior violations by the mode only appeared during estimation,
|
||
leading to potentially cryptic crashes and error messages.
|
||
|
||
- If a shock/measurement error variance was set to 0 in calibration, the
|
||
correlation matrix featured a 0 instead of a 1 on the diagonal, leading to
|
||
wrong estimation results.
|
||
|
||
- In the presence of calibrated covariances, estimation did not enforce
|
||
positive definiteness of the covariance matrix.
|
||
|
||
- Estimation using the `diffuse_filter' option together with the univariate
|
||
Kalman filter and a diagonal measurement error matrix was broken.
|
||
|
||
- A purely backward model with `k_order_solver' was leading to crashes of
|
||
MATLAB/Octave.
|
||
|
||
- Non-linear estimation was not skipping the specified presample when
|
||
computing the likelihood.
|
||
|
||
- IRFs and theoretical moments at order > 1 were broken for purely
|
||
forward-looking models.
|
||
|
||
- Simulated moments with constant variables was leading to crashes when
|
||
displaying autocorrelations.
|
||
|
||
- The `osr' command was sometimes crashing with cryptic error messages because
|
||
of some unaccounted error codes returned from a deeper routine.
|
||
|
||
- The check for stochastic singularity during initial estimation checks was
|
||
broken.
|
||
|
||
- Recursive estimation starting with the pathological case of `nobs=1' was
|
||
crashing.
|
||
|
||
- Conditional variance decomposition within or after estimation was crashing
|
||
when at least one shock had been calibrated to zero variance.
|
||
|
||
- The `estimated_params_init' and `estimated_params_bounds' blocks were broken
|
||
for correlations.
|
||
|
||
- The `filter_step_ahead' option was not producing any output in Bayesian
|
||
estimation.
|
||
|
||
- Deterministic simulations were sometimes erroneously indicating convergence
|
||
although the residuals were actually NaN or Inf.
|
||
|
||
- Supplying a user function in the `mode_compute' option was leading to
|
||
a crash.
|
||
|
||
- Deterministic simulation of models without any exogenous variable was
|
||
crashing.
|
||
|
||
- The MS-SBVAR code was not updating files between runs on Windows. This means
|
||
that if a MOD file was updated between runs in the same folder and a
|
||
`file_tag' was not changed, then the results would not change.
|
||
|
||
- The `ramsey_policy' command was not putting in `oo_.planner_objective_value'
|
||
the value of the planner objective at the optimum.
|
||
|
||
|
||
* References:
|
||
|
||
- Andreasen, Martin M., Jesús Fernández-Villaverde, and Juan Rubio-Ramírez
|
||
(2013): “The Pruned State-Space System for Non-Linear DSGE Models: Theory
|
||
and Empirical Applications,” NBER Working Paper, 18983
|
||
|
||
- Cardoso, Margarida F., R. L. Salcedo and S. Feyo de Azevedo (1996): “The
|
||
simplex simulated annealing approach to continuous non-linear optimization,”
|
||
Computers chem. Engng, 20(9), 1065-1080
|
||
|
||
- Christiano, Lawrence J., Mathias Trabandt and Karl Walentin (2011):
|
||
“Introducing financial frictions and unemployment into a small open economy
|
||
model,” Journal of Economic Dynamics and Control, 35(12), 1999-2041
|
||
|
||
- Geweke, John (1992): “Evaluating the accuracy of sampling-based approaches
|
||
to the calculation of posterior moments,” in J.O. Berger, J.M. Bernardo,
|
||
A.P. Dawid, and A.F.M. Smith (eds.) Proceedings of the Fourth Valencia
|
||
International Meeting on Bayesian Statistics, pp. 169-194, Oxford University
|
||
Press
|
||
|
||
- Geweke, John (1999): “Using simulation methods for Bayesian econometric
|
||
models: Inference, development and communication,” Econometric Reviews,
|
||
18(1), 1-73
|
||
|
||
|
||
Announcement for Dynare 4.3.3 (on 2013-04-12)
|
||
=============================================
|
||
|
||
We are pleased to announce the release of Dynare 4.3.3.
|
||
|
||
This is a bugfix release.
|
||
|
||
The Windows packages are already available for download at:
|
||
|
||
http://www.dynare.org/download/dynare-stable
|
||
|
||
The Mac and GNU/Linux packages (for Debian and Ubuntu) should follow soon.
|
||
|
||
All users are encouraged to upgrade.
|
||
|
||
The new release is compatible with MATLAB versions ranging from 7.0 (R14) to
|
||
8.1 (R2013a) and with GNU Octave versions ranging from 3.2 to 3.6.
|
||
|
||
Here is a list of the problems identified in version 4.3.2 and that have been
|
||
fixed in version 4.3.3:
|
||
|
||
- Estimation with measurement errors was wrong if a correlation between two
|
||
measurement errors was calibrated
|
||
|
||
- Option `use_dll' was broken under Windows
|
||
|
||
- Degenerate case of purely static models (no leads/no lags) were not
|
||
correctly handled
|
||
|
||
- Deterministic simulations over a single period were not correctly done
|
||
|
||
- The sensitivity call `dynare_sensitivity(identification=1,morris=2)' was
|
||
buggy when there are no shocks estimated
|
||
|
||
- Calls to `shock_decomposition' after using `selected_variables_only' option
|
||
fail
|
||
|
||
- Sometimes, only the last open graph was saved, leading to missing and
|
||
duplicate EPS/PDF graphs
|
||
|
||
- Forecasting after maximum likelihood estimation when not forecasting at
|
||
least one observed variables (`var_obs') was leading to crashes
|
||
|
||
- Some functionalities were crashing with MATLAB 8.1/R2013a (bytecode,
|
||
MS-SBVAR)
|
||
|
||
- Sometimes only the first order autocorrelation of `moments_varendo' was
|
||
saved instead of all up to the value of `ar' option
|
||
|
||
|
||
Announcement for Dynare 4.3.2 (on 2013-01-18)
|
||
=============================================
|
||
|
||
We are pleased to announce the release of Dynare 4.3.2.
|
||
|
||
This is a bugfix release.
|
||
|
||
The Windows packages are already available for download at:
|
||
|
||
http://www.dynare.org/download/dynare-stable
|
||
|
||
The Mac and GNU/Linux packages (for Debian and Ubuntu) should follow soon.
|
||
|
||
All users are encouraged to upgrade.
|
||
|
||
The new release is compatible with MATLAB versions ranging from 7.0 (R14) to
|
||
8.0 (R2012b) and with GNU Octave versions ranging from 3.2 to 3.6.
|
||
|
||
Here is a list of the problems identified in version 4.3.1 and that have been
|
||
fixed in version 4.3.2:
|
||
|
||
- Computation of posterior distribution of unconditional variance
|
||
decomposition was sometimes crashing (only for very large models)
|
||
|
||
- Estimation with `mode_compute=6' was sometimes crashing
|
||
|
||
- Derivative of erf() function was incorrect
|
||
|
||
- The `check' command was not setting `oo_.dr.eigval' unless `stoch_simul' was
|
||
also used
|
||
|
||
- Computation of conditional forecast when the constraint is only on
|
||
one period was buggy
|
||
|
||
- Estimation with `mode_compute=3' was crashing under Octave
|
||
|
||
|
||
Announcement for Dynare 4.3.1 (on 2012-10-10)
|
||
=============================================
|
||
|
||
We are pleased to announce the release of Dynare 4.3.1. This release adds a few
|
||
minor features and fixes various bugs.
|
||
|
||
The Windows and Mac packages are already available for download at:
|
||
|
||
http://www.dynare.org/download/dynare-stable
|
||
|
||
The GNU/Linux packages (for Debian and Ubuntu) should follow soon.
|
||
|
||
All users are strongly encouraged to upgrade.
|
||
|
||
The new release is compatible with MATLAB versions ranging from 7.0 (R14) to
|
||
8.0 (R2012b) and with GNU Octave versions ranging from 3.2 to 3.6.
|
||
|
||
Here is the list of the main user-visible changes:
|
||
|
||
|
||
* New features in the user interface:
|
||
|
||
- New `@#ifndef' directive in the macro-processor
|
||
|
||
- Possibility of simultaneously specifying several output formats in the
|
||
`graph_format' option
|
||
|
||
- Support for XLSX files in `datafile' option of `estimation' and in
|
||
`initval_file'
|
||
|
||
|
||
* Bugs and problems identified in version 4.3.0 and that have been fixed in
|
||
version 4.3.1:
|
||
|
||
- Shock decomposition was broken
|
||
|
||
- The welfare computation with `ramsey_policy' was buggy when used in
|
||
conjunction with `histval'
|
||
|
||
- Estimation of models with both missing observations and measurement errors
|
||
was buggy
|
||
|
||
- The option `simul_replic' was broken
|
||
|
||
- The macro-processor directive `@#ifdef' was broken
|
||
|
||
- Identification with `max_dim_cova_group > 1' was broken for specially
|
||
degenerate models (when parameter theta has pairwise collinearity of one
|
||
with multiple other parameters, i.e. when all couples (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
|