diff --git a/NEWS b/NEWS.md
similarity index 67%
rename from NEWS
rename to NEWS.md
index 49e307bfc5b742b42a1f59954c3bf8b2a52246ef..ab1f1114543f029f5815e189e1747b616dea6463 100644
--- a/NEWS
+++ b/NEWS.md
@@ -5,9 +5,7 @@ We are pleased to announce the release of Dynare 4.5.7.
This is a bugfix release.
-The Windows packages are already available for download at:
-
- http://www.dynare.org/download/dynare-stable
+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.
@@ -41,7 +39,7 @@ fixed in version 4.5.7:
display LaTeX names.
- Parameter updating via steady state files did not correctly work in
- case of using [static]/[dynamic] equation tags.
+ case of using `[static]`/`[dynamic]` equation tags.
- Memory leaks in `k_order_pert` (used by higher order stochastic
simulations) could lead to crashes.
@@ -63,7 +61,7 @@ fixed in version 4.5.7:
- The model was not correctly specified when `identification` was run
without another stochastic command in the `.mod` file
- (e.g. `estimation`, `stoch_simul`, etc.).
+ (*e.g.* `estimation`, `stoch_simul`, etc.).
- Realtime annualized shock decompositions added the wrong steady state
value.
@@ -83,8 +81,7 @@ We are pleased to announce the release of Dynare 4.5.6.
This is a bugfix release.
The Windows packages are already available for download at:
-
- http://www.dynare.org/download/dynare-stable
+<http://www.dynare.org/download/dynare-stable>.
The Mac and GNU/Linux packages (for Debian and Ubuntu LTS) should follow soon.
@@ -129,8 +126,7 @@ We are pleased to announce the release of Dynare 4.5.5.
This is a bugfix release.
The Windows packages are already available for download at:
-
- http://www.dynare.org/download/dynare-stable
+<http://www.dynare.org/download/dynare-stable>.
The Mac and GNU/Linux packages (for Debian and Ubuntu LTS) should follow soon.
@@ -169,8 +165,7 @@ We are pleased to announce the release of Dynare 4.5.4.
This is a bugfix release.
The Windows packages are already available for download at:
-
- http://www.dynare.org/download/dynare-stable
+<http://www.dynare.org/download/dynare-stable>.
The Mac and GNU/Linux packages (for Debian and Ubuntu LTS) should follow soon.
@@ -210,7 +205,7 @@ fixed in version 4.5.4:
- The `plot_shock_decomposition` command ignored various user-defined options like `fig_name`,
`use_shock_groups` or `interactive` and instead used the default options.
- - Nested `@#ifdef` and `@#ifndef` statements don't work in the macroprocessor.
+ - Nested `@#ifdef` and `@#ifndef` statements don’t work in the macroprocessor.
@@ -223,8 +218,7 @@ This is a bugfix release. It comes less than 24 hours after the previous release
because version 4.5.2 was affected by a critical bug for MATLAB older than R2016b.
The Windows packages are already available for download at:
-
- http://www.dynare.org/download/dynare-stable
+<http://www.dynare.org/download/dynare-stable>.
The Mac and GNU/Linux packages (for Debian and Ubuntu LTS) should follow soon.
@@ -235,7 +229,7 @@ Here is a list of the problems identified in version 4.5.2 and that have been
fixed in version 4.5.3:
- - `isfile` routine was failing with matlab older than R2016b. This bug did not
+ - `isfile` routine was failing with MATLAB older than R2016b. This bug did not
affect Octave.
@@ -248,8 +242,7 @@ We are pleased to announce the release of Dynare 4.5.2.
This is a bugfix release.
The Windows packages are already available for download at:
-
- http://www.dynare.org/download/dynare-stable
+<http://www.dynare.org/download/dynare-stable>.
The Mac and GNU/Linux packages (for Debian and Ubuntu LTS) should follow soon.
@@ -327,8 +320,7 @@ We are pleased to announce the release of Dynare 4.5.1.
This is a bugfix release.
The Windows packages are already available for download at:
-
- http://www.dynare.org/download/dynare-stable
+<http://www.dynare.org/download/dynare-stable>.
The Mac and GNU/Linux packages (for Debian and Ubuntu LTS) should follow soon.
@@ -371,8 +363,7 @@ We are pleased to announce the release of Dynare 4.5.0.
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
+<http://www.dynare.org/download/dynare-stable>.
The Mac and Debian/Ubuntu packages should follow soon.
@@ -387,7 +378,7 @@ Here is the list of major user-visible changes:
- Ramsey policy
+ Added command `ramsey_model` that builds the expanded model with
- FOC conditions for the planner's problem but doesn't perform any
+ FOC conditions for the planner’s problem but doesn’t perform any
computation. Usefull to compute Ramsey policy in a perfect
foresight model,
@@ -473,7 +464,7 @@ Here is the list of major user-visible changes:
`consider_only_observed`, `posterior_max_subsample_draws`,
`mh_conf_sig`, `diffuse_kalman_tol`, `dirname`, `nodecomposition`
- + `load_mh_file` and `mh_recover` now try to load chain's proposal density,
+ + `load_mh_file` and `mh_recover` now try to load chain’s proposal density,
+ New option `load_results_after_load_mh` that allows loading some
posterior results from a previous run if no new MCMC draws are
@@ -519,11 +510,11 @@ Here is the list of major user-visible changes:
pair allows loading the `_mh_scale.mat`-file storing the tuned
scale factor from a previous run of `mode_compute=6`,
- + New option `raftery_lewis_diagnostics` that computes Raftery/Lewis
- (1992) convergence diagnostics,
+ + New option `raftery_lewis_diagnostics` that computes *Raftery and Lewis
+ (1992)* convergence diagnostics,
+ New option `fast_kalman_filter` that provides fast Kalman filter
- using Chandrasekhar recursions as described in Ed Herbst (2015),
+ using Chandrasekhar recursions as described in *Ed Herbst (2015)*,
+ The `dsge_var` option now saves results at the posterior mode into
`oo_.dsge_var`,
@@ -631,7 +622,7 @@ Here is the list of major user-visible changes:
+ 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]`
+ * realtime historical shock decomposition `Y(t|T)`, *i.e.* without observing data in `[T+1,...,nobs]`
* forecast shock decomposition `Y(T+k|T)`
@@ -684,12 +675,12 @@ Here is the list of major user-visible changes:
- Optimization algorithms
+ `mode_compute=2` Uses the simulated annealing as described by
- Corana et al. (1987),
+ *Corana et al. (1987)*,
- + `mode_compute=101` Uses SOLVEOPT as described by Kuntsevich and
- Kappel (1997),
+ + `mode_compute=101` Uses SOLVEOPT as described by *Kuntsevich and
+ Kappel (1997)*,
- + `mode_compute=102` Uses `simulannealbnd` from MATLAB's Global
+ + `mode_compute=102` Uses `simulannealbnd` from MATLAB’s Global
Optimization Toolbox (if available),
+ New option `silent_optimizer` to shut off output from mode
@@ -724,7 +715,7 @@ Here is the list of major user-visible changes:
+ Introduces new path management to avoid conflicts with other
toolboxes,
- + Full compatibility with MATLAB 2014b's new graphic interface,
+ + Full compatibility with MATLAB 2014b’s new graphic interface,
+ When using `model(linear)`, Dynare automatically checks
whether the model is truly linear,
@@ -750,7 +741,7 @@ Here is the list of major user-visible changes:
-* Bugs and problems identified in version 4.4.3 and that have been fixed in version 4.5.0:
+Bugs and problems identified in version 4.4.3 and that have been fixed in version 4.5.0:
- BVAR models
@@ -882,7 +873,7 @@ Here is the list of major user-visible changes:
+ 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,
+ factor log(2π) was missing in the last iteration step,
+ Passing of the `MaxFunEvals` and `InitialSimplexSize` options to
`mode_compute=8` was broken,
@@ -930,7 +921,7 @@ Here is the list of major user-visible changes:
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
+ draws in a `_mh`-file, `oo_.posterior.metropolis.mean` and
`oo_.posterior.metropolis.Variance` were NaN.
@@ -1113,7 +1104,7 @@ Here is the list of major user-visible changes:
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
+ eigenvalues up to 1+10⁻⁶ 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
@@ -1163,8 +1154,7 @@ 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
+<http://www.dynare.org/download/dynare-stable>.
The Mac and GNU/Linux packages (for Debian and Ubuntu LTS) should follow soon.
@@ -1177,11 +1167,11 @@ 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
+ - Reading data in an Excel-file with only one variable was 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
+ - 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)
@@ -1189,7 +1179,7 @@ fixed in version 4.4.3:
wrong results.
- For Ramsey policy, the equation numbers associated with the
- Lagrange multipliers stored in M_.aux_vars were erroneously one too
+ Lagrange multipliers stored in `M_.aux_vars` were erroneously one too
low
- When updating deep parameters in the steady state file, the changes
@@ -1200,26 +1190,26 @@ fixed in version 4.4.3:
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
+ - 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
+ - Option `geweke_interval` was not effective, Dynare always defaulted
to the standard value.
- - The mode_file option lacked backward compatibility with older
+ - The `mode_file` option lacked backward compatibility with older
Dynare versions.
- - Loading an mh_mode file with the mode_file option was broken.
+ - Loading an `mh_mode` file with the `mode_file` option was broken.
- - Using identification with var_exo_det leaded to crashes (the
+ - 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
+ - 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
@@ -1228,8 +1218,8 @@ fixed in version 4.4.3:
- 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.
+ `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
@@ -1244,8 +1234,7 @@ 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
+<http://www.dynare.org/download/dynare-stable>.
The Mac and GNU/Linux packages (for Debian and Ubuntu LTS) should follow soon.
@@ -1255,20 +1244,20 @@ 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'
+ - 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 `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')
+ - 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
+ - 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
@@ -1278,9 +1267,9 @@ fixed in version 4.4.2:
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
+ - 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).
+ a difference if option `load_mh_file` is used).
Announcement for Dynare 4.4.1 (on 2014-01-17)
@@ -1292,8 +1281,7 @@ 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
+<http://www.dynare.org/download/dynare-stable>.
The Mac and GNU/Linux packages (for Debian and Ubuntu) should follow soon.
@@ -1304,31 +1292,31 @@ 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.
-
+ - 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.
-
+ - 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)
=============================================
@@ -1338,8 +1326,7 @@ 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
+<http://www.dynare.org/download/dynare-stable>.
The Mac and Debian/Ubuntu packages should follow soon.
@@ -1353,231 +1340,231 @@ 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.
-
+ - 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-Ramirez (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 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'.
-
+ - 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.
-
+ - 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.
-
+ - 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
-
+ - Andreasen, Martin M., Jesús Fernández-Villaverde, and Juan Rubio-Ramirez
+ (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)
=============================================
@@ -1587,8 +1574,7 @@ 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
+<http://www.dynare.org/download/dynare-stable>.
The Mac and GNU/Linux packages (for Debian and Ubuntu) should follow soon.
@@ -1603,30 +1589,30 @@ 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
+ - 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
+ - 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
+ - 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
+ 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
+ - 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)
@@ -1637,8 +1623,7 @@ 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
+<http://www.dynare.org/download/dynare-stable>.
The Mac and GNU/Linux packages (for Debian and Ubuntu) should follow soon.
@@ -1653,17 +1638,17 @@ 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
+ - Estimation with `mode_compute=6` was sometimes crashing
- - Derivative of erf() function was incorrect
+ - Derivative of `erf()` function was incorrect
- - The `check' command was not setting `oo_.dr.eigval' unless `stoch_simul' was
+ - 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
+ - Estimation with `mode_compute=3` was crashing under Octave
Announcement for Dynare 4.3.1 (on 2012-10-10)
@@ -1673,8 +1658,7 @@ 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
+<http://www.dynare.org/download/dynare-stable>.
The GNU/Linux packages (for Debian and Ubuntu) should follow soon.
@@ -1688,54 +1672,54 @@ 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'
-
+ - 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
-
+ - 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 (θ,b), (θ,c),
+ … (θ,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)
=============================================
@@ -1744,8 +1728,7 @@ 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
+<http://www.dynare.org/download/dynare-4.3>.
The GNU/Linux packages should follow soon.
@@ -1759,190 +1742,190 @@ 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
-
+ - Nonlinear estimation with a particle filter based on a second order
+ approximation of the model, as in *Fernández-Villaverde and Rubio-Ramirez
+ (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
-
+ - 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
-
+ - 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
-
+ - 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
-
+ - 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
-
+ - 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-Ramirez (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)
@@ -1963,8 +1946,7 @@ The new release is compatible with MATLAB versions ranging from 7.0 (R14) to
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
+<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:
@@ -1995,7 +1977,7 @@ 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
+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
@@ -2013,7 +1995,7 @@ fixed in version 4.2.4:
* Bayesian priors with inverse gamma distribution and very small variances
were giving incorrect results in some cases
- * The `model_diagnostics' command was broken
+ * The `model_diagnostics` command was broken
Announcement for Dynare 4.2.3 (on 2011-11-30)
@@ -2024,7 +2006,7 @@ 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
+[Dynare website](http://www.dynare.org). The Mac and Linux packages
should follow soon.
All users are strongly encouraged to upgrade.
@@ -2035,23 +2017,23 @@ 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
+ * `steady_state_model` was broken for lags higher than 2
- * `simult_.m' was not working correctly with `order=3' if `k_order_solver' had
+ * `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
+ * `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'
+ * 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
+ * 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.
@@ -2067,7 +2049,7 @@ 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
+[Dynare website](http://www.dynare.org). The Mac and Linux packages
should follow soon.
All users are strongly encouraged to upgrade.
@@ -2088,31 +2070,31 @@ been fixed in version 4.2.2:
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
+ * 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
+ * `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")
+ * 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' } )
+ (*e.g.* `x = { 'foo' 'bar' }` )
- * `external_function' was crashing in some circumstances
+ * `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
+ * 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
+ `EXPECTATION` operator
* Compilation of MEX files for MATLAB was failing with GCC 4.6
@@ -2128,7 +2110,7 @@ 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.
+[Dynare website](http://www.dynare.org). The Mac and Linux packages should follow soon.
All users are strongly encouraged to upgrade.
@@ -2137,20 +2119,20 @@ 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
+ * 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
+ * The `partial_information` option of `stoch_simul` has been fixed
- * Option `conditional_variance_decomposition' of `stoch_simul' and
- `estimation' has been fixed
+ * Option `conditional_variance_decomposition` of `stoch_simul` and
+ `estimation` has been fixed
- * Automatic detrending now works in conjunction with the `EXPECTATION'
+ * 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
+ * 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
@@ -2158,15 +2140,13 @@ Here is a list of the main bugfixes since version 4.2.0:
* External functions can now been used in assignment of model local
variables
- * `identification' command has been fixed
+ * `identification` command has been fixed
- * Option `cova_compute' of `estimation' command has been fixed
+ * Option `cova_compute` of `estimation` command has been fixed
- * Random crashes with 3rd order approximation without `use_dll' option
+ * 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)
=============================================
@@ -2188,38 +2168,44 @@ 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]
+ - Pruning for second order simulations has been added, as described in *Kim,
+ Kim, Schaumburg and Sims (2008)*. It is triggered by option `pruning` of
+ `stoch_simul` (only 2nd order, not available at 3rd order).
- - Models under partial information can be solved, as in Pearlman, Currie and
- Levine (1986) [3,4]
+ - Models under partial information can be solved, as in *Pearlman, Currie and
+ Levine (1986)*. See <http://www.dynare.org/DynareWiki/PartialInformation>.
- New nonlinear solvers for faster deterministic simulations and steady state
- computation [5]
+ computation. See
+ <http://www.dynare.org/DynareWiki/FastDeterministicSimulationAndSteadyStateComputation>.
* Dynare can now use the power of multi-core computers or of a cluster of
- computer using parallelization [6]
+ computer using parallelization. See
+ <http://www.dynare.org/DynareWiki/ParallelDynare>.
* 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]
+ of the parameters is declared with the new `steady_state_model` command.
+ See the entry for `steady_state_model` in the reference manual for more
+ details and an example.
- 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]
+ balanced growth path, and, if yes, then it computes the detrended
+ equations. See <http://www.dynare.org/DynareWiki/RemovingTrends>.
- - It is now possible to use arbitrary functions in the model block [9]
+ - It is now possible to use arbitrary functions in the model block. See
+ <http://www.dynare.org/DynareWiki/ExternalFunctions>.
* Other minor changes to the user interface:
- - New primitives allowed in model block: normpdf(), erf()
+ - New primitives allowed in model block: `normpdf()`, `erf()`
- - New syntax for DSGE-VAR [10]
+ - New syntax for DSGE-VAR. See <http://www.dynare.org/DynareWiki/DsgeVar>.
- Syntax of deterministic shocks has changed: after the values keyword,
arbitrary expressions must be enclosed within parentheses (but numeric
@@ -2227,60 +2213,53 @@ Here is the list of major user-visible changes:
* Various improvements:
- - Third order simulations now work without the "USE_DLL" option:
+ - 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"
+ - `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
+ - 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
+ - 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]
+ - It is possibile to choose the parameter set for shock decomposition. See
+ <http://www.dynare.org/DynareWiki/ShockDecomposition>.
- The diffuse filter now works under Octave
- - New option "console" on the Dynare command-line: use it when running Dynare
+ - 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
+ - Steady option `solve_algo=0` (uses `fsolve()`) now works under Octave
* For Emacs users:
- - New Dynare mode for Emacs editor (contributed by Yannick Kalantzis)
+ - New Dynare mode for Emacs editor (contributed by Yannick Kalantzis)
- - Reference manual now available in Info format (distributed with
- Debian/Ubuntu packages)
+ - 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]
+ - Deterministic models: leads and lags of two or more on endogenous
+ variables are now substituted by auxiliary variables; exogenous variables
+ are left as is. See <http://www.dynare.org/DynareWiki/AuxiliaryVariables>.
-[1] Kim, J., S. Kim, E. Schaumburg and C.A. Sims (2008), "Calculating and using
+* References:
+
+ - 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
+ models,” *Journal of Economic Dynamics and Control*, 32(11), 3397-3414
+
+ - Pearlman J., D. Currie and P. Levine (1986), “Rational expectations models
+ with partial information,” *Economic Modelling*, 3(2), 90-105
+