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.clang-format 0 → 100644
View file @ d38bfd73
# NB: whenever the present file is modified, the same modification should be
# applied to the copy in preprocessor.git
# For general information about our coding style, and the specific version
# of clang-format used, see:
# https://git.dynare.org/Dynare/dynare/-/wikis/CodingGuidelines#c-code
# For the list of options of clang-format, see:
# https://clang.llvm.org/docs/ClangFormatStyleOptions.html
# Effective configuration can be obtained with:
# clang-format --dump-config
# The RemoveParentheses and RemoveSemicolon option are not permanently set,
# because the clang-format manual (as of version 19) states that these
# options can lead to incorrect formatting and thus their result should be
# carefully reviewed.
Language: Cpp
Standard: c++20
ColumnLimit: 100
BasedOnStyle: GNU
AllowShortFunctionsOnASingleLine: None
AlwaysBreakTemplateDeclarations: Yes
BreakConstructorInitializers: AfterColon
BreakInheritanceList: AfterColon
Cpp11BracedListStyle: true
DeriveLineEnding: false
IndentPPDirectives: AfterHash
InsertNewlineAtEOF: true
PackConstructorInitializers: NextLine
PPIndentWidth: 1
PointerAlignment: Left
# RemoveParentheses: ReturnStatement
# RemoveSemicolon: true
SpaceAfterTemplateKeyword: false
SpaceBeforeParens: ControlStatements
SpaceBeforeCpp11BracedList: true
.clang-tidy 0 → 100644
View file @ d38bfd73
# NB: to use clang-tidy on the MEX source code, make sure that you have
# libomp-dev installed (the LLVM implementation of OpenMP)
# TODO: add the following check families:
# - bugprone-*
# - cppcoreguidelines-
Checks: 'performance-*,modernize-*,-modernize-use-trailing-return-type,-clang-diagnostic-unqualified-std-cast-call'
.dir-locals.el 0 → 100644
View file @ d38bfd73
((c-mode . ((indent-tabs-mode . nil)
(fill-column . 100)
(c-file-style . "gnu")))
(c++-mode . ((indent-tabs-mode . nil)
(fill-column . 100)
(c-file-style . "gnu")))
(makefile-mode . ((indent-tabs-mode . t)))
(octave-mode . ((indent-tabs-mode . nil)
(octave-block-offset . 4))))
.gitattributes 0 → 100644
View file @ d38bfd73
*.mat filter=lfs diff=lfs merge=lfs -text
.gitignore
View file @ d38bfd73
# For checking that no file has been unduly ignored, run:
# $ git ls-files -i --exclude-per-directory=.gitignore
# $ git ls-files -i -c --exclude-per-directory=.gitignore
# Any file that is displayed should be removed from the ignore list
# (possibly by an exclusion rule beginning with an exclamation mark)
# Generic ignore rules
*~
*.o
*.a
*.fig
\#*\#
TAGS
# Build system rules
.deps
Makefile
Makefile.in
configure
config.log
config.status
aclocal.m4
autom4te.cache
config.guess
config.sub
depcomp
install-sh
missing
ylwrap
# Doc rules
*.pdf
*.aux
*.log
*.out
*.toc
*.idx
*.scn
*.nav
*.snm
*.vrb
*.bbl
*.blg
*.lof
/doc/dynare.html
/doc/dynare.info
/doc/dynare.cp
/doc/dynare.fn
/doc/dynare.fns
/doc/dynare.vrs
/doc/dynare.ky
/doc/dynare.pg
/doc/dynare.tp
/doc/dynare.vr
/doc/texinfo.tex
/doc/version.texi
/doc/mdate-sh
/doc/stamp-vti
!/doc/guide.bbl
!/doc/macroprocessor/new-design.pdf
!/doc/macroprocessor/old-design.pdf
!/doc/userguide/P_ModStruct3.pdf
!/doc/userguide/P_MH2.pdf
!/doc/userguide/P_flowest.pdf
!/doc/userguide/P_ModStruct4.pdf
!/doc/userguide/Graphics/DynareFigures.key/droppedImage-2.pdf
!/doc/userguide/Graphics/DynareFigures.key/droppedImage.pdf
!/doc/userguide/Graphics/DynareFigures.key/droppedImage-1.pdf
!/doc/userguide/Graphics/DynareTitle.pdf
!/doc/userguide/P_ModStruct5.pdf
!/doc/userguide/P_DynareStruct2.pdf
!/doc/userguide/P_SchorfMod.pdf
!/doc/userguide/P_ModStruct2.pdf
!/doc/userguide/P_ShockModel2.pdf
!/doc/parallel/AvenueParadigm.pdf
!/doc/parallel/iVaNo_*.pdf
!/doc/parallel/netbook_*.pdf
!/doc/parallel/quest_*.pdf
!/doc/parallel/RWMH_quest1_*.pdf
!/doc/parallel/waitbars*.pdf
doc/m2html
doc/internals/*.html
doc/internals/ltxpng
mex/build/matlab/run_m2html.m
# Preprocessor
/preprocessor/dynare_m
/preprocessor/dynare_m.exe
/preprocessor/DynareBison.cc
/preprocessor/DynareBison.hh
/preprocessor/FlexLexer.h
/preprocessor/DynareFlex.cc
/preprocessor/location.hh
/preprocessor/position.hh
/preprocessor/stack.hh
/preprocessor/macro/MacroBison.cc
/preprocessor/macro/MacroBison.hh
/preprocessor/macro/MacroFlex.cc
/preprocessor/macro/location.hh
/preprocessor/macro/position.hh
/preprocessor/macro/stack.hh
/preprocessor/doc/
# MATLAB dir
/matlab/dynare_m
/matlab/dynare_m.exe
/matlab/dynare_version.m
# DLL rules
*.mex
*.dll
*.oct
*.mexglx
*.mexa64
*.mexw32
*.mexw64
*.mexmaci
*.mexmaci64
/mex/matlab/
/mex/octave/
# Dynare++
/dynare++/integ/cc/*.cpp
/dynare++/integ/cc/*.h
/dynare++/integ/cc/main.tex
/dynare++/integ/src/quadrature-points
/dynare++/integ/src/quadrature-points.exe
/dynare++/integ/testing/tests
/dynare++/kord/*.cpp
!/dynare++/kord/tests.cpp
/dynare++/kord/*.h
/dynare++/kord/main.tex
/dynare++/kord/tests
/dynare++/kord/tests.exe
/dynare++/kord/out.txt
/dynare++/sylv/testing/*.mm
/dynare++/sylv/testing/tests
/dynare++/sylv/testing/tests.exe
/dynare++/parser/cc/*_ll.cc
/dynare++/parser/cc/*_tab.cc
/dynare++/parser/cc/*_tab.hh
/dynare++/src/dynare++
/dynare++/src/dynare++.exe
/dynare++/src/dynglob_ll.cc
/dynare++/src/dynglob_tab.cc
/dynare++/src/dynglob_tab.hh
/dynare++/tl/cc/*.cpp
/dynare++/tl/cc/*.h
/dynare++/tl/cc/main.tex
/dynare++/tl/testing/tests
/dynare++/tl/testing/tests.exe
!/dynare++/extern/R/Makefile
# Windows
/windows/dynare-version.nsi
# Estimation DLL tests
/mex/sources/estimation/tests/test-dr
/mex/sources/estimation/tests/test-dr.exe
/mex/sources/estimation/tests/testModelSolution
/mex/sources/estimation/tests/testModelSolution.exe
/mex/sources/estimation/tests/testInitKalman
/mex/sources/estimation/tests/testInitKalman.exe
/mex/sources/estimation/tests/testKalman
/mex/sources/estimation/tests/testKalman.exe
/mex/sources/estimation/tests/testPDF
/mex/sources/estimation/tests/testPDF.exe
/mex/sources/estimation/libmat/tests/test-qr
/mex/sources/estimation/libmat/tests/test-qr.exe
/mex/sources/estimation/libmat/tests/test-gsd
/mex/sources/estimation/libmat/tests/test-gsd.exe
/mex/sources/estimation/libmat/tests/test-lu
/mex/sources/estimation/libmat/tests/test-lu.exe
/mex/sources/estimation/libmat/tests/test-repmat
/mex/sources/estimation/libmat/tests/test-repmat.exe
# MacOS stuff
.DS_Store
# MS-Sbvar
/contrib/ms-sbvar/*.prn
/contrib/ms-sbvar/*.dat
/contrib/ms-sbvar/sbvar_commandline
/contrib/ms-sbvar/sbvar_init_file
# Created when building the reference manual
/doc/manual/utils/__pycache__/*
# Created by the Windows package build script
/windows/deps/lib64/
/windows/deps/lib64-msys2/
/windows/deps/matlab64/
/windows/deps/mingw64/
/windows/deps/octave64/
/windows/deps/sources64/
/windows/deps/tarballs/
/windows/exe/
/windows/7z/
/windows/zip/
/matlab/preprocessor64/
/matlab/supported_octave_version.m
# Created by the macOS package build script
/macOS/deps/arm64/sources64/
/macOS/deps/x86_64/sources64/
/macOS/deps/tarballs/
/macOS/deps/arm64/lib64/
/macOS/deps/x86_64/lib64/
build-doc
# Emacs stuff
TAGS
scripts/dynare.elc
.gitlab-ci.yml 0 → 100644
View file @ d38bfd73
variables:
GIT_SUBMODULE_STRATEGY: recursive
TERM: linux
MATLAB_VERSION: R2024b
OLD_MATLAB_VERSION: R2020a
# To ensure that "false && true" fails, see https://gitlab.com/gitlab-org/gitlab-runner/-/issues/25394#note_412609647
FF_ENABLE_BASH_EXIT_CODE_CHECK: 'true'
# The next stanza creates the version number used for the source tarball and the
# binary packages. Here are the following possible cases:
# - if VERSION was already set (when manually running a pipeline), use it
# - if we are in the official Dynare repository:
# + if on a tag: use the tag
# + if on master: use 7-unstable-$TIMESTAMP-$COMMIT
# + on another branch: use $BRANCH-$TIMESTAMP-$COMMIT
# - if in a personal repository: use $USER-$TIMESTAMP-$COMMIT
before_script:
- 'if [[ -z $VERSION ]] && [[ $CI_PROJECT_NAMESPACE == Dynare ]] && [[ -n $CI_COMMIT_TAG ]]; then export VERSION=$CI_COMMIT_TAG; fi'
- 'if [[ -z $VERSION ]] && [[ $CI_PROJECT_NAMESPACE == Dynare ]] && [[ $CI_COMMIT_REF_NAME == master ]]; then export VERSION=7-unstable-$(date +%F-%H%M)-$CI_COMMIT_SHORT_SHA; fi'
- 'if [[ -z $VERSION ]] && [[ $CI_PROJECT_NAMESPACE == Dynare ]]; then export VERSION=$CI_COMMIT_REF_NAME-$(date +%F-%H%M)-$CI_COMMIT_SHORT_SHA; fi'
- 'if [[ -z $VERSION ]]; then export VERSION=$CI_PROJECT_NAMESPACE-$(date +%F-%H%M)-$CI_COMMIT_SHORT_SHA; fi'
stages:
- build
- test
- pkg
- sign
- deploy
build_matlab:
stage: build
script:
- meson setup -Dbuild_for=matlab -Dmatlab_path=/opt/MATLAB/$MATLAB_VERSION -Dbuildtype=release build-matlab
- meson compile -v -C build-matlab
artifacts:
paths:
- build-matlab/
expire_in: 3 days
build_octave:
stage: build
script:
- meson setup -Dbuild_for=octave -Dbuildtype=release build-octave
- meson compile -v -C build-octave
artifacts:
paths:
- build-octave/
expire_in: 3 days
build_doc:
stage: build
script:
- meson rewrite kwargs set project / version "$VERSION"
# Use a local copy of MathJax to avoid using CDN (which are a privacy issue)
# NB: Debian 12 “Bookworm” has MathJax 2. The following needs to be updated
# when Debian moves to MathJax 3.
- meson setup -Dbuild_for=octave -Dmathjax_path=mathjax/MathJax.js?config=TeX-AMS-MML_HTMLorMML build-doc
- meson compile -v -C build-doc doc
- cp -dR /usr/share/javascript/mathjax build-doc/dynare-manual.html/_static/
artifacts:
paths:
- build-doc/
expire_in: 3 days
pkg_source:
stage: pkg
script:
- meson rewrite kwargs set project / version "$VERSION"
- git commit -a -m "Source for $VERSION"
- meson setup -Dbuild_for=octave build-src
- meson dist -C build-src --no-tests
artifacts:
paths:
- build-src/meson-dist/dynare-*.tar.xz
expire_in: 3 days
needs: []
pkg_windows:
stage: pkg
script:
- meson rewrite kwargs set project / version "$VERSION"
- mkdir -p windows/deps/tarballs && cp /usr/lib/dynare-runner/matlab64-* windows/deps/tarballs/
- make -C windows
- rm windows/deps/tarballs/matlab64-* # No need to cache these files
cache:
- key: "$CI_JOB_NAME-$CI_COMMIT_REF_SLUG"
paths:
- windows/deps/sources64/
- windows/deps/lib64/
# We do not cache lib64-msys2, mingw64, octave64 and
# matlab64, because those are simply extracted from a tarball. It
# would be a waste of space and of (re-compression) time.
- key: $CI_JOB_NAME
# This cache is shared between all branches, to save space
paths:
- windows/deps/tarballs/
artifacts:
paths:
- windows/exe/*
- windows/7z/*
- windows/zip/*
expire_in: 3 days
needs: [ "build_doc" ]
pkg_macOS_x86_64:
stage: pkg
script:
# Enforce the arm64 meson for rewrite, as a workaround to https://github.com/mesonbuild/meson/issues/12282
- env PATH="/opt/homebrew/bin:$PATH" meson rewrite kwargs set project / version "$VERSION"
- ln -s ~/tarballs macOS/deps/
- make -C macOS build-x86_64
cache:
key: "$CI_JOB_NAME-$CI_COMMIT_REF_SLUG"
paths:
- macOS/deps/x86_64/sources64/
- macOS/deps/x86_64/lib64/
tags:
- macOS
artifacts:
paths:
- macOS/pkg/*
expire_in: 3 days
needs: [ "build_doc" ]
pkg_macOS_arm64:
stage: pkg
script:
# Enforce the arm64 meson for rewrite, as a workaround to https://github.com/mesonbuild/meson/issues/12282
- env PATH="/opt/homebrew/bin:$PATH" meson rewrite kwargs set project / version "$VERSION"
- ln -s ~/tarballs macOS/deps/
- make -C macOS build-arm64
cache:
key: "$CI_JOB_NAME-$CI_COMMIT_REF_SLUG"
paths:
- macOS/deps/arm64/sources64/
- macOS/deps/arm64/lib64/
tags:
- macOS
artifacts:
paths:
- macOS/pkg/*
expire_in: 3 days
needs: [ "build_doc" ]
pkg_matlab_online:
stage: pkg
script:
- meson rewrite kwargs set project / version "$VERSION"
- cd scripts/matlab-online && ./packageDynare.sh
tags:
- matlab-online
artifacts:
paths:
- scripts/matlab-online/*.mltbx
expire_in: 3 days
needs: []
when: manual
test_matlab:
stage: test
script:
- meson test -C build-matlab --no-rebuild --num-processes $(($(nproc) * 3 / 4))
artifacts:
paths:
- build-matlab/meson-logs/testlog.txt
when: always
needs: [ "build_matlab" ]
test_old_matlab:
stage: test
script:
- meson setup -Dbuild_for=matlab -Dmatlab_path=/opt/MATLAB/$OLD_MATLAB_VERSION -Dbuildtype=release build-old-matlab
- meson compile -v -C build-old-matlab
- meson test -C build-old-matlab --num-processes $(($(nproc) * 3 / 4))
artifacts:
paths:
- build-old-matlab/meson-logs/testlog.txt
when: always
needs: []
when: manual
test_octave:
stage: test
variables:
OPENBLAS_NUM_THREADS: 1
script:
- meson test -C build-octave --no-rebuild
artifacts:
paths:
- build-octave/meson-logs/testlog.txt
when: always
needs: [ "build_octave" ]
when: manual
test_clang_format:
stage: test
script:
- meson setup -Dbuild_for=octave build-clang-format
- ninja -C build-clang-format clang-format-check
needs: []
test_clang_tidy:
stage: test
script:
# Hack needed for meson < 1.6.0 which only looks for unversioned clang-tidy
- mkdir -p ~/.local/bin && ln -s /usr/bin/clang-tidy-19 ~/.local/bin/clang-tidy
- export PATH="$HOME/.local/bin:$PATH"
- meson setup -Dbuild_for=octave build-clang-tidy
- ninja -C build-clang-tidy clang-tidy
needs: []
when: manual
# For the sign and deploy jobs, we don’t use the “needs” keyword, since we
# don’t want those jobs to start before the “test” and “pkg” stages have
# succeeded. Hence we stick to the “dependencies” keyword.
sign_windows:
stage: sign
rules:
- if: '$CI_PROJECT_NAMESPACE == "Dynare" && $CI_COMMIT_REF_NAME == "master"'
when: on_success
- when: never
tags:
- sign
dependencies:
- pkg_windows
script:
- f=(windows/exe/*) && mkdir -p windows/exe-signed/ && osslsigncode sign -pkcs11module /usr/lib/x86_64-linux-gnu/libykcs11.so.2 -key "pkcs11:id=%01;type=private;pin-value=$YUBIKEY_PIN" -certs ~/cepremap-code-signing-comodo-sectigo.pem -n Dynare -i https://www.dynare.org -t http://timestamp.comodoca.com -in ${f[0]} -out windows/exe-signed/${f[0]##*/}
artifacts:
paths:
- windows/exe-signed/*
expire_in: 3 days
deploy_manual_unstable:
stage: deploy
rules:
- if: '$CI_PROJECT_NAMESPACE == "Dynare" && $CI_COMMIT_REF_NAME == "master"'
when: on_success
- when: never
tags:
- deploy
dependencies:
- build_doc
script:
- rsync --recursive --links --delete build-doc/dynare-manual.html/ /srv/www.dynare.org/manual-unstable/
deploy_snapshot_unstable:
stage: deploy
rules:
- if: '$CI_PROJECT_NAMESPACE == "Dynare" && $CI_COMMIT_REF_NAME == "master"'
when: on_success
- when: never
tags:
- deploy
dependencies:
- pkg_source
- pkg_windows
- sign_windows
- pkg_macOS_arm64
- pkg_macOS_x86_64
script:
- cp build-src/meson-dist/*.tar.xz /srv/www.dynare.org/snapshot/source/ && ln -sf *.tar.xz /srv/www.dynare.org/snapshot/source/dynare-latest-src.tar.xz
- f=(windows/exe-signed/*) && cp ${f[0]} /srv/www.dynare.org/snapshot/windows/ && ln -sf ${f[0]##*/} /srv/www.dynare.org/snapshot/windows/dynare-latest-win.exe
- f=(windows/7z/*) && cp ${f[0]} /srv/www.dynare.org/snapshot/windows-7z/ && ln -sf ${f[0]##*/} /srv/www.dynare.org/snapshot/windows-7z/dynare-latest-win.7z
- f=(windows/zip/*) && cp ${f[0]} /srv/www.dynare.org/snapshot/windows-zip/ && ln -sf ${f[0]##*/} /srv/www.dynare.org/snapshot/windows-zip/dynare-latest-win.zip
- f=(macOS/pkg/*-arm64.pkg) && cp ${f[0]} /srv/www.dynare.org/snapshot/macos-arm64/ && ln -sf ${f[0]##*/} /srv/www.dynare.org/snapshot/macos-arm64/dynare-latest-macos-arm64.pkg
- f=(macOS/pkg/*-x86_64.pkg) && cp ${f[0]} /srv/www.dynare.org/snapshot/macos-x86_64/ && ln -sf ${f[0]##*/} /srv/www.dynare.org/snapshot/macos-x86_64/dynare-latest-macos-x86_64.pkg
- ~/update-snapshot-list.sh
- curl -X POST -F token="$WEBSITE_PIPELINE_TRIGGER_TOKEN" -F ref=master https://git.dynare.org/api/v4/projects/40/trigger/pipeline
.gitmodules
View file @ d38bfd73
[submodule "contrib/ms-sbvar/utilities_dw"]
path = contrib/ms-sbvar/utilities_dw
url = http://www.dynare.org/git/frbatlanta/utilities_dw.git
url = ../../contrib/utilities_dw.git
[submodule "contrib/ms-sbvar/switch_dw"]
path = contrib/ms-sbvar/switch_dw
url = http://www.dynare.org/git/frbatlanta/switch_dw.git
url = ../../contrib/switch_dw.git
[submodule "contrib/ms-sbvar/TZcode"]
path = contrib/ms-sbvar/TZcode
url = http://www.dynare.org/git/frbatlanta/TZcode.git
url = ../../contrib/TZcode.git
[submodule "matlab/utilities/tests"]
path = matlab/utilities/tests
url = ../../Dynare/m-unit-tests.git
[submodule "matlab/dseries"]
path = matlab/dseries
url = ../../Dynare/dseries.git
branch = master
[submodule "preprocessor"]
path = preprocessor
url = ../../Dynare/preprocessor.git
CODE_OF_CONDUCT.md 0 → 100644
View file @ d38bfd73
# Dynare Code of Conduct
## Our Pledge
We as members, contributors, and leaders pledge to make participation in our
community a harassment-free experience for everyone, regardless of age, body
size, visible or invisible disability, ethnicity, sex characteristics, gender
identity and expression, level of experience, education, socio-economic status,
nationality, personal appearance, race, caste, color, religion, or sexual
identity and orientation.
We pledge to act and interact in ways that contribute to an open, welcoming,
diverse, inclusive, and healthy community.
## Our Standards
Examples of behavior that contributes to a positive environment for our
community include:
* Demonstrating empathy and kindness toward other people
* Being respectful of differing opinions, viewpoints, and experiences
* Giving and gracefully accepting constructive feedback
* Accepting responsibility and apologizing to those affected by our mistakes,
and learning from the experience
* Focusing on what is best not just for us as individuals, but for the overall
community
Examples of unacceptable behavior include:
* The use of sexualized language or imagery, and sexual attention or advances of
any kind
* Trolling, insulting or derogatory comments, and personal or political attacks
* Public or private harassment
* Publishing others' private information, such as a physical or email address,
without their explicit permission
* Other conduct which could reasonably be considered inappropriate in a
professional setting
## Enforcement Responsibilities
Community leaders are responsible for clarifying and enforcing our standards of
acceptable behavior and will take appropriate and fair corrective action in
response to any behavior that they deem inappropriate, threatening, offensive,
or harmful.
Community leaders have the right and responsibility to remove, edit, or reject
comments, commits, code, wiki edits, issues, and other contributions that are
not aligned to this Code of Conduct, and will communicate reasons for moderation
decisions when appropriate.
## Scope
This Code of Conduct applies within all community spaces, and also applies when
an individual is officially representing the community in public spaces.
Examples of representing our community include using an official e-mail address,
posting via an official social media account, or acting as an appointed
representative at an online or offline event.
## Enforcement
Instances of abusive, harassing, or otherwise unacceptable behavior may be
reported to the community leaders responsible for enforcement at
[community@dynare.org](mailto:community@dynare.org).
All complaints will be reviewed and investigated promptly and fairly.
All community leaders are obligated to respect the privacy and security of the
reporter of any incident.
## Enforcement Guidelines
Community leaders will follow these Community Impact Guidelines in determining
the consequences for any action they deem in violation of this Code of Conduct:
### 1. Correction
**Community Impact**: Use of inappropriate language or other behavior deemed
unprofessional or unwelcome in the community.
**Consequence**: A private, written warning from community leaders, providing
clarity around the nature of the violation and an explanation of why the
behavior was inappropriate. A public apology may be requested.
### 2. Warning
**Community Impact**: A violation through a single incident or series of
actions.
**Consequence**: A warning with consequences for continued behavior. No
interaction with the people involved, including unsolicited interaction with
those enforcing the Code of Conduct, for a specified period of time. This
includes avoiding interactions in community spaces as well as external channels
like social media. Violating these terms may lead to a temporary or permanent
ban.
### 3. Temporary Ban
**Community Impact**: A serious violation of community standards, including
sustained inappropriate behavior.
**Consequence**: A temporary ban from any sort of interaction or public
communication with the community for a specified period of time. No public or
private interaction with the people involved, including unsolicited interaction
with those enforcing the Code of Conduct, is allowed during this period.
Violating these terms may lead to a permanent ban.
### 4. Permanent Ban
**Community Impact**: Demonstrating a pattern of violation of community
standards, including sustained inappropriate behavior, harassment of an
individual, or aggression toward or disparagement of classes of individuals.
**Consequence**: A permanent ban from any sort of public interaction within the
community.
## Attribution
This Code of Conduct is adapted from the [Contributor Covenant][homepage],
version 2.1, available at
[https://www.contributor-covenant.org/version/2/1/code_of_conduct.html][v2.1].
Community Impact Guidelines were inspired by
[Mozilla's code of conduct enforcement ladder][Mozilla CoC].
For answers to common questions about this code of conduct, see the FAQ at
[https://www.contributor-covenant.org/faq][FAQ]. Translations are available at
[https://www.contributor-covenant.org/translations][translations].
[homepage]: https://www.contributor-covenant.org
[v2.1]: https://www.contributor-covenant.org/version/2/1/code_of_conduct.html
[Mozilla CoC]: https://github.com/mozilla/diversity
[FAQ]: https://www.contributor-covenant.org/faq
[translations]: https://www.contributor-covenant.org/translations
CONTRIBUTING.md 0 → 100644
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# Instructions for Contributing to Dynare
## Introduction
Hello from the Dynare Team! We’re happy you’re on this page because hopefully that means you’re thinking of getting directly involved with the Dynare project. Herein, we outline how you can contribute to Dynare. Please read this document all the way through before contributing.
Please follow the steps in the sections below in order. Note that, though we’d love for you to contribute code, you don’t need to be a programmer to contribute to Dynare. You can report bugs, ask for enhancements, fix typos in the manual, contribute tests to the test suite, or do something we haven’t thought of yet!
If something is not clear, don’t hesitate to ask if you can’t find the answer online. You can contact us directly at [dev@dynare.org](mailto:dev@dynare.org).
Please note that the repositories under the purview of this page are:
* [Dynare](https://git.dynare.org/Dynare/dynare)
* [Preprocessor](https://git.dynare.org/Dynare/preprocessor)
* [Dseries](https://git.dynare.org/Dynare/dseries)
* [Reporting](https://git.dynare.org/Dynare/reporting)
* [M-unit-tests](https://git.dynare.org/Dynare/m-unit-tests)
## Making your Intentions Known
Before making changes to the codebase, it’d be helpful if you communicated your intentions with us. This will avoid double work and ensure that you don’t contribute code that won’t be included in Dynare for one reason or another.
### Create your account on our GitLab instance
All the development of Dynare happens in [GitLab](https://about.gitlab.com/), which is an integrated environment for storing code under git, keeping track of issues and milestones, and perform testing. The Dynare Team has its own instance of GitLab.
In order to work with us, you need to create your account on our GitLab instance on the [register page](https://git.dynare.org/users/sign_in). Note that account requests are manually validated, so be prepared to wait for a couple of hours or days before your account is created; if your account request is rejected, do not hesitate to contact us directly.
You will also need to register your SSH key in your GitLab profile if you want to contribute code.
### Issues: Reporting Bugs
You can report bugs in both the stable and unstable versions of Dynare. Before reporting a bug in the stable version of Dynare, please check the [Known Bugs](https://git.dynare.org/Dynare/dynare/wikis/Known-bugs-present-in-the-current-stable-version) page to ensure it has not already been encountered/fixed. If reporting a bug in the unstable version of Dynare, please ensure the bug exists in the latest [unstable Dynare snapshot](https://www.dynare.org/download/#snapshot).
To report a bug in Dynare, simply open a Gitlab issue in the repository where the bug resides. For example, to report a bug in Dynare itself, go to the [Dynare repository issue page](https://git.dynare.org/Dynare/dynare/issues) and click on "New Issue."
The minimal information to add is a subject and a description of the steps needed to reproduce the bug. However, the most helpful description would also provide the code to reproduce the bug (often times a `.mod` file). The most helpful `.mod` file is a minimal, quick-running example that reproduces the bug, but we’ll take anything that will help us squash a bug.
To include short amounts of code, please paste it into the description box, using the appropriate [GitLab Flavored Markdown](https://docs.gitlab.com/ee/user/markdown.html) code. For larger amounds of code like `.mod` files, please create a new [GitLab snippet](https://git.dynare.org/dashboard/snippets) and provide the link in the description box.
### Issues: Enhancements
Issues are not only used to report bugs. They are also used to ask for improvements to the codebase or new features to Dynare in general. Please be descriptive when asking for improvements or new features. Links or references to papers or detailed examples are helpful.
Though our development priorities lay with those who finance Dynare and with what we think may most benefit the Dynare community, this does not mean we are closed to outside ideas for enhancements. On the contrary: we invite them! Moreover, if you are willing to program the enhancement you want, the odds of it being included in Dynare are much higher than if you needed us to do it. That said, it is best to create an issue with an enhancement idea **before** beginning the work. As stated above, this is important to avoid duplication of work and also because we wouldn’t want you to take the time to work on something that would not end up being included in Dynare.
## Get to Coding!
So, now you’ve reported the bug or asked for an enhancemnt by creating a GitLab issue. That’s already a great help. Thank you!
Now, if you want to go the extra mile, you’ll volunteer to contribute code to fix the GitLab issue you created above. Once we’ve agreed that you’ll do it, please do the following:
1. Clone the Dynare repository:
* `git clone --recurse-submodules https://git.dynare.org/Dynare/dynare.git`
1. [Fork the Dynare repository](https://docs.gitlab.com/ee/gitlab-basics/fork-project.html)
1. Change into the `dynare` folder and add the forked repository as a remote:
* `cd dynare`
* `git remote add personal git@git.dynare.org:<<GitLab username>>/dynare.git`
1. Create a branch to work on
* `git checkout -b <<descriptive branch name>>`
1. Do your work, all the while respecting the [Dynare Coding Guidelines](https://git.dynare.org/Dynare/dynare/-/wikis/CodingGuidelines)
1. You may also want to have a look at the [coding resources](https://git.dynare.org/Dynare/dynare/-/wikis/CodingResources)
As you work, your forked repository will likely fall out of sync with the main Dynare repository as we’ll be working in parallel. No matter. Follow these steps to ensure your changes will be merge-able when they’re done:
1. Get the changes from the main Dynare repository:
* `git checkout master`
* `git fetch`
* `git rebase origin master`
1. Move your changes on top of the current master branch of Dynare
* `git checkout <<descriptive branch name>>`
* `git rebase origin/master`
* This last command may cause a conflict. It is up to you to resolve this conflict.
Once you’ve made the changes necessary to fix the bug or add an enhancement, ensure that it has been rebased on the master branch (following the steps above), commit it, push it to your forked Dynare repository, and create a pull request:
1. Get the latest changes from Dynare and rebase your branch on top of them (see above)
1. Commit your changes:
* `git add <<files to commit>>`
* `git commit -m "<<descriptive commit message.>> Closes: #<<Ref. to GitLab issue number fixed by this commit>>"`
1. Push to your forked Dynare repository
* `git push personal <<descriptive branch name>>`
1. Create a [Merge Request](https://docs.gitlab.com/ee/gitlab-basics/add-merge-request.html) from the branch in your forked Dynare repository
## Tests
The Dynare testsuite runs every time a commit is pushed, either in the official repository or in your personal repository, through [GitLab Continuous Integration](https://docs.gitlab.com/ee/ci/). It’s how we quickly catch bugs that may have been introduced by changes made.
The output from the latest run of the test suite can be found in the `test_matlab` job associated to the [latest pipeline](https://git.dynare.org/Dynare/dynare/pipelines). This is also a good place to start fixing bugs. If you see a `.mod` file that doesn’t run in the test suite and think you can fix it, create an issue and once you have the go ahead, go for it!
### Integration tests
It’s useful to contribute `.mod` files that test some aspect of Dynare that is not currently tested. A `.mod` file that runs into a bug is perfect. As the test suite currently takes several hours to run, we prefer you modify a current test to also create the bug you’ve found. If you can’t do that, please add a new test that runs as quickly as possible. It will contain only those commands necessary to create the bug, nothing more. To contribute a test, after having made an issue and cloned and forked the repository as described above, do the following:
1. Modify the `mod_and_m_tests` variable in `meson.build` with a entry containing your test file name
1. If any ancillary files are needed to run your test, please include them in the `'extra'` field
1. Add and commit your test file and `meson.build` as described above
1. Push and create a pull request as described above
### Unit tests
So-called unit tests allow the test suite to check the correct functioning of the MATLAB/Octave functions contained in Dynare. To add a unit test you need to
1. add the `return % --*-- Unit tests --*--` at the end of the `function` to tell the testsuite that the file contains unit tests.
1. Add the particular tests at the end of the file after the `return` statement by
1. Starting a test with `%@test:INTEGER`
2. Adding a MATLAB/Octave test code that provides a pass/fail indicator `T` that takes on `true` if the test passed.
3. Closing the test with `%@eof:INTEGER`
where `INTEGER` denotes the number of the test.
An example testing the correct functionality of mode-computations for a normal distribution is
```
function m = compute_prior_mode(hyperparameters,shape)
return % --*-- Unit tests --*--
%@test:1
% Normal density
try
m1 = compute_prior_mode([1 1],3);
t(1) = true;
catch
t(1) = false;
end
%$
if t(1)
t(2) = dassert(m1,1,1e-6);
end
T = all(t);
%@eof:1
```
You can also put a unit test after the closing `end`, but in this case you will need to preface each line with `%$`. See e.g. https://git.dynare.org/Dynare/dseries/-/commit/be4a4d39c125b92ee84ef876d86e6ec947c522b8
COPYING 0 → 100644
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Makefile.am deleted 100644 → 0
View file @ ae0f83c3
SUBDIRS = preprocessor doc tests mex/sources
if HAVE_BLAS
if HAVE_LAPACK
SUBDIRS += dynare++
endif
endif
# MEX must be built after dynare++ (because of kordepert)
if ENABLE_MATLAB
SUBDIRS += mex/build/matlab
endif
if ENABLE_OCTAVE
SUBDIRS += mex/build/octave
endif
ACLOCAL_AMFLAGS = -I m4
EXTRA_DIST = \
matlab \
contrib \
NEWS \
license.txt \
windows/dynare.nsi \
windows/mexopts-win32.bat \
windows/mexopts-win64.bat \
windows/README.txt \
osx \
examples \
scripts
dist-hook:
rm -rf `find $(distdir)/matlab $(distdir)/examples -name *~`
rm -f $(distdir)/matlab/dynare_m$(EXEEXT) $(distdir)/matlab/dynare_version.m
$(MKDIR_P) $(distdir)/mex/matlab $(distdir)/mex/octave
rm -rf `find $(distdir)/contrib -name '.git*'`
NEWS deleted 100644 → 0
View file @ ae0f83c3
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
NEWS.md 0 → 100644
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Announcement for Dynare 6.3 (on 2025-02-19)
===========================================
We are pleased to announce the release of Dynare 6.3.
This maintenance release fixes various bugs.
The Windows, macOS, MATLAB online and source packages are available for
download at [the Dynare website](https://www.dynare.org/download/).
This release is compatible with MATLAB versions ranging from 9.5 (R2018b) to
24.2 (R2024b), and with GNU Octave versions ranging from 7.1.0 to 9.4.0 (NB:
the Windows package requires version 9.4.0 specifically).
Here is a list of the problems identified in version 6.2 and that have been
fixed in version 6.3:
* OccBin with option `smoother_inversion_filter` would crash the MCMC
estimation if the `filtered_variables` or `filter_step_ahead` options were
used
* OccBin with option `smoother_inversion_filter` would use the PKF if
`mh_replic>0`
* OccBin with option `smoothed_state_uncertainty` would crash Dynare if the
MCMC smoother was run after the classical one
* OccBin's smoother would crash when encountering an internal error due to the
output of the linear smoother not having been computed
* Calling `model_info` with `differentiate_forward_vars` would crash
* The `identification` command would compute the asymptotic Hessian via
simulation instead of via moments as intended
* The `identification` command would crash during prior sampling if the initial
draw did not solve the model
* The `gsa_sample_file` was broken
* Optimization algorithm `mode_compute=5` (`newrat`) would crash with
`analytic_derivation`
* The `discretionary_policy` command would crash if the model was purely
forward-looking
* The `dsample` command would crash
* The `conditional_forecast_paths` block did not accept vector inputs
* For MCMC chains with fewer than 6000 draws, the default number of `sub_draws`
used to compute posterior moments was incorrect
* Bi-annual dates (e.g. `2024S1` or `2024H1`) were not accepted within Dynare
statements
* Plotting `dseries` did not correctly show dates on the x-axis
Announcement for Dynare 6.2 (on 2024-09-25)
===========================================
We are pleased to announce the release of Dynare 6.2.
This maintenance release fixes various bugs.
The Windows, macOS, MATLAB online and source packages are available for
download at [the Dynare website](https://www.dynare.org/download/).
This release is compatible with MATLAB versions ranging from 9.5 (R2018b) to
24.2 (R2024b), and with GNU Octave versions ranging from 7.1.0 to 9.2.0 (NB:
the Windows package requires version 9.2.0 specifically).
Here is a list of the problems identified in version 6.1 and that have been
fixed in version 6.2:
* The mixed complementarity problem (MCP) solver could fail or give wrong
results in some cases where there were multiple complementarity conditions
* The `qmc_sequence` MEX file from the macOS package would fail to load
* OccBin forecasts would crash in case of shocks with zero variance
* OccBin smoother would crash if simulation did not converge
* Computation of posterior moments could crash in large models
* The auxiliary particle filter and the Liu & West online filter
(`mode_compute=11`) required the Statistics Toolbox
* The auxiliary particle filter and the Liu & West online filter
(`mode_compute=11`) would not work with the `discretionary_policy` command
* The `discretionary_policy` command would crash if there were fewer than two
exogenous variables
* Using the `forecast` command with a model solved at `order>1` without
`varexo_det` would return forecasts based on a first order approximation
instead of providing an error message
* Using the `forecast` command with a model solved at `order=2` with
`varexo_det` and `pruning` would return forecasts without `pruning` instead
of providing an error message
* Using the `forecast` command with a model solved at `order=3` would crash
* SMC methods could return wrong posterior results if the Parallel Toolbox was
installed
* The Herbst-Schorfheide SMC sampler would crash at `order>1`
* Annualized shock decomposition would not output results if desired vintage
date did not coincide to an end-of-the-year Q4 period
* Using `rand_multivariate_student` as the proposal density in the
`tailored_random_block_metropolis_hastings` posterior sampler would return
wrong results
* The `onlyclearglobals` of the `dynare` command was not working as intended
* The `det_cond_forecast` command would crash with plans including only
expected shocks
* Estimation could crash in some rare cases when computing the 2nd order
moments of prior or posterior distribution
* Successive calls of the Herbst-Schorfheide SMC sampler could crash due to
some stale files being left on disk
* The shock decomposition plot could be wrong in the presence of leads/lags on
exogenous variables, or when the steady state is squeezed
Announcement for Dynare 6.1 (on 2024-05-02)
===========================================
We are pleased to announce the release of Dynare 6.1.
This maintenance release fixes various bugs.
The Windows, macOS, MATLAB online and source packages are already available for
download at [the Dynare website](https://www.dynare.org/download/).
This release is compatible with MATLAB versions ranging from 9.5 (R2018b) to
24.1 (R2024a), and with GNU Octave versions ranging from 7.1.0 to 9.1.0 (NB:
the Windows package requires version 9.1.0 specifically).
Here is a list of the problems identified in version 6.0 and that have been
fixed in version 6.1:
* Identification: simulated moments were triggered instead of theoretical ones
* Variance decompositions would crash with measurement errors when zero
variance shocks were present
* The handling of Lagrange multipliers in the display of problems with the
Jacobian was wrong
* The option `auxname` was missing in the documentation of the `pac_model`
command
* PAC equation estimation/simulation was crashing in the case of composite
target
* The PAC equation estimation would crash if the PAC target was a transformed
variable
* The `perfect_foresight_with_expectation_errors_solver` command could return
incorrect results when used in conjunction with
`homotopy_linearization_fallback` or
`homotopy_marginal_linearization_fallback` options
* For scalar values, the description of the `horizon` option of the
`var_expectation_model` command was incorrect
* The steady state computation with the `bytecode` option in a Ramsey model
was broken
* OccBin: the piecewise Kalman filter would crash in case of a periodic
solution
* The `heteroskedastic_filter` option of the `estimation` command would cause a
crash if there was only one shock
* The `method_of_moments` command would crash during the J-test for just and
underidentified models
* User-defined `warning` settings were internally overwritten with the
`method_of_moments` command or the piecewise Kalman filter
* The SMC sampler would crash if any of the `bayesian_irf`, `moments_varendo`,
or `smoother` options of the `estimation` command had been specified
* The `bvar_irf` command would ignore the `SquareRoot` option and instead
employ a Cholesky decomposition
* The univariate Kalman filter erroneously treated observations with negative
prediction variances due to numerical issues as missing values instead of
discarding the parameter draw
Moreover, a new `homotopy_exclude_varexo` option to the
`perfect_foresight_solver` command has been added, to exclude some exogenous
variables from the homotopy procedure (*i.e.* to keep them at their value
corresponding to 100% of the shock during all homotopy iterations).
Announcement for Dynare 6.0 (on 2024-02-02)
===========================================
We are pleased to announce the release of Dynare 6.0.
This major release adds new features and fixes various bugs.
The Windows, macOS, MATLAB Online and source packages are already available for
download at [the Dynare website](https://www.dynare.org/download/).
This release is compatible with MATLAB versions ranging from 9.5 (R2018b) to
23.2 (R2023b), and with GNU Octave versions ranging from 7.1.0 to 8.4.0 (NB:
the Windows package requires version 8.4.0 specifically).
Major user-visible changes
--------------------------
- The Sequential Monte Carlo sampler as described by Herbst and Schorfheide
(2014) is now available under value `hssmc` for option
`posterior_sampling_method`.
- New routines for perfect foresight simulation with expectation errors. In
such a scenario, agents make expectation errors in that the path they had
anticipated in period 1 is not realized exactly. More precisely, in some
simulation periods, they may receive new information that makes them revise
their anticipation for the path of future shocks. Also, under this scenario,
it is assumed that agents behave as under perfect foresight, *i.e.* they
make their decisions as if there were no uncertainty and they knew exactly
the path of future shocks; the new information that they may receive comes
as a total surprise to them. Available under new
`perfect_foresight_with_expectation_errors_setup` and
`perfect_foresight_with_expectation_errors_solver` commands, and
`shocks(learnt_in=…)`, `mshocks(learnt_in=…)` and `endval(learnt_in=…)`
blocks.
- New routines for IRF matching with stochastic simulations:
- Both frequentist (as in Christiano, Eichenbaum, and Evans, 2005) and
Bayesian (as in Christiano, Trabandt, and Walentin, 2010) IRF matching
approaches are implemented. The core idea of IRF matching is to treat
empirical impulse responses (*e.g.* given from an SVAR or local projection
estimation) as data and select model parameters that align the model’s
IRFs closely with their empirical counterparts.
- Available under option `mom_method = irf_matching` option to the
`method_of_moments` command.
- New blocks `matched_irfs` and `matched_irfs_weights` for specifying the
values and weights of the empirical impulse response functions.
- Pruning à la Andreasen et al. (2018) is now available at an arbitrary
approximation order when performing stochastic simulations with
`stoch_simul`, and at 3rd order when performing particle filtering.
- New `log` option to the `var` statement. In addition to the endogenous
variable(s) thus declared, this option also triggers the creation of
auxiliary variable(s) equal to the log of the corresponding endogenous
variable(s). For example, given a `var(log) y;` statement, two endogenous
will be created (`y` and `LOG_y`), and an auxiliary equation linking the two
will also be added (equal to `y = exp(LOG_y);`). Moreover, every occurrence
of `y` in the model will be replaced by `exp(LOG_y)`. This option is, for
example, useful for performing a loglinear approximation of some variable(s)
in the context of a first-order stochastic approximation; or for ensuring
that the variable(s) stay(s) in the definition domain of the function
defining the steady state or the dynamic residuals when the nonlinear solver
is used.
- New model editing features
- Multiple `model` blocks are now supported (this was already working but
not explicitly documented).
- Multiple `estimated_params` blocks now concatenate their contents (instead
of overwriting previous ones, which was the former undocumented behavior);
an `overwrite` option has been added to provide the old behavior.
- New `model_options` statement to set model options in a global fashion.
- New `model_remove` command to remove equations.
- New `model_replace` block to replace equations.
- New `var_remove` command to remove variables (or parameters).
- New `estimated_params_remove` block to remove estimated parameters.
- Stochastic simulations
- Performance improvements for simulation of the solution under perturbation
and for particle filtering at higher order (⩾ 3).
- Performance improvement for the first order perturbation solution using
either cycle reduction (`dr=cycle_reduction` option) or logarithmic
reduction (`dr=logarithmic_reduction`).
- New `nomodelsummary` option to the `stoch_simul` command, to suppress the
printing of the model summary and the covariance of the exogenous shocks.
- Estimation
- A truncated normal distribution can now be specified as a prior, using the
3rd and 4th parameters of the `estimated_params` block as the bounds.
- New `conditional_likelihood` option to the `estimation` command. When the
option is set, instead of using the Kalman filter to evaluate the
likelihood, Dynare will evaluate the conditional likelihood based on the
first-order reduced form of the model by assuming that the initial state
vector is at its steady state.
- New `additional_optimizer_steps` option to the `estimation` command to
trigger the sequential execution of several optimizers when looking for
the posterior mode.
- The `generate_trace_plots` command now allows comparing multiple chains.
- The Geweke and Raftery-Lewis convergence diagnostics will now also be
displayed when `mh_nblocks>1`.
- New `robust`, `TolGstep`, and `TolGstepRel` options to the optimizer
available under `mode_compute=5` (“newrat”).
- New `brooks_gelman_plotrows` option to the `estimation` command for
controlling the number of parameters to depict along the rows of the
figures depicting the Brooks and Gelman (1998) convergence diagnostics.
- New `mh_init_scale_factor` option to the `estimation` command tor govern
the overdispersion of the starting draws when initializing several Monte
Carlo Markov Chains. This option supersedes the `mh_init_scale` option,
which is now deprecated.
- Steady state computation
- Steady state computation now accounts for occasionally-binding constraints
of mixed-complementarity problems (as defined by `mcp` tags).
- New `tolx` option to the `steady` command for governing the termination
based on the step tolerance.
- New `fsolve_options` option to the `steady` command for passing options to
`fsolve` (in conjunction with the `solve_algo=0` option).
- New option `from_initval_to_endval` option to the `homotopy_setup` block,
for easily computing homotopy from initial to terminal steady state (when
the former is already computed).
- New `non_zero` option to `resid` command to restrict display to non-zero
residuals.
- Perfect foresight
- Significant performance improvement of the `stack_solve_algo=1` option to
the `perfect_foresight_solver` command (Laffargue-Boucekkine-Juillard
algorithm) when used in conjunction with options `block` and/or `bytecode`
of the `model` block.
- New `relative_to_initval` option to the `mshocks` block, to use the
initial steady state as a basis for the multiplication when there is an
`endval` block.
- New `static_mfs` option to the `model` block (and to the `model_options`
command), for controlling the minimum feedback set computation for the
static model. It defaults to `0` (corresponding to the behavior in Dynare
version 5).
- Various improvements to homotopy
- New `endval_steady` option to the `perfect_foresight_setup` command for
computing the terminal steady state at the same time as the transitory
dynamics (and new options `steady_solve_algo`, `steady_tolf`,
`steady_tolx`, `steady_maxit` and `steady_markowitz` for controlling the
steady state nonlinear solver).
- New `homotopy_linearization_fallback` and
`homotopy_marginal_linearization_fallback` options to the
`perfect_foresight_solver` command to get an approximate solution when
homotopy fails to go to 100%.
- New `homotopy_initial_step_size`, `homotopy_min_step_size`,
`homotopy_step_size_increase_success_count` and
`homotopy_max_completion_share` options to the
`perfect_foresight_solver` command to fine tune the homotopy behavior.
- Purely backward, forward and static models are now supported by the
homotopy procedure.
- The `stack_solve_algo=1` and `stack_solve_algo=6` options of the
`perfect_foresight_solver` command were merged and are now synonymous.
They both provide the Laffargue-Boucekkine-Juillard algorithm and work
with and without the `block` and `bytecode` options of the `model` block.
Using `stack_solve_algo=1` is now recommended, but `stack_solve_algo=6` is
kept for backward compatibility.
- OccBin
- New `simul_reset_check_ahead_periods` option to the `occbin_setup` and
`occbin_solver` commands, for resetting `check_ahead_periods` in each
simulation period.
- new `simul_max_check_ahead_periods`, `likelihood_max_check_ahead_periods`,
and `smoother_max_check_ahead_periods` options to the `occbin_setup`
command, for truncating the number of periods for which agents check ahead
which regime is present.
- Optimal policy
- The `osr` command now accepts the `analytic_derivation` and
`analytic_derivation_mode` options.
- The `evaluate_planner_objective` command now computes the unconditional
welfare for higher-order approximations (⩾ 3).
- New `periods` and `drop` options to the `evaluate_planner_objective`
command.
- Semi-structural models
- New `pac_target_info` block for decomposing the PAC target into an
arbitrary number of components. Furthermore, in the presence of such a
block, the new `pac_target_nonstationary` operator can be used to select
the non stationary part of the target (typically useful in the error
correction term of the PAC equation).
- New `kind` option to the `pac_model` command. This option allows the user
to select the formula used to compute the weights on the VAR companion
matrix variables that are used to form PAC expectations.
- Performance improvement to `solve_algo=12` and `solve_algo=14`, which
significantly accelerates the simulation of purely backward, forward and
static models with the `perfect_foresight_solver` command and the routines
for semi-structural models.
- dseries classes
- The `remove` and `remove_` methods now accept a list of variables (they
would previously only accept a single variable).
- New MATLAB/Octave command `dplot` to plot mathematical expressions
generated from variables fetched from (different) dseries objects.
- Misc
- New `display_parameter_values` command to print the parameter values in
the command window.
- New `collapse_figures_in_tabgroup` command to dock all figures.
- Performance improvement for the `use_dll` option of the `model` block. The
preprocessor now takes advantage of parallelization when compiling the MEX
files.
- New mathematical primitives available: complementary error function
(`erfc`), hyperbolic functions (`cosh`, `sinh`, `tanh`, `acosh`, `asinh`,
`atanh`).
- New `last_simulation_period` option to the `initval_file` command.
- The `calib_smoother` command now accepts the `nobs` and
`heteroskedastic_filter` options.
- Under the MATLAB Desktop, autocompletion is now available for the `dynare`
command and other CLI commands (thanks to Eduard Benet Cerda from
MathWorks).
- Model debugging: The preprocessor now creates files for evaluating the
left- and right-hand sides of model equations separately. For a model file
called `ramst.mod`, you can call
`[lhs,rhs]=ramst.debug.static_resid(y,x,params);` (for the static model)
and `[lhs,rhs]=ramst.debug.dynamic_resid(y,x,params,steady_state);` (for
the dynamic model), where `y` are the endogenous, `x` the exogenous,
`params` the parameters, and `steady_state` is self-explanatory. NB: In
the dynamic case, the vector `y` of endogenous must have 3n elements
where n is the number of endogenous (including auxiliary ones); the
first n elements correspond to the lagged values, the middle n
elements to the contemporaneous values, and the last n elements to the
lead values.
- New interactive MATLAB/Octave command `search` for listing the equations
in which given variable(s) appear (requires `json` command line option).
- The `model_info` command allows to print the block decomposition even if
the `block` option of the `model` block has not been used, by specifying
the new options `block_static` and `block_dynamic`.
- There is now a default value for the global initialization file
(`GlobalInitFile` option of the configuration file): the `global_init.m`
in the Dynare configuration directory (typically
`$HOME/.config/dynare/global_init.m` under Linux and macOS, and
`c:\Users\USERNAME\AppData\Roaming\dynare\global_init.m` under Windows).
- For those compiling Dynare from source, the build system has been entirely
rewritten and now uses Meson; as a consequence, it is now faster and
easier to understand.
- References:
- Andreasen, Martin M., Jesús Fernández-Villaverde, and Juan Rubio-Ramírez
(2018): “The Pruned State-Space System for Non-Linear DSGE Models: Theory
and Empirical Applications,” *Review of Economic Studies*, 85(1), 1-49.
- Brooks, Stephen P., and Andrew Gelman (1998): “General methods for
monitoring convergence of iterative simulations,” *Journal of Computational
and Graphical Statistics*, 7, pp. 434–455.
- Christiano, Eichenbaum and Charles L. Evans (2005): “Nominal Rigidities and
the Dynamic Effects of a Shock to Monetary Policy,” *Journal of Political
Economy*, 113(1), 1–45.
- Christiano, Lawrence J., Mathias Trabandt, and Karl Walentin (2010): “DSGE
Models for Monetary Policy Analysis,” In: *Handbook of Monetary Economics
3*, 285–367.
- Herbst, Edward and Schorfheide, Frank (2014): "Sequential Monte Carlo
Sampling for DSGE Models," *Journal of Applied Econometrics*, 29,
1073-1098.
Incompatible changes
--------------------
- The default value of the `mode_compute` option of the `estimation` command
has been changed to `5` (it was previously `4`).
- When using block decomposition (with the `block` option of the `model`
block), the option `mfs` now defaults to `1`. This setting should deliver
better performance in perfect foresight simulation on most models.
- The default location for the configuration file has changed. On Linux and
macOS, the configuration file is now searched by default under
`dynare/dynare.ini` in the configuration directories defined by the XDG
specification (typically `$HOME/.config/dynare/dynare.ini` for the
user-specific configuration and `/etc/xdg/dynare/dynare.ini` for the
system-wide configuration, the former having precedence over the latter).
Under Windows, the configuration file is now searched by default in
`%APPDATA%\dynare\dynare.ini` (typically
`c:\Users\USERNAME\AppData\Roaming\dynare\dynare.ini`).
- The information stored in `oo_.endo_simul, oo_.exo_simul`, and `oo_.irfs` is
no longer duplicated in the base workspace. New helper functions
`send_endogenous_variables_to_workspace`,
`send_exogenous_variables_to_workspace`, and `send_irfs_to_workspace` have
been introduced to explicitly request these outputs and to mimic the old
behavior.
- The `dynare_sensitivity` command has been renamed `sensitivity`. The old
name is still accepted but triggers a warning.
- The syntax `resid(1)` is no longer supported.
- The `mode_compute=6` option to the `estimation` command now recursively
updates the covariance matrix across the `NumberOfMh` Metropolis-Hastings
runs, starting with the `InitialCovarianceMatrix` in the first run, instead
of computing it from scratch in every Metropolis-Hastings run.
- The `periods` command has been removed.
- The `Sigma_e` command has been removed.
- The `block` option of the `model` block no longer has an effect when used in
conjunction with `stoch_simul` or `estimation` commands.
- The Dynare++ executable is no longer distributed since almost all of its
functionalities have been integrated inside Dynare for MATLAB/Octave.
- A macro-processor variable defined without a value (such as `@#define var`
in the `.mod` file or alternatively `-Dvar` on the `dynare` command line) is
now assigned the `true` logical value (it was previously assigned `1`).
- The `parallel_slave_open_mode` option of the `dynare` command has been
renamed `parallel_follower_open_mode`.
- The `static` option of the `model_info` command is now deprecated and is
replaced by the `block_static` option.
Bugs that were present in 5.5 and that have been fixed in 6.0
-------------------------------------------------------------
* The `mh_initialize_from_previous_mcmc` option of the `estimation` command
would not work if estimation was conducted with a different prior and the
last draw in the previous MCMC fell outside the new prior bounds
* When specifying a generalized inverse Gamma prior, the hyperparameter
computation would erroneously ignore the resulting mean shift
* When using the `mh_recover` option of the `estimation` command, the status
bar always started at zero instead of showing the overall progress of the
recovered chain
* The `model_diagnostics` command would fail to check the correctness of
user-defined steady state files
* GSA: LaTeX output was not working as expected
* Forecasts and filtered variables could not be retrieved with the
`heteroskedastic_shocks` block
* The OccBin smoother would potentially not display all smoothed shocks with
`heteroskedastic_filter` option
* The OccBin smoother would crash if the number of requested periods was
smaller than the data length
* The multivariate OccBin smoother would return wrong results if the constraint
was binding in the first period
* The `plot_shock_decomposition` command would fail with the `init2shocks`
block if the `initial_condition_decomposition` was not run before
* LaTeX output under Windows failed to compile for `plot_priors=1` option of
the `estimation` command and Brooks and Gelman (1998) convergence diagnostics
* The plot produced by the `shock_decomposition` command was too big, making
the close button inaccessible
* Monthly dates for October, November and December (*i.e.* with a 2-digit month
number) were not properly interpreted by the preprocessor
* Theoretical moments computed by `stoch_simul` at `order=2` with `pruning`
would not contain unconditional and conditional variance decomposition
Announcement for Dynare 5.5 (on 2023-10-23)
===========================================
We are pleased to announce the release of Dynare 5.5.
This maintenance release fixes various bugs.
The Windows, macOS and source packages are already available for download at
[the Dynare website](https://www.dynare.org/download/).
All users are strongly encouraged to upgrade.
This release is compatible with MATLAB versions ranging from 8.3 (R2014a) to
23.2 (R2023b), and with GNU Octave version 8.3.0 (under Windows).
Note for macOS users with an Apple Silicon processor: this is the first Dynare
release that comes with native Apple Silicon (arm64) support under MATLAB.
Please download the corresponding package, to be used with MATLAB R2023b for
Apple Silicon.
Here is a list of the problems identified in version 5.4 and that have been
fixed in version 5.5:
* In a stochastic context, results could be incorrect if an endogenous with a
lead ⩾ 2 or an exogenous with a lead ⩾ 1 appeared in the argument(s) of a
call to a (nonlinear) external function
* With the `use_dll` option of the `model` block, the expression `sign(x)`
would evaluate to ±1 instead of 0 if `x=0`
* If the guess value given to the `steady` command was such that the residuals
were all below tolerance, except some that are `NaN`, then this guess value
was incorrectly accepted as the solution to the steady state problem
* The `method_of_moments` command with GMM was ignoring the
`analytic_standard_errors` option when using `mode_compute=4`
* Homotopy with the `extended_path` command at `order=0` was broken
* The `parallel_use_psexec` command-line option was ignored
* With the `bytecode` option of the `model` block, using the operators `abs()`,
`cbrt()` and `sign()` would lead to a crash
* The `fast` command-line option was broken under MATLAB with Windows
* Ramsey steady state computation could fail if an `expectation` or `diff`
operator was present in the model
* A crash could occur if some external function call was present in an
auxiliary variable
* The `endogenous_prior` option of the `estimation` command could erroneously
display a warning message about missing observations
* The `model_comparison` command would crash if the `.mod` file name had less
than four characters
* The `shock_decomposition` command would overwrite previously stored smoother
results
* The `x13` interface in dseries did not handle missing values, particularly at
the beginning of a series
* The `x13` interface in dseries would occasionally crash under Windows with
segmentation violations
* OccBin: estimation would crash if a previous `shocks(surprise)` simulation
was conducted
* The `internals` command would not find the location of the `_results.mat`
file
* The `prior optimize` command would not work with `mode_compute=5`
Announcement for Dynare 5.4 (on 2023-03-22)
===========================================
We are pleased to announce the release of Dynare 5.4.
This maintenance release fixes various bugs.
The Windows, macOS and source packages are already available for download at
[the Dynare website](https://www.dynare.org/download/).
All users are strongly encouraged to upgrade.
This release is compatible with MATLAB versions ranging from 8.3 (R2014a) to
9.14 (R2023a), and with GNU Octave version 8.1.0 (under Windows).
Note for macOS users with an Apple Silicon processor, and who are also MATLAB
users: the official MATLAB version for use on those processors is still the
Intel version (running through Rosetta 2), so the official Dynare package for
download on our website is built for Intel only. However, since Mathworks has
released a beta version of MATLAB for Apple Silicon, we created a beta package
of Dynare that you can try with it. See this forum thread for more details:
https://forum.dynare.org/t/testers-wanted-release-of-dynare-5-x-beta-for-apple-silicon-m1-m2-chips/20499
Here is a list of the problems identified in version 5.3 and that have been
fixed in version 5.4:
* Files installed through the Windows installer had too weak permissions and
could be modified by unpriviledged local users, if the default installation
location (`c:\dynare\`) had been chosen
* Estimation:
+ the `load_results_after_load_mh` option would not find the location of the
results file
+ the computation of prior/posterior statistics would crash if the value of
the `filter step_ahead` option was greater than 1 without requesting a
`forecast` or the `smoother`
+ NaN or complex parameters returned by steady state files were not correctly
handled
+ `analytical_derivation` could be triggered with `endogenous_prior` but
would not take the endogenous prior into account for the Jacobian and
Hessian
* OccBin:
+ running the `calib_smoother` command with `smoother_inversion_filter` would
crash unless `likelihood_inversion_filter` was also specified
+ running the piecewise Kalman smoother would crash if an error was
encountered during computation of the decision rules
* PAC equation estimation through iterative OLS would crash if the auxiliary
model contained a constant
* The variable label was incorrect for leads and lags of exogenous variables in
the display of decision rules and in the `model_info` command
* Declaring a `trend_var` variable while not having a `var(deflator=...)`
statement would cause the preprocessor to crash
* Macro processor: error messages following a `@#define`, `@#include` or
`@#includepath` directive could in some cases point to a line number off by 1
* Perfect foresight simulations: the `debug` option would not preserve
sparsity, causing out of memory errors
Announcement for Dynare 5.3 (on 2022-11-21)
===========================================
We are pleased to announce the release of Dynare 5.3.
This maintenance release fixes various bugs.
The Windows, macOS and source packages are already available for download at
[the Dynare website](https://www.dynare.org/download/).
All users are strongly encouraged to upgrade.
This release is compatible with MATLAB versions ranging from 8.3 (R2014a) to
9.13 (R2022b), and with GNU Octave version 7.3.0 (under Windows).
Note for macOS users with an Apple Silicon processor, and who are also MATLAB
users: the official MATLAB version for use on those processors is still the
Intel version (running through Rosetta 2), so the official Dynare package for
download on our website is built for Intel only. However, since Mathworks has
released a beta version of MATLAB for Apple Silicon, we created a beta package
of Dynare that you can try with it. See this forum thread for more details:
https://forum.dynare.org/t/testers-wanted-release-of-dynare-5-x-beta-for-apple-silicon-m1-m2-chips/20499
Here is a list of the problems identified in version 5.2 and that have been
fixed in version 5.3:
* The `notmpterms` option of the `dynare` command would trigger a crash if the
`block` option of the `model` block was used
* When the `use_dll` option was passed to the `model` block, the operator `abs`
in the `model` block incorrectly returned only the integer part of the
absolute value
* Problems with OccBin (`estimation` and `occbin_solver`):
+ the piecewise linear Kalman filter (PKF) could crash if the model solution
could not be computed for a parameter draw
+ the piecewise linear Kalman filter (PKF) could crash mode finding if an
error was encountered
+ the piecewise linear Kalman filter (PKF) would crash in the one-constraint
case if the fixed point algorithm did not converge
+ the smoother could crash due to the initial states being empty and when
encountering errors
+ the smoother fields of `oo_` contained wrong results if the piecewise
linear Kalman smoother did not converge
+ in pathological cases, seemingly periodic solutions were incorrectly
accepted as true solutions
* Problems related to Bayesian or ML estimation:
+ `mh_recover` and `load_mh_file` would not find the saved proposal density
and had to rely on the `_mode` file
+ When requesting `bayesian_irf` together with `loglinear`, the resulting
IRFs would be incorrect
+ the diffuse Kalman smoother initialization (`lik_init=3`) was wrong when
the state transition matrix contained a column of zeros
+ the diffuse Kalman smoother initialization (`lik_init=3`) was wrong when
the shock covariance matrix was not diagonal
* Problems with perfect foresight simulations
(`perfect_foresight_solver` command):
+ when solving purely forward or backward models with the PATH solver
(`solve_algo=10`), specified `mcp` tags were ignored
+ the `linear_approximation` option would ignore the `nocheck` option for not
checking the correctness of the steady state
+ in the presence of a steady state file or a `steady_state_model` block, the
contents of the last `initval` or `endval` block would be ignored and
replaced by a steady state
* The `identification` and `dynare_sensitivity` commands would not pass a
`graph_format` option to other subsequent commands
* Problems with sensitivity analysis (`dynare_sensitivity` command)
+ stability mapping incorrectly imposed a parameter limit of 52
+ prior sampling did not work with when a user specified `prior_trunc=0`
* `dynare++`: the `dynare_simul.m` would not run
* The `model_diagnostics` command would not work with `block_trust_region`
algorithms (`solve_algo=13,14`)
Announcement for Dynare 5.2 (on 2022-07-27)
===========================================
We are pleased to announce the release of Dynare 5.2.
This maintenance release fixes various bugs.
The Windows, macOS and source packages are already available for download at
[the Dynare website](https://www.dynare.org/download/).
All users are strongly encouraged to upgrade.
This release is compatible with MATLAB versions ranging from 8.3 (R2014a) to
9.12 (R2022a), and with GNU Octave version 6.4.0 (under Windows).
Note for macOS users with an Apple Silicon processor, and who are also MATLAB
users: the official MATLAB version for use on those processors is still the
Intel version (running through Rosetta 2), so the official Dynare package for
download on our website is built for Intel only. However, since Mathworks has
released a beta version of MATLAB for Apple Silicon, we created a beta package
of Dynare that you can try with it. See this forum thread for more details:
https://forum.dynare.org/t/testers-wanted-release-of-dynare-5-x-beta-for-apple-silicon-m1-m2-chips/20499
Here is a list of the problems identified in version 5.1 and that have been
fixed in version 5.2:
* Problems with the `steady_state` operator:
+ if a `steady_state` operator contained an algebraic expression appearing
multiple times in the model and sufficiently complex to trigger the
creation of a temporary term, then the result of the operator would be
wrong (the operator was essentially ignored)
+ if a `steady_state` operator contained a call to an external function, then
the result of the operator would be wrong (the operator was essentially
ignored). A proper fix to this problem would require substantial
architectural changes, so for now it is forbidden to use an external
function inside a `steady_state` operator
* Pruning in particle filtering at order 2 was not using the exact same formula
as the original Kim et al. (2008) paper. A second-order term entered the
cross-product between states and shocks, where it should have been a
first-order term. This however would not lead to explosive trajectories in
practice
* The `simul_replic` option of the `stoch_simul` command would not store the
binary file in the `Output` folder
* Problems with Ramsey policy (`ramsey_model`/`ramsey_policy` commands):
+ steady state files would not work when auxiliary variables included
Lagrange multipliers
+ for linear competitive equilibrium laws of motion, welfare evaluated at
higher order was erroneously equated to steady state welfare
* The `discretionary_policy` command would not always correctly infer the
number of instruments and equations, leading to spurious error messages
* Perfect foresight simulations of purely forward or backward models would
crash if complex numbers were encountered
* When using both `block` and `bytecode` options of the `model` block, if the
model was such that a sufficiently complex algebraic expression appeared both
in the residuals and in the derivatives, leading to the creation of a
temporary term, then the results could be incorrect under some circumstances
* When using the `bytecode` option of the `model` block, leads of more than
+127 or lags of less than -128 were not correctly handled
* Problems with the solver under occasionally binding constraints
(`occbin_solver` command):
+ when solving the baseline regime, it would not properly handle errors like
Blanchard-Kahn violations
+ the piecewise linear Kalman filter (PKF) would crash if the model solution
could not be computed for a parameter draw
+ the `oo_.FilteredVariablesKStepAhead` and `oo_.UpdatedVariables`
MATLAB/Octave variables would contain the steady state twice
+ the inversion filter would crash if the `filter_step_ahead` or
`state_uncertainty` options were requested
+ the PKF would crash if `filter_step_ahead=1` was specified
+ the PKF would crash if the `state_uncertainty` option was specified
together with the `smoother_redux` option
+ the last regime before the system is back to normal times in the
two-constraints case could be wrongly set, possibly leading to wrong
simulations, lack of convergence or crashes
* Problems with identification (`identification` command):
+ with `prior_mc>1` specified, it would incorrectly display the share of rank
deficient Jacobians
+ it would crash during plotting or displaying identification strength when
the necessary identification criteria based on moments could not be
computed
* The `plot_shock_decomposition` command would crash if invalid field names
were encountered
* The `shock_decomposition` command would not pass specified initial dates to
generated plots
* Various pathological cases encountered in steady state finding could lead to
a crash
* The `solve_algo=0` option of the `steady` command would not honor `tolx`
* In the `dynare_sensitivity` command, stability mapping would not correctly
honor the prior bounds
Announcement for Dynare 5.1 (on 2022-04-06)
===========================================
We are pleased to announce the release of Dynare 5.1.
This maintenance release fixes various bugs.
The Windows, macOS and source packages are already available for download at
[the Dynare website](https://www.dynare.org/download/).
All users are strongly encouraged to upgrade.
This release is compatible with MATLAB versions ranging from 8.3 (R2014a) to
9.12 (R2022a), and with GNU Octave version 6.4.0 (under Windows).
Here is a list of the problems identified in version 5.0 and that have been
fixed in version 5.1:
* Various problems with perfect foresight simulations in combination with
`block` and/or `bytecode` options of the `model` block:
+ Simulation with `bytecode` and `stack_solve_algo=4` could give incorrect
results if the model has a linear block of type “Solve two boundaries
simple/complete”
+ Simulation with `bytecode` and `stack_solve_algo=1` could fail to converge
+ Simulation with `block` (but without `bytecode`) and `stack_solve_algo=1`
gave wrong results in the last simulation period if the model has a block
of type “Solve two boundaries simple/complete”
+ Simulation with `bytecode` and `block` would give incorrect results if the
model has a linear block of type “Solve forward simple/complete”
+ Simulation with `block` (but without `bytecode`) would crash or give
incorrect results if the model has a block of type “Solve forward/backward
simple/complete”
+ Simulation with `bytecode`, `block` and `stack_solve_algo={0,1,4}` would
crash or give incorrect results if the model has a block of type “Solve
forward/backward complete”
+ Simulation with `block` (but without `bytecode`) gave incorrect results if
the model has a block of type “Solve backward simple/complete”
+ Simulation with `block` (with or without `bytecode`) could give incorrect
results if the model has a nonlinear block of type “Solve forward/backward
simple/complete”
+ Simulation with `bytecode`, `block` and `stack_solve_algo=4` could give
incorrect results if the model has a block of type “Solve backward/forward
simple/complete” that follows a block of type “Solve two boundaries” (in
the sense of the dependency graph)
+ The convergence criterion in simulations with `block` (but without
`bytecode`) was incorrect: the value of the `tolf` option from the `steady`
command was used instead of the value of `tolf` option from the
`perfect_foresight_solver` command
* Various problems with steady state computation in combination with `block`
and/or `bytecode` options of the `model` block:
+ Steady state computation with `bytecode` and `block` could fail if some
equations are marked `[static]`
+ Steady state computation with `bytecode`, `block` and `solve_algo` ⩽ 4 or ⩾
9 could fail
+ Steady state computation with `bytecode`, `block` and `solve_algo=6` would
crash or give incorrect results if the model has a block of type “Solve
forward/backward complete”
* The `check` command would crash or give incorrect results when using the
`block` option of the `model` block and if the model has a block of type
“Solve backward complete”
* The `static` and `incidence` options of the `model_info` command did not work
as documented in the reference manual
* Various problems with the `method_of_moments` command:
+ It would crash if no `matched_moments` block is present
+ It would always load the full range of the first Excel sheet instead of the
`xls_range` of the specified `xls_sheet`
+ SMM would crash if a parameter draw triggers an error during
`additional_optimizer_steps = 13`
+ The `debug` option could not be passed to the command
* In the `estimation` command, the `scale_file` field of the
`posterior_sampler_options` option did not correctly load the scale
* The `moments_varendo` option of the `estimation` command could crash for
large models
* The `resid` command would not show `name` tags when used in conjunction with
the `ramsey_model` command
* Simulations with the `occbin_solver` command would not work if there is only
a surprise shock in the first period
* The Liu & West auxiliary particle filter could enter infinite loops
Announcement for Dynare 5.0 (on 2022-01-07)
===========================================
We are pleased to announce the release of Dynare 5.0.
This major release adds new features and fixes various bugs.
The Windows, macOS and source packages are already available for download at
[the Dynare website](https://www.dynare.org/download/).
All users are strongly encouraged to upgrade.
This release is compatible with MATLAB versions ranging from 8.3 (R2014a) to
9.11 (R2021b), and with GNU Octave version 6.4.0 (under Windows).
The new tools for semi-structural models and the improvements on the nonlinear
solvers were funded by the European Central Bank. Special thanks to Nikola
Bokan (ECB) for his contributions and numerous bug reports and fixes.
Major user-visible changes
--------------------------
- New routines for simulating semi-structural (backward) models where
some equations incorporate expectations based on future values of a VAR or
trend component model. See the `var_model`, `trend_component_model` and
`var_expectation_model` commands, and the `var_expectation` operator.
- New routines for simulating semi-structural models where some equations are
specified using the polynomial adjustment costs (PAC) approach, as in the
FRB/US model (see Brayton et al., 2014 and Brayton et al., 2000) and the
ECB-BASE model (see Angelini et al., 2019). The forward-looking terms of the
PAC equations can be computed either using a satellite VAR model, or using
full model-consistent expectations. See the `pac_model` command and the
`pac_expectation` operator.
- New Method of Moments toolbox that provides functionality to estimate
parameters by (i) Generalized Method of Moments (GMM) up to 3rd-order pruned
perturbation approximation or (ii) Simulated Method of Moments (SMM) up to
any perturbation approximation order. The toolbox is inspired by replication
codes accompanying Andreasen et al. (2018), Born and Pfeifer (2014), and
Mutschler (2018). It is accessible via the new `method_of_moments` command
and the new `matched_moments` block. Moreover, by default, a new non-linear
least squares optimizer based on `lsqnonlin` is used for minimizing the
method of moments objective function (available under `mode_compute=13`).
GMM can further benefit from using gradient-based optimizers (using
`analytic_standard_errors` option and/or passing `'Jacobian','on'` to the
optimization options) as the Jacobian of the moment conditions can be
computed analytically.
- Implementation of the Occbin algorithm by Guerrieri and Iacoviello (2015),
together with the inversion filter of Cuba-Borda, Guerrieri, Iacoviello, and
Zhong (2019) and the piecewise Kalman filter of Giovannini, Pfeiffer, and
Ratto (2021). It is available via the new block `occbin_constraints` and the
new commands `occbin_setup`, `occbin_solver`, `occbin_graph`, and
`occbin_write_regimes`.
- Stochastic simulations
- `stoch_simul` now supports theoretical moments at `order=3` with
`pruning`.
- `stoch_simul` now reports second moments based on the pruned state space
if the `pruning` option is set (in previous Dynare releases it would
report a second-order accurate result based on the linear solution).
- Estimation
- Performance optimization to pruned state space systems and Lyapunov
solvers.
- New option `mh_posterior_mode_estimation` to `estimation` to perform
mode-finding by running the MCMC.
- New heteroskedastic filter and smoother, where shock standard errors may
*unexpectedly* change in every period. Triggered by the
`heteroskedastic_filter` option of the `estimation` command, and
configured via the `heteroskedastic_shocks` block.
- New option `mh_tune_guess` for setting the initial value for
`mh_tune_jscale`.
- New option `smoother_redux` to `estimation` and `calib_smoother` to
trigger computing the Kalman smoother on a restricted state space instead
of the full one.
- New block `filter_initial_state` for setting the initial condition of the
Kalman filter/smoother.
- New option `mh_initialize_from_previous_mcmc` to the `estimation` command
that allows to pick initial values for a new MCMC from a previous one.
- The `xls_sheet` option of the `estimation` command now takes a quoted
string as value. The former unquoted syntax is still accepted, but no
longer recommended.
- New option `particle_filter_options` to set various particle filter options.
- Perfect foresight and extended path
- New specialized algorithm in `perfect_foresight_solver` to deal with
purely static problems.
- The `debug` option of `perfect_foresight_solver` provides debugging
information if the Jacobian is singular.
- In deterministic models (perfect foresight or extended path), exogenous
variables with lead/lags are now replaced by auxiliary variables. This
brings those models in line with the transformation done on stochastic
models. However, note that the transformation is still not exactly the same
between the two classes of models, because there is no need to take into
account the Jensen inequality for the latter. In deterministic models,
there is a one-to-one mapping between exogenous with lead/lags and
auxiliaries, while in stochastic models, an auxiliary endogenous may
correspond to a more complex nonlinear expression.
- Optimal policy
- Several improvements to `evaluate_planner_objective`:
- it now applies a consistent approximation order when doing the
computation;
- in addition to the conditional welfare, it now also provides the
unconditional welfare;
- in a stochastic context, it now works with higher order approximation
(only the conditional welfare is available for order ⩾ 3);
- it now also works in a perfect foresight context.
- `discretionary_policy` is now able to solve nonlinear models (it will
then use their first-order approximation, and the analytical steady state
must be provided).
- Identification
- New option `schur_vec_tol` to the `identification` command, for setting
the tolerance level used to find nonstationary variables in the Schur
decomposition of the transition matrix.
- The `identification` command now supports optimal policy.
- Shock decomposition
- The `fast_realtime` option of the `realtime_shock_decomposition` command
now accepts a vector of integers, which runs the smoother for all the
specified data vintages.
- Macro processor
- Macroprocessor variables can be defined without a value (they are
assigned integer 1).
- LaTeX and JSON outputs
- New `nocommutativity` option to the `dynare` command. This option tells
the preprocessor not to use the commutativity of addition and
multiplication when looking for common subexpressions. As a consequence,
when using this option, equations in various outputs (LaTeX, JSON…) will
appear as the user entered them (without terms or factors swapped). Note
that using this option may have a performance impact on the preprocessing
stage, though it is likely to be small.
- Model-local variables are now substituted out as part of the various
model transformations. This means that they will no longer appear in
LaTeX or in JSON files (for the latter, they are still visible with
`json=parse` or `json=check`).
- Compilation of the model (`use_dll` option)
- Block decomposition (option `block` of `model`) can now be used in
conjunction with the `use_dll` option.
- The `use_dll` option can now directly be given to the `dynare` command.
- dseries classes
- Routines for converting between time series frequencies (e.g. daily to
monthly) have been added.
- dseries now supports bi-annual and daily frequency data.
- dseries can now import data from [DBnomics](https://db.nomics.world), via
the [mdbnomics](https://git.dynare.org/dbnomics/mdbnomics) plugin. Note
that this does not yet work under Octave. For the time being, the
DBnomics plugin must be installed separately.
- Misc improvements
- The `histval_file` and `initval_file` commands have been made more
flexible and now have functionalities similar to the `datafile` option of
the `estimation` command.
- When using the `loglinear` option, the output from Dynare now clearly
shows that the results reported concern the log of the original variable.
- Options `block` and `bytecode` of `model` can now be used in conjunction
with model-local variables (variables declared with a pound-sign `#`).
- The `model_info` command now prints the typology of endogenous variables
for non-block decomposed models.
- The total computing time of a run (in seconds) is now saved to `oo_.time`.
- New `notime` option to the `dynare` command, to disable the printing and
the saving of the total computing time.
- New `parallel_use_psexec` command-line Windows-specific option for
parallel local clusters: when `true` (the default), use `psexec` to spawn
processes; when `false`, use `start`.
- When compiling from source, it is no longer necessary to pass the
`MATLAB_VERSION` version to the configure script; the version is now
automatically detected.
Incompatible changes
--------------------
- Dynare will now generally save its output in the `MODFILENAME/Output` folder
(or the `DIRNAME/Output` folder if the `dirname` option was specified)
instead of the main directory. Most importantly, this concerns the
`_results.mat` and the `_mode.mat` files.
- The structure of the `oo_.planner_objective` field has been changed, in
relation to the improvements to `evaluate_planner_objective`.
- The preprocessor binary has been renamed to `dynare-preprocessor`, and is
now located in a dedicated `preprocessor` subdirectory.
- The `dynare` command no longer accepts `output=dynamic` and `output=first`
(these options actually had no effect).
- The minimal required MATLAB version is now R2014a (8.3).
- The 32-bit support has been dropped for Windows.
Bugs that were present in 4.6.4 and that have been fixed in 5.0
---------------------------------------------------------------
* Equations marked with `static`-tags were not detrended when a `deflator` was
specified
* Parallel execution of `dsge_var` estimation was broken
* The preprocessor would incorrectly simplify forward-looking constant
equations of the form `x(+1)=0` to imply `x=0`
* Under some circumstances, the use of the `model_local_variable` statement
would lead to a crash of the preprocessor
* When using the `block`-option without `bytecode` the residuals of the static
model were incorrectly displayed
* When using `k_order_solver`, the `simult_` function ignored requested
approximation orders that differed from the one used to compute the decision
rules
* Stochastic simulations of the `k_order_solver` without `pruning` iterated on
the policy function with a zero shock vector for the first (non-endogenous)
period
* `estimation` would ignore the mean of non-zero observables if the mean was 0
for the initial parameter vector
* `mode_check` would crash if a parameter was estimated to be exactly 0
* `load_mh_file` would not be able to load the proposal density if the previous run
was done in parallel
* `load_mh_file` would not work with MCMC runs from Dynare versions before
4.6.2
* `ramsey_model` would not correctly work with `lmmcp`
* `ramsey_model` would crash if a non-scalar error code was encountered during
steady state finding.
* Using undefined objects in the `planner_objective` function would yield an
erroneous error message about the objective containing exogenous variables
* `model_diagnostics` did not correctly handle a previous `loglinear` option
* `solve_algo=3` (csolve) would ignore user-set `maxit` and `tolf` options
* The `planner_objective` values were not based on the correct initialization
of auxiliary variables (if any were present)
* The `nostrict` command line option was not ignoring unused endogenous
variables in `initval`, `endval`, and `histval`
* `prior_posterior_statistics_core` could crash for models with eigenvalues
very close to 1
* The display of the equation numbers in `debug` mode related to issues in the
Jacobian would not correctly take auxiliary equations into account
* The `resid` command was not correctly taking auxiliary and missing equations
related to optimal policy (`ramsey_model`, `discretionary_policy`) into
account
* `bytecode` would lock the `dynamic.bin` file upon encountering an exception,
requiring a restart of MATLAB to be able to rerun the file
* Estimation with the `block` model option would crash when calling the block
Kalman filter
* The `block` model option would crash if no `initval` statement was present
* Having a variable with the same name as the mod-file present in the base
workspace would result in a crash
* `oo_.FilteredVariablesKStepAheadVariances` was wrongly computed in the Kalman
smoother based on the previous period forecast error variance
* Forecasts after `estimation` would not work if there were lagged exogenous
variables present
* Forecasts after `estimation` with MC would crash if measurement errors were
present
* Smoother results would be infinity for auxiliary variables associated with
lagged exogenous variables
* In rare cases, the posterior Kalman smoother could crash due to previously
accepted draws violating the Blanchard-Kahn conditions when using an
unrestricted state space
* `perfect_foresight_solver` would crash for purely static problems
* Monte Carlo sampling in `identification` would crash if the minimal state
space for the Komunjer and Ng test could not be computed
* Monte Carlo sampling in `identification` would skip the computation of
identification statistics for all subsequent parameter draws if an error was
triggered by one draw
* The `--steps`-option of Dynare++ was broken
* `smoother2histval` would crash if variable names were too similar
* `smoother2histval` was not keeping track of whether previously stored results
were generated with `loglinear`
* The `initval_file` option was not supporting Dynare’s translation of a model
into a one lead/lag-model via auxiliary variables
References
----------
- Andreasen et al. (2018): “The pruned state-space system for non-linear DSGE
models: Theory and empirical applications,” Review of Economic Studies,
85(1), 1–49
- Angelini, Bokan, Christoffel, Ciccarelli and Zimic (2019): “Introducing
ECB-BASE: The blueprint the new ECB semi-structural model for the euro area,”
ECB Working Paper no. 2315
- Born and Pfeifer (2014): “Policy risk and the business cycle,” Journal of
Monetary Economics, 68, 68–85
- Brayton, Davis and Tulip (2000): “Polynomial adjustment costs in FRB/US,”
Unpublished manuscript
- Brayton, Laubach, and Reifschneider (2014): “The FRB/US Model: A tool for
macroeconomic policy analysis,” FEDS Notes. Washington: Board of Governors
of the Federal Reserve System, https://doi.org/10.17016/2380-7172.0012
- Cuba-Borda, Guerrieri, Iacoviello, and Zhong (2019): “Likelihood evaluation
of models with occasionally binding constraints,” Journal of Applied
Econometrics, 34(7), 1073–1085
- Giovannini, Pfeiffer, and Ratto (2021): “Efficient and robust inference of
models with occasionally binding constraints,” Working Paper 2021-03, Joint
Research Centre, European Commission
- Guerrieri and Iacoviello (2015): “OccBin: A toolkit for solving dynamic
models with occasionally binding constraints easily,” Journal of Monetary
Economics, 70, 22–38
- Mutschler (2018): “Higher-order statistics for DSGE models,” Econometrics
and Statistics, 6(C), 44–56
Announcement for Dynare 4.6.4 (on 2021-03-18)
=============================================
We are pleased to announce the release of Dynare 4.6.4.
This maintenance release fixes various bugs.
The Windows, macOS and source packages are already available for download at
[the Dynare website](https://www.dynare.org/download/).
All users are strongly encouraged to upgrade.
This release is compatible with MATLAB versions ranging from 7.9 (R2009b) to
9.10 (R2021a), and with GNU Octave version 6.2.0 (under Windows).
Here is a list of the problems identified in version 4.6.3 and that have been
fixed in version 4.6.4:
* Passing multiple shock values through a MATLAB/Octave vector in a `mshocks`
block would not work
* The `mode_compute=12` option was broken
* The `use_mh_covariance_matrix` option was ignored
* The `load_mh_file` option together with `mh_replic=0` would not allow
computing `moments_varendo` for a different list of variables
* The `forecast` option was ignored when using `mode_compute=0` without a
mode-file to execute the smoother
* The `discretionary_policy` command would crash in the presence of news shocks
* The `ramsey_constraints` block would crash if the constraints contained
defined `parameters`
* Identification would display a wrong error message if a unit root was present
and `diffuse_filter` had been set
* Particle filter estimation would crash if the initial state covariance became
singular for a draw
* Particle filter estimation would crash if `k_order_solver` option was
specified with `options_.particle.pruning`
* The initial state covariance in particle filter estimation could be `NaN`
when using `nonlinear_filter_initialization=2` despite
`options_.particles.pruning=1`
* Output of `smoother` results when using particle filters would be based on
`order=1`
* Output of `moments_varendo` results when using particle filters would be
based on `order=1`
* When decreasing the `order` in `.mod` files, `oo_.dr` could contain stale
results from higher orders
* Estimation results using the particle filter at `order=3` would be incorrect
if the restricted state space differed from the unrestricted one
* The `mode_compute=102` option (SOLVEOPT) could return with `Inf` instead of
the last feasible value
* Using `analytic_derivation` for Bayesian estimation would result in wrong
results when the multivariate Kalman filter entered the steady state stage
* Using `analytic_derivation` for maximum likelihood estimation would result in
a crash
* When using the Bayesian smoother with `filtered_vars`, the field for
`Filtered_Variables_X_step_ahead` used the length of vector instead of the
actual steps in `filter_step_ahead`
* `mode_compute=1,3` crashed when `analytic_derivation` was specified
* `mode_compute=1,3,102` did only allow for post-MATLAB 2016a option names
* The `cova_compute=0` option was not working with user-defined
`MCMC_jumping_covariance`
* The `mode_compute=1` option was not working with `analytic_derivation`
* Not all commands were honouring the `M_.dname` folder when saving
* LaTeX output of the simulated variance decomposition for observables with
measurement error could have a wrong variable label
Announcement for Dynare 4.6.3 (on 2020-11-23)
=============================================
We are pleased to announce the release of Dynare 4.6.3.
This maintenance release fixes various bugs.
The Windows, macOS and source packages are already available for download at
[the Dynare website](https://www.dynare.org/download/).
All users are strongly encouraged to upgrade.
This release is compatible with MATLAB versions ranging from 7.9 (R2009b) to
9.9 (R2020b), and with GNU Octave versions 5.2.0 (under Windows) and 4.4.1
(under macOS).
Here is a list of the problems identified in version 4.6.2 and that have been
fixed in version 4.6.3:
* Using an unknown symbol in `irf_shocks` option of `stoch_simul` would lead to
a crash of the preprocessor
* `identification` would crash for purely forward-looking models
* The `endogenous_prior` option did not properly handle missing observations
* The auxiliary particle filter with pruning and resampling would crash
* Initialization of the state variance for particle filters was buggy
* An `@#else` clause after an `@#ifndef` was not correctly interpreted
* An `@#elseif` clause after an `@#ifdef` or an `@#ifndef` was not correctly
interpreted
* Perfect foresight simulations of models with a single equation would crash
when using either the `lmmcp` option or the `linear_approximation`
* Inequality constraints on endogenous variables (when using the `lmmcp`
option) were not enforced on purely backward or purely forward models
* Perfect foresight simulations with `bytecode` and `block` options could crash
if there was a purely forward variable whose value in all periods could be
evaluated backward (typically a process of the form `y=a*y(+1)+e`)
* `extended_path` was broken with `bytecode`
* Under Windows, with Octave, the k-order perturbation and MS-SBVAR MEX files
could not be loaded
* On Fedora (and possibly other GNU/Linux distributions), compilation from
source would fail against Octave 5
Announcement for Dynare 4.6.2 (on 2020-09-07)
=============================================
We are pleased to announce the release of Dynare 4.6.2.
This maintenance release fixes various bugs.
The Windows, macOS and source packages are already available for download at
[the Dynare website](https://www.dynare.org/download/).
All users are strongly encouraged to upgrade.
This release is compatible with MATLAB versions ranging from 7.9 (R2009b) to
9.8 (R2020a), and with GNU Octave versions 5.2.0 (under Windows) and 4.4.1
(under macOS).
*Note for Windows users:* upon launching the Dynare installer, you may get a
warning emitted by Windows Defender SmartScreen, saying that this is an
unrecognized app and that it was prevented from starting. You can safely ignore
this warning, as long as you can verify on the next screen that CEPREMAP is the
editor of the software. This security warning is due to the fact that we had to
renew our code signing certificate (which had expired), and it takes some time
to rebuild our reputation as a software editor using the new certificate.
Here is a list of the problems identified in version 4.6.1 and that have been
fixed in version 4.6.2:
* Perfect foresight simulations of purely backward models could deliver an
incorrect result if some exogenous variable appeared with a lag of 2 or more
(and neither `block` nor `bytecode` option was used)
* Perfect foresight simulations of linear models could deliver an incorrect
result if the following four conditions were met:
+ the model was actually declared as linear through the `linear` option
+ there was an exogenous variable with a lead or a lag
+ `stack_solve_algo` was equal to 0 (the default) or 7
+ neither `block` nor `bytecode` option was used
* In stochastic simulations, for variables that actually do not leave the
steady state, reported simulated moments could be spurious (due to division
by zero)
* Displayed variance decompositions would only take into account measurement
errors if measurement errors were present for all observed variables
* The posterior variance decompositions with measurement errors computed with
`moments_varendo` were incorrect
* `moments_varendo` would not update `oo_.PosteriorTheoreticalMoments` if it
was already present, from *e.g.* an earlier run of `estimation`
* Identification would in some cases compute wrong Jacobian of moments
* Identification would display incorrect results if parameter dependence was
implemented via a steady state file
* `generate_trace_plots` would crash when measurement errors were present
* `estimation` would crash for correlated measurement errors
* Parallel execution/testing could crash instead of aborting with a proper
error message
* Under macOS, Dynare would incorrectly claim that it is compiled for Octave
5.2.0 (it is actually compiled for Octave 4.4.1)
* Using external functions in a model local variable would crash the
preprocessor
* Tolerance criteria for steady state computations were inconsistently set
* `stoch_simul` with its default `order=2` would crash with a message about
`hessian_eq_zero` not existing if an explicit `order=1` was present somewhere
else in the `.mod` file
* Model local variables were not written to the `modfile.json` JSON file
* Model local variables names would have two spurious underscores at their
point of definition in the `dynamic.json` and `static.json` files (but only
in the definition, not when they were used, which is inconsistent)
* The `solve_algo=9` option was not accessible. The `solve_algo=10` and
`solve_algo=11` options were not accessible with `block` (without `bytecode`)
* Under certain circumstances, `extended_path` would crash when used in
conjunction with the `block` option
* `extended_path` was not working with the `bytecode` option
* `shock_decomposition` was not accepting the options of `estimation` related
to smoothing
* `conditional_forecast` would display a warning even if the simulation was
successful
* The `prior_trunc` option of `identification` was not working
* The `rand_multivariate_student` value of the `proposal_distribution` option
was not working when used with the
`tailored_random_block_metropolis_hastings` posterior sampling method
* Perfect foresight simulations of backward models would crash if convergence
failed with complex-valued residuals
* The diffuse Kalman smoother would crash if `Finf` became singular
Announcement for Dynare 4.6.1 (on 2020-03-13)
=============================================
We are pleased to announce the release of Dynare 4.6.1.
This maintenance release fixes various bugs.
The Windows, macOS and source packages are already available for download at
[the Dynare website](https://www.dynare.org/download/).
All users are strongly encouraged to upgrade.
This release is compatible with MATLAB versions ranging from 7.9 (R2009b) to
9.7 (R2019b), and with GNU Octave versions 5.2.0 (under Windows) and 4.4.1
(under macOS).
Here is a list of the problems identified in version 4.6.0 and that have been
fixed in version 4.6.1:
* Installation on macOS would fail if the GCC compiler was supposed to be
installed and `www.google.com` was not reachable or blocked
* Dynare++ was missing the `dynare_simul.m` file
* The parameter vector `M_.params` would not be correctly updated after calls
to `stoch_simul` and `discretionary_policy` if parameters had been modified
in a steady state file
* The `stoch_simul` command with both the `nograph` and `TeX` options would
crash
* The `stoch_simul` command with the `noprint` option would crash
* The `prior moments` command would crash if the used parameter vector
triggered an error code
* In case of problem, the `discretionary_policy` command would crash instead of
aborting with a proper error code
* Computing of prior/posterior statistics would not work in parallel
* Closing of parallel estimation on GNU/Linux could crash
* The `histval` command would not work in combination with the
`predetermined_variables` command
* Ramsey optimal policy with multiple instruments would crash if a steady state
file returned complex values, instead of providing an error message
* The `model_diagnostics` command would not correctly update the parameter
vector if the latter was set in a steady state file
* The `model_diagnostics` command would ignore the `nocheck` steady state flag
Announcement for Dynare 4.6.0 (on 2020-02-20)
=============================================
We are pleased to announce the release of Dynare 4.6.0.
This major release adds new features and fixes various bugs.
The Windows, macOS and source packages are already available for download at
[the Dynare website](https://www.dynare.org/download/).
All users are strongly encouraged to upgrade.
This release is compatible with MATLAB versions ranging from 7.9 (R2009b) to
9.7 (R2019b), and with GNU Octave versions 5.2.0 (under Windows) and 4.4.1
(under macOS).
Major user-visible changes
--------------------------
- Stochastic simulations
- The perturbation method is now available at an arbitrary approximation
order. In other words, the `order` option of `stoch_simul` accepts an
arbitrary positive integer (of course, up to some model-specific
computational limit).
- New option `filtered_theoretical_moments_grid` of `stoch_simul`, that
supersedes `hp_ngrid`.
- Estimation
- Nonlinear estimation is now also available at an arbitrary approximation
order. In other words, the `order` option of `estimation` accepts an
arbitrary positive integer (of course, up to some model-specific
computational limit).
- Various improvements to particle filters.
- It is now possible to estimate models under optimal policy (see below).
- Variance decomposition of observables now accounts for measurement error.
- New option `mh_tune_jscale` of `estimation` command for tuning the scale
parameter of the proposal distribution of the Random Walk Metropolis
Hastings.
- Added debugging info when parameters take a `NaN` or `Inf` value.
- Option `mode_compute=1` is now available under Octave.
- Perfect foresight and extended path
- A significant speed improvement should be noted on large models (when
neither `bytecode` nor `block` option is used). The stacked problem is
now constructed using a dedicated machine-compiled library that greatly
speeds up the process (in particular, the time spent in that step can
become negligible when the `use_dll` option is used).
- New options `print` and `noprint` of `perfect_foresight_solver` command.
- Option `stack_solve_algo=2` is now available under Octave.
- Steady state
- Option `solve_algo=7` is now available under Octave.
- Optimal policy
- The `ramsey_policy` command is now deprecated. It is superseded by
successive calls to `ramsey_model`, `stoch_simul`, and
`evaluate_planner_objective` (in this order).
- It is now possible to estimate a model under optimal policy (either
Ramsey or discretionary) by running the `estimation` command after either
`ramsey_model` or `discretionary_policy`. It is however not yet possible
to estimate parameters that appear in the discount factor of the social
planner.
- Discretionary policy returns a more informative error message when the
objective has nonzero derivatives with respect to some variables.
- Identification
- Added minimal system identification check of *Komunjer and Ng (2011)*.
- Added spectrum identification check of *Qu and Tkachenko (2012)*.
- Identification is now also available for approximation orders 2 and 3
with either analytical or numerical parameter derivatives. The relevant
moments and spectrum are computed from the pruned state space system
as in *Mutschler (2015)*.
- All tests (moments, spectrum, minimal system, strength) can be turned
off.
- More numerical options can be changed by the user.
- Improved printing and storage (same folder) of results.
- Sensitivity analysis
- New `diffuse_filter` option to the `dynare_sensitivity` command.
- Arbitrary expressions can now be passed for the interval boundaries in
`irf_calibration` and `moment_calibration`. ⚠ This breaks the
previous syntax, requiring that the lower/upper bounds be separated by
commas.
- Forecasting and smoothing
- In `conditional_forecast_paths`, it is no longer required that all
constrained paths be of the same length. There may now be a different
number of controlled variables at each period. In that case, the order of
declaration of endogenous controlled variables and of `controlled_varexo`
matters: if the second endogenous variable is controlled for less periods
than the first one, the second `controlled_varexo` isn't set for the last
periods.
- New option `parameter_set` to the `calib_smoother` command.
- ⚠ The results of `conditional_forecast` command is now saved in
`oo_` (used to be in a file)
- Shock decomposition
- Added `fast_realtime` option to real time shock decomposition (deactivated
by default, runs the smoother only twice: once for the last in-sample and
once for the last out-of-sample data point).
- New `diff`, `flip`, `max_nrows`, `plot_init_date` and `plot_end_date`
options to `plot_shock_decomposition`.
- New `initial_decomposition_decomposition` command, for computing and
plotting the decomposition of the effect of smoothed initial conditions of
state variables.
- New `squeeze_shock_decomposition` command, for removing decompositions of
variables that are not of interest.
- New `with_epilogue` option (common to `shock_decomposition`,
`realtime_shock_decomposition` and `initial_condition_decomposition`).
- New `init2shocks` block to attribute initial conditions to shocks.
- Macro processor
- New object types: real (supersedes integers), boolean (distinct from
integers), tuple, user-defined function.
- New operators: various mathematical functions, set operations on arrays
(union, intersection, difference, cartesian power and product), type
checking and conversion.
- Added support for comprehensions (*e.g.* the set containing the squares of
all even numbers between 1 and 5 can be constructed with `[ i^2 for i in
1:5 when mod(i,2) == 0]`).
- User-defined functions can be declared using the `@#define` operator (*e.g.*
`@#define f(x) = 2*x^2+3*x+5`).
- `@#elseif`-clauses are now supported in conditional statements.
- `@#for` loops can iterate over several variables at the same time (*e.g.*
`@#for (i,j) in X`, where `X` is an array containing tuples of size 2).
- Added the possibility to exclude some elements when iterating over `@#for`
loops (*e.g.* `@#for i in 1:5 when mod(i,2) == 0` iterates over all even
numbers between 1 and 5).
- A `defined()` function allows testing whether macro variables have been
defined.
- Empty arrays (with the `[]` syntax) are now possible.
- Arrays of arrays are now supported.
- New macro directives `@#echomacrovars` and `@#echomacrovars(save)` for
displaying or saving the values of all macro-variables.
- Inline comments are now supported.
- ⚠ All division operations are now done with doubles (as opposed to
integers). To achieve the old functionality, use the new `floor` operator.
- ⚠ Colon syntax used to require braces around it to create an array
(*e.g.* `[1:3]` would create `[1,2,3]`). Now this is not necessary (`1:3`
creates `[1,2,3]` while `[1:3]` would create `[[1,2,3]]`).
- ⚠ Previously, printing a boolean would print `1` or `0`. Now, it
prints `true` or `false`. To achieve the old functionality, you must cast
it to a real, *e.g.* `@{(real)(1!=0)}`.
- LaTeX output
- New command `write_latex_steady_state_model`.
- New option `planner_discount_latex_name` of `ramsey_model` and
`discretionary_policy`.
- New command `model_local_variable` command for assigning a LaTeX name to
model-local variables.
- The `write_latex_static_model` and `write_latex_original_model` commands
now support the `write_equation_tags` option.
- Compilation of the model (`use_dll` option) made easier and faster
- Under Windows, it is no longer necessary to manually install the
compiler, since the latter is now shipped by the Dynare installer.
- Under macOS, the Dynare installer now automatically downloads and
installs the compiler.
- It is no longer necessary to configure MATLAB to let it know where the
compiler is, since the compilation is now done by the preprocessor.
- The compilation phase is now faster on large models (this has been
achieved by disabling a few time-consuming and not-so-useful optimization
passes otherwise done by the compiler).
- New `compilation_setup` block for specifying a custom compiler or custom
compilation flags.
- Model, variables and parameters declaration
- New syntax to declare model variables and parameters on-the-fly in the
`model` block. To do this, simply follow the symbol name with a vertical
line (`|`, pipe character) and either an `e`, an `x`, or a `p`. For
example, to declare a parameter named `alpha` in the model block, you
could write `alpha|p` directly in an equation where it appears.
Similarly, to declare an endogenous variable `c` in the model block you
could write `c|e`.
- New syntax to declare model variable and parameters on-the-fly in
equation tags. In the tag, simply state the type of variable to be
declared (`endogenous`, `exogenous`, or `parameter` followed by an equal
sign and the variable name in single quotes. Hence, to declare a variable
`c` as endogenous in an equation tag, you can type `[endogenous='c']`.
- New `epilogue` block for computing output variables of interest that may
not be necessarily defined in the model (*e.g.* various kinds of
real/nominal shares or relative prices, or annualized variables out of a
quarterly model).
- Command-line options
- Added the possibility to declare Dynare command-line options in the `.mod`
file.
- New option `nopreprocessoroutput` to disable printing of messages from
the preprocessor.
- It is now possible to assign an arbitrary macro-expression to a
macro-variable defined on the command-line, using the `-D` syntax.
- New option `linemacro` to revert to the old format of the
macro-processed file (see below).
- Preprocessor outputs and inputs
- Added JSON output to the preprocessor. A representation of the model file
and the whole content of the `.mod` file is saved in `.json` files.
These JSON files can be easily parsed from any language (C++, Fortran,
Python, Julia, MATLAB, Octave…). This new feature opens the possibility to
develop alternative back-ends for the Dynare language.
- ⚠ Most files generated by the preprocessor are now grouped under
two subdirectories. Assuming your file is `FILENAME.mod`, then M-files
and MEX-files will be under `+FILENAME/`, while other output (JSON,
LaTeX, source code for the MEX files) will be under `FILENAME/`.
- The macro-generated output is now more readable (no more line numbers and
empty lines). The old behaviour can be restored using the `linemacro`
option (see above).
- Ability to call the preprocessor by passing the `.mod` file as a string
argument from the macOS or GNU/Linux command line.
- dseries classes
- New functionalities and efficiency improvements.
- Complete rewrite using the new `classdef` syntax and exploiting in place
modifications when possible.
- Integration of the `dates` classes within `dseries`.
- Reporting classes
- Automatically create titlepage with page numbers/page titles.
- Allow for the removal of headers and footers from a given page.
- Allow user to set page number.
- Split up report output. Create new files for the preamble, the body of
the report, and each individual page of the report.
- The classes have been converted to the new `classdef` syntax.
- Misc
- External functions can be located in MATLAB/Octave namespaces.
- Improvements to the balanced growth path test that is performed after
Dynare has detrended the model (given the trends on variables declared by
the user): the default tolerance has been raised, and a different value
can be set with new option `balanced_growth_test_tol` to the `model`
block; as a consequence, failing the test is now an error again.
- New collection of MATLAB/Octave utilities to retrieve and alter objects:
`get_irf`, `get_mean`, `get_shock_stderr_by_name`, `get_smooth`,
`get_update`, `set_shock_stderr_value`.
- ⚠ Previously, when some MEX files were missing, Dynare would
automatically fall back to slower M-file functional alternative; this is
no longer the case. It is however still possible to manually add these
alternatives in the MATLAB/Octave path (they are located under
`matlab/missing/mex`; this only applies to the `mjdgges`, `gensylv`,
`A_times_B_kronecker_C`, `sparse_hessian_times_B_kronecker_C` and
`local_state_space_iteration_2` DLLs).
Since there are a few backward-incompatible changes in this release, users may
want to have a look at the [upgrade
guide](https://git.dynare.org/Dynare/dynare/-/wikis/BreakingFeaturesIn4.6) to
adapt their existing codes.
Bugs that were present in 4.5.7 and that are fixed in 4.6.0
-----------------------------------------------------------
* Estimation: the check for stochastic singularity erroneously would only take
estimated measurement error into account.
* Estimation: if the Hessian at the mode was not positive definite, the Laplace
approximation returned a complex number, but only displayed the real-valued
part.
* Conditional Forecasting: using one period only would result in a crash.
* First-order approximation was not working with purely forward-looking models.
* The preprocessor would not allow for inline comments including macro
statements.
* Using the `STEADY_STATE()` operator on exogenous variables would lead to
crashes in stochastic simulations.
* `moment_calibration`: for autocorrelation functions, the x-axis labeling had
the wrong order.
* `plot_identification`: placement of white dots indicating infinite values was
incorrect
* Automatic detrending would sometime refuse to detrend model despite the user
having given correct trends.
* Using `use_dll` + `fast` options would not always recompile the model when
the equations were changed.
* Under certain circumstances, the combination of `bytecode` and
`stack_solve_algo=1` options could lead to crashes or wrong results.
References
----------
- Komunjer, I. and S. Ng (2011), “[Dynamic Identification of Dynamic
Stochastic General Equilibrium
Models](https://www.onlinelibrary.wiley.com/doi/abs/10.3982/ECTA8916),”
*Econometrica*, 79(6), 1995–2032
- Qu, Z. and D. Tkachenko (2012), “[Identification and frequency domain
quasi‐maximum likelihood estimation of linearized dynamic stochastic
general equilibrium
models](https://onlinelibrary.wiley.com/doi/abs/10.3982/QE126),”
*Quantitative Economics*, 3(1), 95–132
- Mutschler, W. (2015), “[Identification of DSGE models—The effect of
higher-order approximation and
pruning](https://www.sciencedirect.com/science/article/pii/S0165188915000731),”
*Journal of Economic Dynamics and Control*, 56, 34–54
Announcement for Dynare 4.5.7 (on 2019-02-06)
=============================================
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 Mac and GNU/Linux packages (for Debian and Ubuntu LTS) should follow soon.
This release is compatible with MATLAB versions 7.5 (R2007b) to 9.4 (R2018b)
and with GNU Octave versions 4.4.1.
Here is a list of the problems identified in version 4.5.6 and that have been
fixed in version 4.5.7:
- The mex-file conducting the QZ decomposition erroneously applied
the `qz_criterium` to the square absolute value of eigenvalues
instead of the absolute value itself (as done in mjdgges.m and the
AIM solver).
- In pathological cases, `mode_compute=5` (`newrat`) might enter an
infinite loop.
- `discretionary_policy` might erroneously state that the derivatives
of the objective function are non-zero if there are NaN present.
- Dynare++, when conducting the QZ decomposition, erroneously applied
the `qz_criterium` to the square absolute value of eigenvalues
instead of the absolute value itself.
- Dynare++: IRFs were incorrectly computed.
- `dynare_sensitivity` did not display the figures of
`irf_calibration`, it only stored them on the disk.
- Scatter plots generated by `dynare_sensitivity` did not correctly
display LaTeX names.
- Parameter updating via steady state files did not correctly work in
case of using `[static]`/`[dynamic]` equation tags.
- Memory leaks in `k_order_pert` (used by higher order stochastic
simulations) could lead to crashes.
- Predetermined variables were not properly set when used in model
local variables.
- Posterior moment computation did not correctly update the
covariance matrix of exogenous shocks during posterior sampling.
- Dynare was crashing with a cryptic message if a non estimated
parameter was initialized in the `estimated_params_init` block.
- The `forecast` command crashed if the model was declared as linear
and contained deterministic exogenous variables.
- Block decomposition is broken when used in conjunction with
`varexo_det`.
- The model was not correctly specified when `identification` was run
without another stochastic command in the `.mod` file
(*e.g.* `estimation`, `stoch_simul`, etc.).
- Realtime annualized shock decompositions added the wrong steady state
value.
- `mh_recover` option crashed when using slice sampler.
- x-axis values in plots of moment restrictions were wrong for
autocovariances.
Announcement for Dynare 4.5.6 (on 2018-07-25)
=============================================
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>.
The Mac and GNU/Linux packages (for Debian and Ubuntu LTS) should follow soon.
This release is compatible with MATLAB versions 7.5 (R2007b) to 9.4 (R2018a)
and with GNU Octave versions 4.4.
Here is a list of the problems identified in version 4.5.5 and that have been
fixed in version 4.5.6:
- TaRB sampler: incorrect last posterior was returned if the last draw was
rejected.
- Fixed online particle filter by drawing initial conditions in the prior
distribution.
- Fixed evaluation of the likelihood in non linear / particle filters.
- Added missing documented `montecarlo` option in Gaussian Filter and
Nonlinear Kalman Filter.
- Added back a flag to deal with errors on Cholesky decomposition in the
Conditional Particle Filter.
- Macroprocessor `length()` operator was returning 1 when applied to a
string. Macroprocessor now raises an error when `length()` operator is
called on an integer and return the number of characters when applied to a
string.
- `mode_compute=8`: the error code during mode-finding was not correctly
handled, resulting in crashes.
- Identification was not correctly displaying a message for collinear parameters
if there was no unidentified parameter present.
Announcement for Dynare 4.5.5 (on 2018-06-08)
=============================================
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>.
The Mac and GNU/Linux packages (for Debian and Ubuntu LTS) should follow soon.
This release is compatible with MATLAB versions 7.5 (R2007b) to 9.4 (R2018a)
and with GNU Octave versions 4.2.
Here is a list of the problems identified in version 4.5.4 and that have been
fixed in version 4.5.5:
- Identification was crashing during prior sampling if `ar` was initially too
low.
- The `align` method on `dseries` did not return a functional second `dseries`
output.
- Predetermined variables were not properly set when used in model local
variables.
- `perfect_foresight_solver` with option `stack_solve_algo=7` was not working
correctly when an exogenous variable has a lag greater than 1.
- `identification` with `prior_mc` option would crash if the number of moments
with non-zero derivative is smaller than the number of parameters.
- Calling several times `normcdf` or `normpdf` with the same arguments in a
model with block decomposition (but not bytecode) was leading to incorrect
results.
Announcement for Dynare 4.5.4 (on 2018-01-29)
=============================================
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>.
The Mac and GNU/Linux packages (for Debian and Ubuntu LTS) should follow soon.
This release is compatible with MATLAB versions 7.5 (R2007b) to 9.3 (R2017b)
and with GNU Octave versions 4.2.
Here is a list of the problems identified in version 4.5.3 and that have been
fixed in version 4.5.4:
- The `type` option of `plot_shock_decomposition` was always set to `qoq` regardless of what is specified.
- Bug in GSA when no parameter was detected below pvalue threshold.
- Various bug fixes in shock decompositions.
- Bug in reading in macro arrays passed on `dynare` command line via the `-D` option.
- Estimation with missing values was crashing if the `prefilter` option was used.
- Added a workaround for a difference in behaviour between Octave and MATLAB regarding the creation
of function handles for functions that do not exist in the path. With Octave 4.2.1, steady state
files did not work if no auxiliary variables were created.
- The `stoch_simul` command was crashing with a cryptic message if option `order=3` was used without
setting `k_order_solver`.
- In cases where the prior bounds are infinite and the mode is estimated at exactly 0, no `mode_check`
graphs were displayed.
- Parallel execution of MCMC was broken in models without auxiliary variables.
- Reading data with column names from Excel might crash.
- The multivariate Kalman smoother was crashing in case of missing data in the observations and
`Finf` became singular.
- 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.
Announcement for Dynare 4.5.3 (on 2017-10-19)
=============================================
We are pleased to announce the release of Dynare 4.5.3.
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>.
The Mac and GNU/Linux packages (for Debian and Ubuntu LTS) should follow soon.
This release is compatible with MATLAB versions 7.5 (R2007b) to 9.3 (R2017b)
and with GNU Octave versions 4.2.
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
affect Octave.
Announcement for Dynare 4.5.2 (on 2017-10-19)
=============================================
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>.
The Mac and GNU/Linux packages (for Debian and Ubuntu LTS) should follow soon.
This release is compatible with MATLAB versions 7.5 (R2007b) to 9.3 (R2017b)
and with GNU Octave versions 4.2.
Here is a list of the problems identified in version 4.5.1 and that have been
fixed in version 4.5.2:
- Fixed bug in perfect foresight solver:
+ If expected shocks were declared after the terminal period, as specified
by the `periods` option, Dynare was crashing.
+ Models declared with the `linear` option were crashing if exogenous
variables were present with a lead or lag.
- After ML or Bayesian estimation when the smoother option or `mh_replic=0`
were not specified, not all smoothed measurement errors were displayed.
- Fixed error in reference manual about the `conditional_forecasts` command.
- Fixed smoother behaviour, provide informative error instead of crashing when
model cannot be solved.
- The `nopathchange` preprocessor option was always triggered, regardless of
whether it was passed or not.
- When `ramsey_policy` is used, allow state variables to be set in `histval`
block.
- `histval` erroneously accepted leads, leading to cryptic crashes.
- The prior MC draws from previous runs were not deleted, potentially
resulting in loading stale files.
- `estim_params_` was being declared `global` more than once.
- Fixed crashes happening when simulating linear models with order>1.
- Make empirical moments independent of `simul_replic`, as stated in the
reference manual, by outputting moments computed with the first simulated
sample.
- The `prior_function` required a preceding `estimation`-command to properly
set up the prior.
- If the mode for a parameter was at exactly 0, `mode_check` was crashing.
- Fixed `get_posterior_parameters`-routine which should not do more than
getting parameters. As a consequense, the `shock_decomposition`-command
did not correctly set the `parameter_set` for use in subsequent function
calls if shocks are correlated or measurement error is present.
- Fixed bug in Ramsey problem with constraints both on a policy instrument and
another variable. Note that the constraint on a variable that is not an
instrument of the Ramsey problem must be written with an equation tag in the
model block.
- Fixed bug in Ramsey problem with constraints on policy instrument.
- Fixed crash with optimizer 5 when not used with DSGE model at order 1.
- Fixed mex file used for third order approximation (was crashing on
MATLAB/Windows 7).
Announcement for Dynare 4.5.1 (on 2017-08-24)
=============================================
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>.
The Mac and GNU/Linux packages (for Debian and Ubuntu LTS) should follow soon.
This release is compatible with MATLAB versions 7.5 (R2007b) to 9.2 (R2017a)
and with GNU Octave versions 4.2.
Here is a list of the problems identified in version 4.5.0 and that have been
fixed in version 4.5.1:
- Fixed out of memory issue with simpsa optimization algorithm.
- Added missing plots for measurement errors with `generate_trace_plot`
command.
- Posterior moments after MCMC for very big models were not correctly computed
and their plotting might crash Dynare.
- Results of the posterior conditional variance decomposition after MCMC were
not correctly computed.
- Options `use_shock_groups` and `colormap` of the `shock_decomposition`
command were not working.
- Added a clean error message if sensitivity toolbox is used with recursive
estimation.
- Computation of posterior filtered variables was crashing in models with only
one variable.
- Fixed various typos and errors in the reference manual.
Announcement for Dynare 4.5.0 (on 2017-06-11)
=============================================
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>.
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 7.5 (R2007b) to
9.2 (R2017a) and with GNU Octave version 4.2.
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
computation. Usefull to compute Ramsey policy in a perfect
foresight model,
+ `ramsey_policy` accepts multipliers in its variable list and
displays results for them.
- Perfect foresight models
+ New commands `perfect_foresight_setup` (for preparing the
simulation) and `perfect_foresight_solver` (for computing it). The
old `simul` command still exist and is now an alias for
`perfect_foresight_setup` + `perfect_foresight_solver`. It is no
longer possible to manipulate by hand the contents of
`oo_.exo_simul` when using `simul`. People who want to do
it must first call `perfect_foresight_setup`, then do the
manipulations, then call `perfect_foresight_solver`,
+ By default, the perfect foresight solver will try a homotopy
method if it fails to converge at the first try. The old behavior
can be restored with the `no_homotopy` option,
+ New option `stack_solve_algo=7` that allows specifying a
`solve_algo` solver for solving the model,
+ New option `solve_algo` that allows specifying a solver for
solving the model when using `stack_solve_algo=7`,
+ New option `lmmcp` that solves the model via a Levenberg-Marquardt
mixed complementarity problem (LMMCP) solver,
+ New option `robust_lin_solve` that triggers the use of a robust
linear solver for the default `solve_algo=4`,
+ New options `tolf` and `tolx` to control termination criteria of
solvers,
+ New option `endogenous_terminal_period` to `simul`,
+ Added the possibility to set the initial condition of the
(stochastic) extended path simulations with the histval block.
- Optimal simple rules
+ Saves the optimal value of parameters to `oo_.osr.optim_params`,
+ New block `osr_params_bounds` allows specifying bounds for the
estimated parameters,
+ New option `opt_algo` allows selecting different optimizers while
the new option `optim` allows specifying the optimizer options,
+ The `osr` command now saves the names, bounds, and indices for the
estimated parameters as well as the indices and weights of the
variables entering the objective function into `M_.osr`.
- Forecasts and Smoothing
+ The smoother and forecasts take uncertainty about trends and means
into account,
+ Forecasts accounting for measurement error are now saved in fields
of the form `HPDinf_ME` and `HPDsup_ME`,
+ New fields `oo_.Smoother.Trend` and `oo_.Smoother.Constant` that
save the trend and constant parts of the smoothed variables,
+ new field `oo_.Smoother.TrendCoeffs` that stores the trend
coefficients.
+ Rolling window forecasts allowed in `estimation` command by
passing a vector to `first_obs`,
+ The `calib_smoother` command now accepts the `loglinear`,
`prefilter`, `first_obs` and `filter_decomposition` options.
- Estimation
+ New options: `logdata`, `consider_all_endogenous`,
`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,
+ New option `load_results_after_load_mh` that allows loading some
posterior results from a previous run if no new MCMC draws are
added,
+ New option `posterior_nograph` that suppresses the generation of
graphs associated with Bayesian IRFs, posterior smoothed objects,
and posterior forecasts,
+ Saves the posterior density at the mode in
`oo_.posterior.optimization.log_density`,
+ The `filter_covariance` option now also works with posterior
sampling like Metropolis-Hastings,
+ New option `no_posterior_kernel_density` to suppress computation
of kernel density of posterior objects,
+ Recursive estimation and forecasting now provides the individual
`oo_` structures for each sample in `oo_recursive_`,
+ The `trace_plot` command can now plot the posterior density,
+ New command `generate_trace_plots` allows generating all trace
plots for one chain,
+ New commands `prior_function` and `posterior_function` that
execute a user-defined function on parameter draws from the
prior/posterior distribution,
+ New option `huge_number` for replacement of infinite bounds with
large number during `mode_compute`,
+ New option `posterior_sampling_method` allows selecting the new
posterior sampling options:
`tailored_random_block_metropolis_hastings` (Tailored randomized
block (TaRB) Metropolis-Hastings), `slice` (Slice sampler),
`independent_metropolis_hastings` (Independent
Metropolis-Hastings),
+ New option `posterior_sampler_options` that allow controlling the
options of the `posterior_sampling_method`, its `scale_file`-option
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 and Lewis
(1992)* convergence diagnostics,
+ New option `fast_kalman_filter` that provides fast Kalman filter
using Chandrasekhar recursions as described in *Ed Herbst (2015)*,
+ The `dsge_var` option now saves results at the posterior mode into
`oo_.dsge_var`,
+ New option `smoothed_state_uncertainty` to provide the uncertainty
estimate for the smoothed state estimate from the Kalman smoother,
+ New prior density: generalized Weibull distribution,
+ Option `mh_recover` now allows continuing a crashed chain at the
last save mh-file,
+ New option `nonlinear_filter_initialization` for the
`estimation` command. Controls the initial covariance matrix
of the state variables in nonlinear filters.
+ The `conditional_variance_decomposition` option now displays
output and stores it as a LaTeX-table when the `TeX` option is
invoked,
+ The `use_calibration` to `estimated_params_init` now also works
with ML,
+ Improved initial estimation checks.
- Steady state
+ The default solver for finding the steady state is now a
trust-region solver (can be triggered explicitly with option
`solve_algo=4`),
+ New options `tolf` and `tolx` to control termination criteria of
solver,
+ The debugging mode now provides the termination values in steady
state finding.
- Stochastic simulations
+ New options `nodecomposition`,
+ New option `bandpass_filter` to compute bandpass-filtered
theoretical and simulated moments,
+ New option `one_sided_hp_filter` to compute one-sided HP-filtered
simulated moments,
+ `stoch_simul` displays a simulated variance decomposition when
simulated moments are requested,
+ `stoch_simul` saves skewness and kurtosis into respective fields
of `oo_` when simulated moments have been requested,
+ `stoch_simul` saves the unconditional variance decomposition in
`oo_.variance_decomposition`,
+ New option `dr_display_tol` that governs omission of small terms
in display of decision rules,
+ The `stoch_simul` command now prints the displayed tables as LaTeX
code when the new `TeX` option is enabled,
+ The `loglinear` option now works with lagged and leaded exogenous
variables like news shocks,
+ New option `spectral_density` that allows displaying the spectral
density of (filtered) endogenous variables,
+ New option `contemporaneous_correlation` that allows saving
contemporaneous correlations in addition to the covariances.
- Identification
+ New options `diffuse_filter` and `prior_trunc`,
+ The `identification` command now supports correlations via
simulated moments,
- Sensitivity analysis
+ New blocks `irf_calibration` and `moment_calibration`,
+ Outputs LaTeX tables if the new `TeX` option is used,
+ New option `relative_irf` to `irf_calibration` block.
- 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(2π) 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+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
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 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
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-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 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-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)
=============================================
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 (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)
=============================================
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-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
* 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-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)
=============================================
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](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 7.12 (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
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)*. 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)*. See <http://www.dynare.org/DynareWiki/PartialInformation>.
- New nonlinear solvers for faster deterministic simulations and steady state
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. 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.
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. See <http://www.dynare.org/DynareWiki/RemovingTrends>.
- 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 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
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. 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
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. See <http://www.dynare.org/DynareWiki/AuxiliaryVariables>.
* 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
- Pearlman J., D. Currie and P. Levine (1986), “Rational expectations models
with partial information,” *Economic Modelling*, 3(2), 90-105
README.md 0 → 100644
View file @ d38bfd73
<a name="logo"/>
<div align="center">
<a href="https://www.dynare.org/" target="_blank">
<img src="https://www.dynare.org/assets/images/logo/dlogo.svg" alt="Dynare Logo"></img>
</a>
</div>
# Dynare
Described on the homepage: <https://www.dynare.org/>
Most users should use the precompiled package available for their OS, also
available via the Dynare homepage: <https://www.dynare.org/download/>.
# Contributions
To contribute to Dynare and participate in the Dynare community, please see: [CONTRIBUTING.md](https://git.dynare.org/Dynare/dynare/blob/master/CONTRIBUTING.md)
# License
Most of the source files are covered by the GNU General Public Licence version
3 or later (there are some exceptions to this, see [license.txt](license.txt) in
Dynare distribution for specifics).
# Building Dynare From Source
Here, we explain how to build from source:
- Dynare, including preprocessor and MEX files for MATLAB and Octave
- all the associated documentation (PDF and HTML)
This source can be retrieved in three forms:
- via git, at <https://git.dynare.org/Dynare/dynare.git>
- using the stable source archive of the latest Dynare version from <https://www.dynare.org/download/>
- using a source snapshot of the unstable version, also from <https://www.dynare.org/download/>
The first section of this page gives general instructions, which apply to all platforms. Then some specific platforms are discussed.
**Note:** Here, when we refer to 32-bit or 64-bit, we refer to the type of
MATLAB or Octave installation, not the type of operating system installation.
For example, it is perfectly possible to run a 32-bit MATLAB on a 64-bit
Windows: in that case, instructions for Windows 32-bit should be followed. To
determine the type of your MATLAB/Octave installation, type:
```matlab
>> computer
```
at the MATLAB/Octave prompt. Under MATLAB, if it returns `PCWIN64`, `GLNX64`,
`MACI64` or `MACA64` then it is a 64-bit MATLAB; if it returns `PCWIN`, `MACI` or `GLNX`,
then it is a 32-bit MATLAB. Under Octave, if it returns a string that begins
with `x86_64`, it is a 64-bit Octave; if the strings begins with `i686`, it is
a 32-bit Octave.
**Contents**
1. [**General Instructions**](#general-instructions)
1. [**Debian or Ubuntu**](#debian-or-ubuntu)
1. [**Fedora, CentOS or RHEL**](#fedora-centos-or-rhel)
1. [**Arch Linux**](#arch-linux)
1. [**Windows**](#windows)
1. [**macOS**](#macos)
1. [**Docker**](#docker)
## General Instructions
### Prerequisites
A number of tools and libraries are needed in order to recompile everything. You don't necessarily need to install everything, depending on what you want to compile.
- The [GNU Compiler Collection](https://gcc.gnu.org/), version 10 or later, with
gcc, g++ and gfortran
- [MATLAB](https://mathworks.com) (if you want to compile the MEX for MATLAB)
- [GNU Octave](https://www.octave.org) with
- the development headers (if you want to compile the MEX for Octave)
- the development libraries corresponding to the [UMFPACK](https://people.engr.tamu.edu/davis/suitesparse.html) packaged with Octave (if you want to compile the MEX for Octave)
- the [statistics](https://octave.sourceforge.io/statistics/) package and, optionally, the [control](https://octave.sourceforge.io/control/), [io](https://octave.sourceforge.io/io/) and [optimization](https://octave.sourceforge.io/optim/) packages, either installed via your package manager or through [Octave Forge](https://octave.sourceforge.io/)
- [Meson](https://mesonbuild.com), version 0.64.0 or later
- [Pkgconf](http://pkgconf.org/), or another pkg-config implementation
- [Bash](https://www.gnu.org/software/bash/)
- [Boost libraries](https://www.boost.org), version 1.36 or later
- [Bison](https://www.gnu.org/software/bison/), version 3.2 or later
- [Flex](https://github.com/westes/flex), version 2.5.4 or later
- [MAT File I/O library](https://sourceforge.net/projects/matio/), version 1.5 or later (only when compiling for Octave)
- [SLICOT](http://www.slicot.org)
- [GSL library](https://www.gnu.org/software/gsl/)
- A decent LaTeX distribution (if you want to compile PDF documentation),
ideally with Beamer
- For building the reference manual:
- [Sphinx](https://www.sphinx-doc.org/)
- [MathJax](https://www.mathjax.org/)
- [X-13ARIMA-SEATS Seasonal Adjustment Program](https://www.census.gov/data/software/x13as.html)
### Preparing the sources
If you have downloaded the sources from an official source archive or the source snapshot, just unpack it.
If you want to use Git, do the following from a terminal (note that you must
have the [Git LFS](https://git-lfs.github.com/) extension installed):
```sh
git clone --recurse-submodules https://git.dynare.org/Dynare/dynare.git
cd dynare
```
If you want a certain version (e.g. 5.x) , then add `--single-branch --branch 5.x` to the git clone command.
### Configuring the build directory
If you want to compile for MATLAB, please run the following (after adapting the path to MATLAB):
```sh
meson setup -Dmatlab_path=/usr/local/MATLAB/R2023b --buildtype=debugoptimized build-matlab
```
The build directory will thus be `build-matlab`.
Or for Octave:
```sh
meson setup -Dbuild_for=octave --buildtype=debugoptimized build-octave
```
The build directory will thus be `build-octave`.
Note that if you do not chose `build-matlab` (under MATLAB) or `build-octave`
(under Octave) as the build directory, you will need to set the environment
variable `DYNARE_BUILD_DIR` to the full path of your build tree, before running
MATLAB or Octave, if you want Dynare to be able to find the preprocessor and
the MEX files.
It is possible to specify various Meson options, see the Meson documentation
for more details. Modifying options of an existing build directory can be
done using the `meson configure` command.
### Building
For compiling the preprocessor and the MEX files:
```sh
meson compile -C <builddir>
```
where `<builddir>` is the build directory, typically either `build-matlab` or `build-octave`.
PDF and HTML documentation can be built with:
```sh
meson compile -C <builddir> doc
```
### Check
Dynare comes with unit tests (in the MATLAB functions) and integration tests (under the `tests` subfolder). All the tests can be run with:
```sh
meson test -C <builddir>
```
Depending on the performance of your machine, this can take several hours.
Note that running the testsuite with Octave requires the additional packages `pstoedit`, `epstool`, `xfig`, and `gnuplot`.
Often, it does not make sense to run the complete testsuite. For instance, if you modify codes only related to the perfect foresight model solver, you can decide to run only a subset of the integration tests, with:
```sh
meson test -C <builddir> --suite deterministic_simulations
```
This will run all the integration tests in `tests/deterministic_simulations`.
This syntax also works with a nested directory (e.g. `--suite deterministic_simulations/purely_forward`).
Finally if you want to run a single integration test, e.g. `deterministic_simulations/lbj/rbc.mod`:
```sh
meson test -C <builddir> deterministic_simulations/lbj/rbc.mod
```
NB: Some individual tests cannot be run using that syntax, if they are a dependency in a chain of tests (see the `mod_and_m_tests` variable `meson.build`); in that case, you should use the name of the last `.mod` file in the chain as the test name to be passed to `meson test`.
## Debian or Ubuntu
All the prerequisites are packaged:
- `gcc`
- `g++`
- `gfortran`
- `octave-dev` (or `liboctave-dev` on older Debian/Ubuntu releases)
- `libboost-graph-dev`
- `libgsl-dev`
- `libmatio-dev`
- `libslicot-dev` and `libslicot-pic`
- `libsuitesparse-dev`
- `flex` and `libfl-dev`
- `bison`
- `meson`
- `pkgconf`
- `texlive`
- `texlive-publishers` (for Econometrica bibliographic style)
- `texlive-latex-extra` (for fullpage.sty)
- `texlive-fonts-extra` (for ccicons)
- `texlive-science` (for amstex)
- `lmodern` (for macroprocessor PDF)
- `cm-super` (for BVAR à la Sims and GSA PDFs)
- `python3-sphinx`
- `tex-gyre`
- `latexmk`
- `libjs-mathjax`
- `x13as`
You can install them all at once with:
```sh
apt install gcc g++ gfortran octave-dev libboost-graph-dev libgsl-dev libmatio-dev libslicot-dev libslicot-pic libsuitesparse-dev flex libfl-dev bison meson pkgconf texlive texlive-publishers texlive-latex-extra texlive-fonts-extra texlive-science lmodern cm-super python3-sphinx make tex-gyre latexmk libjs-mathjax x13as
```
If you use MATLAB, we strongly advise to also `apt install matlab-support` and confirm to rename the GCC libraries shipped with MATLAB to avoid possible conflicts with GCC libraries shipped by your distribution.
## Fedora, CentOS or RHEL
Almost all prerequisites are packaged:
- `gcc`, `gcc-c++`
- `gcc-gfortran`
- `boost-devel`
- `gsl-devel`
- `matio-devel`
- `suitesparse-devel`
- `flex`
- `bison`
- `meson`
- `redhat-rpm-config`
- `octave`, `octave-devel`, `octave-statistics`, `octave-io`, `octave-optim`, `octave-control`
- `texlive-scheme-minimal`, `texlive-collection-publishers`, `texlive-collection-latexextra`, `texlive-collection-fontsextra`, `texlive-collection-latexrecommended`, `texlive-collection-science`, `texlive-collection-plaingeneric`, `texlive-lm`
- `python3-sphinx`
- `latexmk`
- `mathjax`
- `make` (for building Slicot)
You can install them all at once with:
```sh
# Minimal packages
dnf install -y gcc gcc-c++ make gcc-gfortran boost-devel gsl-devel matio-devel suitesparse-devel flex bison meson redhat-rpm-config
# Octave packages
dnf install octave octave-devel octave-statistics octave-io octave-optim octave-control
# Documentation packages (only needed if you build documentation)
dnf install texlive-scheme-minimal texlive-collection-publishers texlive-collection-latexextra texlive-collection-fontsextra texlive-collection-latexrecommended texlive-collection-science texlive-collection-plaingeneric texlive-lm python3-sphinx latexmk mathjax
```
In Fedora these are available from the default repositories; whereas for CentOS and RHEL you need to enable the [Extra Packages for Enterprise Linux (EPEL)](https://fedoraproject.org/wiki/EPEL) repository and either the PowerTools repository for CentOS or the CodeReady Linux Builder repository for RHEL:
```sh
yum install https://dl.fedoraproject.org/pub/epel/epel-release-latest-8.noarch.rpm
# CentOS 8
dnf config-manager --set-enabled PowerTools
# RHEL 8
ARCH=$( /bin/arch )
subscription-manager repos --enable "codeready-builder-for-rhel-8-${ARCH}-rpms"
```
The documentation packages have slightly different names in CentOS and RHEL, but this should only impact you if you build the documentation.
`Slicot` and `x13as` need to be compiled from source:
```sh
# compile slicot from source and put it into /home/$USER/dynare/slicot/lib/
mkdir -p /home/$USER/dynare/slicot
cd /home/$USER/dynare/slicot
wget https://github.com/SLICOT/SLICOT-Reference/archive/refs/tags/v5.9.tar.gz
tar xf v5.9.tar.gz
cd SLICOT-Reference-5.9
mkdir -p /home/$USER/dynare/slicot/lib
# The following two lines are only for MATLAB
make -f makefile_Unix FORTRAN=gfortran OPTS="-O2 -fPIC -fdefault-integer-8" LOADER=gfortran lib
cp slicot.a /home/$USER/dynare/slicot/lib/libslicot64_pic.a
# The following two lines are only for Octave
make -f makefile_Unix FORTRAN=gfortran OPTS="-O2 -fPIC" LOADER=gfortran lib
cp slicot.a /home/$USER/dynare/slicot/lib/libslicot_pic.a
# compile x13as from source and put it into /usr/bin/
mkdir -p /home/$USER/dynare/x13as
cd /home/$USER/dynare/x13as
wget https://www2.census.gov/software/x-13arima-seats/x13as/unix-linux/program-archives/x13as_asciisrc-v1-1-b61.tar.gz
tar xf x13as_asciisrc-v1-1-b61.tar.gz
sed -i "s|-static| |" makefile.gf # this removes '-static' in the makefile.gf
make -f makefile.gf FFLAGS="-O2 -std=legacy" PROGRAM=x13as
sudo cp x13as /usr/bin/
```
If you use MATLAB, we strongly advise to also rename or exclude the GCC libraries shipped with MATLAB to avoid possible conflicts with GCC libraries shipped by Fedora, see e.g. the [OpenGL Section of the ArchWiki article on MATLAB](https://wiki.archlinux.org/title/MATLAB#OpenGL_acceleration) for instructions.
Now use the following commands if using MATLAB (adapt them for Octave, see above):
```sh
cd /home/$USER/dynare
git clone --recurse-submodules https://git.dynare.org/dynare/dynare.git unstable
cd unstable
meson setup -Dmatlab_path=/usr/local/MATLAB/R2023b -Dfortran_args="[ '-B', '/home/$USER/dynare/slicot']" --buildtype=debugoptimized build-matlab
meson compile -C build-matlab
```
If your distribution ships an older version of `bison`, compile it from source and append it *temporarily* to your path before running meson:
```sh
bison --version # bison (GNU Bison) 3.0.4
mkdir -p /home/$USER/dynare/bison
cd /home/$USER/dynare/bison
wget http://ftp.gnu.org/gnu/bison/bison-3.6.4.tar.gz #change the version number accordingly
tar xf bison-3.6.4.tar.gz
cd bison-3.6.4
./configure --prefix=/home/$USER/dynare/bison
make
make install
export PATH=/home/$USER/dynare/bison/bin:$PATH
bison --version # bison (GNU Bison) 3.6.4
```
Now configure dynare as above.
## Arch Linux
The following steps show how to install Dynare on Arch Linux from source.
- Install all needed dependencies:
```sh
pacman -S git make meson boost blas gsl libmatio gcc-fortran gcc-libs
```
- Compile and install SLICOT:
```sh
wget https://github.com/SLICOT/SLICOT-Reference/archive/refs/tags/v5.9.tar.gz
tar xf v5.9.tar.gz
cd SLICOT-Reference-5.9
make -f makefile_Unix FORTRAN=gfortran OPTS="-O2 -fno-underscoring -fdefault-integer-8" LOADER=gfortran lib
mkdir -p /usr/local/lib
cp slicot.a /usr/local/lib/libslicot64_pic.a
cd ..
```
- Install `x13as-bin` from the AUR ([link to PKGBUILD](https://aur.archlinux.org/packages/x13as-bin)), either by using your favorite AUR-helper or by following the [Arch wiki](https://wiki.archlinux.org/title/Arch_User_Repository)
- Prepare the Dynare sources:
```sh
git clone --recurse-submodules https://git.dynare.org/Dynare/dynare.git
cd dynare
```
- Configure Dynare from the source directory (adjust `matlab_path` if you use a different version than R2024a):
```sh
meson setup -Dmatlab_path=/usr/local/MATLAB/R2024a --buildtype=debugoptimized build-matlab
```
- Compile:
```sh
meson compile -C build-matlab
```
- Optionally, run the testsuite:
```sh
meson test -C build-matlab
```
If you run into errors with GCC libraries/`libstdc++`, you need to prevent MATLAB from using the libraries it is shipping. For example, you could follow the [OpenGL Section of the ArchWiki article on MATLAB](https://wiki.archlinux.org/title/MATLAB#OpenGL_acceleration) by setting/exporting `LD_PRELOAD` and `LD_LIBRARY` (the exports could also be placed in your `.zprofile`). If necessary, add `java.opts` as described in the section.
## Windows
- Install [MSYS2](http://www.msys2.org)
- Run a MSYS MinGW 64-bit shell
- Update the system:
```sh
pacman -Syu
```
You may be asked to close the window at the end of the
first upgrade batch, in which case you should rerun the upgrade in a new
window to complete the upgrade.
- Install all needed dependencies:
```sh
pacman -S git bison flex make tar mingw-w64-x86_64-meson mingw-w64-x86_64-gcc mingw-w64-x86_64-gcc-fortran mingw-w64-x86_64-boost mingw-w64-x86_64-gsl mingw-w64-x86_64-matio mingw-w64-x86_64-pkgconf
```
- Compile and install SLICOT
```sh
wget https://github.com/SLICOT/SLICOT-Reference/archive/refs/tags/v5.9.tar.gz
tar xf v5.9.tar.gz
cd SLICOT-Reference-5.9
make -f makefile_Unix FORTRAN=gfortran OPTS="-O2 -fno-underscoring -fdefault-integer-8" LOADER=gfortran lib
mkdir -p /usr/local/lib
cp slicot.a /usr/local/lib/libslicot64_pic.a
cd ..
```
- Prepare the Dynare sources, either by unpacking the source tarball, or with:
```sh
git clone --recurse-submodules https://git.dynare.org/Dynare/dynare.git
cd dynare
```
- Configure Dynare from the source directory:
```sh
meson setup -Dmatlab_path=<…> --buildtype=debugoptimized --prefer-static -Dfortran_args="['-B','C:/msys64/usr/local/lib']" build-matlab
```
where the path of MATLAB is specified. Note that you should use
the MSYS2 notation and not put spaces in the MATLAB path, so you probably want
to use something like `/c/Progra~1/MATLAB/…`. Alternatively, if your filesystem
does not have short filenames (8dot3), then you can run `mkdir -p
/usr/local/MATLAB && mount c:/Program\ Files/MATLAB /usr/local/MATLAB`, and
then pass `/usr/local/MATLAB/…` as MATLAB path to the configure script.
- Compile:
```sh
meson compile -C build-matlab
```
- Run the testsuite:
```sh
meson test -C build-matlab
```
**Note:** The above assumes that you have a 64-bit version of MATLAB. It can be
adapted to a 32-bit MATLAB with the following modifications:
- run the MSYS MinGW 32-bit shell
- replace `x86_64` by `i686` in packages names on the `pacman` command-line
- for SLICOT, remove the `-fdefault-integer-8` option, and instead copy the
library into `/usr/local/lib/libslicot_pic.a`
**Note:** Compiling the MEX files for Octave and the documentation under MSYS2 is
currently not supported.
## macOS
Dynare supports both Intel and Apple Silicon chips and is compiled from source
using a [Homebrew](https://brew.sh/) toolchain. If you have an Apple silicon processor
(*M1/M2 PRO/MAX/ULTRA*), you can compile Dynare both for Intel's `x86_64` (using Rosetta 2)
as well as Apple's native `arm64` platform by using the corresponding Homebrew packages.
If you have an Intel chip you can only compile for `x86_64`.
You can check the platform of your current Homebrew installation by e.g. running
`which brew` which should point to `/opt/homebrew/bin/brew` for `arm64` and to
`/usr/local/bin/brew` for `x86_64` systems. In the steps below, we
create a temporary environment variable `BREWDIR` to ensure that the correct packages are used.
The following commands install all requirements and Dynare from source.
They should be entered at the command prompt in Terminal.app.
### Preparatory work
- Install the Xcode Command Line Tools:
```sh
xcode-select --install
```
- Install Rosetta 2 (Apple Silicon only):
```sh
softwareupdate --install-rosetta --agree-to-license
```
- Install [Homebrew](https://brew.sh/):
Create environment variables for which platform you want to compile for, i.e. either `arm64` or `x86_64`:
For `arm64` run the following commands:
```sh
export ARCH=arm64
export BREWDIR=/opt/homebrew
```
For `x86_64` run the following commands:
```sh
export ARCH=x86_64
export BREWDIR=/usr/local
```
Install Homebrew using the environment variables:
```sh
arch -$ARCH /bin/bash -c "$(curl -fsSL https://raw.githubusercontent.com/Homebrew/install/HEAD/install.sh)"
```
The prefix `arch -arm64` or `arch -x86_64` makes sure that you are installing the correct packages.
Don't forget to run the displayed commands (**Next steps**) in the terminal to add Homebrew to your PATH.
If you have both Homebrew installations installed, make sure that you are accessing the correct packages by temporarily (!) prepending it to the path:
```sh
export PATH="$BREWDIR/bin:$PATH"
```
- Install required Homebrew packages:
```sh
arch -$ARCH $BREWDIR/bin/brew install meson bison flex boost gcc gsl libmatio veclibfort octave sphinx-doc docutils wget pkg-config git-lfs
```
If you are installing `git-lfs` for the first time, you need to run `git lfs install` once after installing it.
- Link the sphinx-doc package to be able to compile the documentation:
```sh
arch -$ARCH $BREWDIR/bin/brew link --force sphinx-doc
```
- Install [MacTeX](http://www.tug.org/mactex/index.html) using the universal installer, if you want to build the documentation. MacTeX runs natively on both ARM and Intel machines. On Apple Silicon, it is advised to symlink `pdflatex`, `bibtex` and `latexmk` into `/usr/local/bin`:
```sh
sudo ln -s /Library/TeX/texbin/pdflatex /usr/local/bin/pdflatex
sudo ln -s /Library/TeX/texbin/bibtex /usr/local/bin/bibtex
sudo ln -s /Library/TeX/texbin/latexmk /usr/local/bin/latexmk
```
If you don't have admin privileges, then you can also symlink them into `$HOME/.local/bin` and add this folder to your PATH.
- Install MATLAB and additional toolboxes.
We recommend, but don't require, the following: Optimization, Global Optimization, Statistics and Machine Learning, Econometrics, and Control System.
For Apple Silicon: MATLAB offers a native Apple silicon version (arm64) as of version R2023b, see [the official instructions](https://de.mathworks.com/support/requirements/apple-silicon.html) how to install it.
You can also run the Intel version (x86_64) under Rosetta 2.
Don't forget to run MATLAB at least once to make sure you have a valid license.
- Create a folder for Dynare and its dependencies
```sh
export DYNAREDIR=$HOME/dynare
```
- Compile and install SLICOT
```sh
mkdir -p $DYNAREDIR/slicot/lib
cd $DYNAREDIR/slicot
curl -O https://github.com/SLICOT/SLICOT-Reference/archive/refs/tags/v5.9.tar.gz
tar xf v5.9.tar.gz
cd SLICOT-Reference-5.9
make -f makefile_Unix -j$(sysctl -n hw.ncpu) FORTRAN=$BREWDIR/bin/gfortran OPTS="-O2" LOADER=gfortran lib
cp slicot.a $DYNAREDIR/slicot/lib/libslicot_pic.a
make clean
make -f makefile_Unix -j$(sysctl -n hw.ncpu) FORTRAN=$BREWDIR/bin/gfortran OPTS="-O2 -fdefault-integer-8" LOADER=gfortran lib
cp slicot.a $DYNAREDIR/slicot/lib/libslicot64_pic.a
```
- Compile and install the X-13ARIMA-SEATS Seasonal Adjustment Program
```sh
mkdir -p $DYNAREDIR/x13as
cd $DYNAREDIR/x13as
curl -O https://www2.census.gov/software/x-13arima-seats/x13as/unix-linux/program-archives/x13as_asciisrc-v1-1-b61.tar.gz
tar xf x13as_asciisrc-v1-1-b61.tar.gz
sed -i '' 's/-static//g' makefile.gf
make -j$(sysctl -n hw.ncpu) -f makefile.gf FC=$BREWDIR/bin/gfortran LINKER=$BREWDIR/bin/gcc-15 FFLAGS="-O2 -std=legacy" LDFLAGS=-static-libgcc LIBS="$BREWDIR/lib/gcc/current/libgfortran.a /$BREWDIR/lib/gcc/current/libquadmath.a" PROGRAM=x13as
sudo cp $DYNAREDIR/x13as/x13as /usr/local/bin/x13as
cd $DYNAREDIR
x13as
```
Alternatively, if you don't have admin privileges you can install it into `$HOME/.local/bin` and add this folder to your PATH.
### Compile Dynare from source
The following commands will download the Dynare source code and compile
it. They should be entered at the command prompt in Terminal.app from the
folder where you want Dynare installed.
- Prepare the Dynare sources for the unstable version:
```sh
git clone --recurse-submodules https://git.dynare.org/Dynare/dynare.git $DYNAREDIR/unstable
cd $DYNAREDIR/unstable
```
If you want a certain version (e.g. 5.x) , then add `--single-branch --branch 5.x` to the git clone command.
- Configure Dynare from the source directory:
```sh
export BUILDDIR=build-matlab
export MATLABPATH=/Applications/MATLAB_R2023b.app
arch -$ARCH meson setup --native-file macOS/homebrew-native-$ARCH.ini -Dmatlab_path=$MATLABPATH --buildtype=debugoptimized -Dfortran_args="['-B','$DYNAREDIR/slicot/lib']" $BUILDDIR
```
where you need to adapt the path to MATLAB.
Similarly, if you want to compile for Octave, replace the `-Dmatlab_path` option by `-Dbuild_for=octave`, and change the build directory to `build-octave`.
- Compile:
```sh
arch -$ARCH meson compile -C $BUILDDIR
```
If no errors occured, you are done. Dynare is now ready to use.
- If you additionally want to compile the documentation run:
```sh
arch -$ARCH meson compile -C $BUILDDIR doc
```
- Optionally, run the testsuite:
```sh
arch -$ARCH meson test -C $BUILDDIR --num-processes=$(sysctl -n hw.perflevel0.physicalcpu)
```
where `--num-processes` specifies the number of parallel processes to use for the testsuite (here set to the number of performance cores on your mac).
### Optional: pass the full PATH to MATLAB to run system commands
If you start MATLAB from a terminal, you will get the PATH inherited from the shell.
However, when you click on the application icon in macOS, you are not running at the terminal level:
the program is run by launcher, which does not go through a shell login session.
In other words, you get the system default PATH which includes `/usr/bin:/bin:/usr/sbin:/sbin`, but not `/usr/local/bin` or `$HOME/.local/bin`.
So if you want to use system commands like `pdflatex`, `latexmk` or `x13as` you should either call them by their full path (e.g `/Library/TeX/texbin/pdflatex`)
or append the PATH by running `setenv('PATH', [getenv('PATH') ':/usr/local/bin:$HOME/.local/bin:/Library/TeX/texbin']);` in your MATLAB command line once,
e.g. by adding this to your mod file. Alternatively, you can create a `startup.m` file or change the system default PATH in the `/etc/paths` file.
## Docker
We offer a variety of pre-configured Docker containers for Dynare, pre-configured with Octave and MATLAB including all recommended toolboxes.
These are readily available for your convenience on [Docker Hub](https://hub.docker.com/r/dynare/dynare).
The `scripts/docker` folder contains [information and instructions](scripts/docker/README.md) to interact, built and customize the containers.
configure.ac deleted 100644 → 0
View file @ ae0f83c3
dnl Process this file with autoconf to produce a configure script.
dnl Copyright (C) 2009-2012 Dynare Team
dnl
dnl This file is part of Dynare.
dnl
dnl Dynare is free software: you can redistribute it and/or modify
dnl it under the terms of the GNU General Public License as published by
dnl the Free Software Foundation, either version 3 of the License, or
dnl (at your option) any later version.
dnl
dnl Dynare is distributed in the hope that it will be useful,
dnl but WITHOUT ANY WARRANTY; without even the implied warranty of
dnl MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
dnl GNU General Public License for more details.
dnl
dnl You should have received a copy of the GNU General Public License
dnl along with Dynare. If not, see <http://www.gnu.org/licenses/>.
AC_PREREQ([2.62])
AC_INIT([dynare], [4.4-unstable])
AC_CONFIG_SRCDIR([preprocessor/DynareMain.cc])
AM_INIT_AUTOMAKE([1.11 -Wall -Werror foreign no-dist-gzip dist-xz tar-pax])
AC_PROG_CC
AC_PROG_CXX
AC_CANONICAL_HOST
case ${host_os} in
*mingw32*)
# On mingw32, we don't want dynamic libgcc
# Note that static-libstdc++ is only supported since GCC 4.5 (but generates no error on older versions)
LDFLAGS="$LDFLAGS -static-libgcc -static-libstdc++ -static-libgfortran"
have_windows="yes"
;;
*cygwin*)
AC_MSG_WARN([You are compiling for the Cygwin target. This means that the preprocessor will])
AC_MSG_WARN([not run from MATLAB unless you add the Cygwin DLL to the path.])
AC_MSG_WARN([This is probably not what you want. Consider using a MinGW cross-compiler.])
if test "x$F77" = "x"; then
# On Cygwin 1.7, g77 comes has version 3, and is not compatible with default gcc/g++ which has version 4
# And by default, the AC_PROG_F77 will pick up g77 if it is present (even if gfortran is also here)
F77=gfortran
fi
have_windows="yes"
;;
esac
# Use C++ for testing headers
AC_LANG([C++])
CXXFLAGS="$CXXFLAGS -Wall -Wno-parentheses"
# If default 'ar' is not available, try to find one with a host prefix (see ticket #145)
AC_CHECK_PROGS([AR], [ar ${host_alias}-ar])
AC_PROG_RANLIB
AX_PROG_LN_S
AC_PROG_MKDIR_P
AM_PROG_LEX
AC_CHECK_PROG([YACC], [bison], [bison])
if test "x$YACC" = "x"; then
unset YACC # AM_MISSING_PROG needs an unset variable: an empty variable won't do
AM_MISSING_PROG([YACC], [bison])
fi
# We need 1.36 because of unordered_{set,hash} used by Dynare++
AX_BOOST_BASE([1.36])
CPPFLAGS_SAVED="$CPPFLAGS"
CPPFLAGS="$CPPFLAGS $BOOST_CPPFLAGS"
AC_CHECK_HEADERS([boost/graph/adjacency_list.hpp], [], [AC_MSG_ERROR([Can't find Boost Graph Library])])
AC_CHECK_HEADERS([boost/algorithm/string/trim.hpp], [], [AC_MSG_ERROR([Can't find Boost String Library])])
AC_CHECK_HEADERS([boost/algorithm/string/split.hpp], [], [AC_MSG_ERROR([Can't find Boost String Library])])
AC_CHECK_HEADERS([boost/lexical_cast.hpp], [], [AC_MSG_ERROR([Can't find Boost Lexical Cast Header])])
CPPFLAGS="$CPPFLAGS_SAVED"
# Don't use deprecated hash structures
AC_DEFINE([BOOST_NO_HASH], [], [Don't use deprecated STL hash structures])
# Check for dlopen(), needed by tests for estimation DLL
AC_CHECK_LIB([dl], [dlopen], [LIBADD_DLOPEN="-ldl"], [])
AC_SUBST([LIBADD_DLOPEN])
AC_CHECK_PROG([MAKEINFO], [makeinfo], [makeinfo])
AC_CHECK_PROG([PDFTEX], [pdftex], [pdftex])
AM_CONDITIONAL([HAVE_PDFTEX], [test "x$PDFTEX" != "x"])
AC_CHECK_PROG([PDFETEX], [pdfetex], [pdfetex])
AM_CONDITIONAL([HAVE_PDFETEX], [test "x$PDFETEX" != "x"])
if test "x$PDFTEX" != "x"; then
AC_MSG_CHECKING([for eplain])
AX_TEX_TEST([\input eplain
\end
], [ax_tex_have_eplain])
AC_MSG_RESULT([$ax_tex_have_eplain])
fi
AM_CONDITIONAL([HAVE_EPLAIN], [test "x$ax_tex_have_eplain" = "xyes"])
AC_CHECK_PROG([PDFLATEX], [pdflatex], [pdflatex])
AM_CONDITIONAL([HAVE_PDFLATEX], [test "x$PDFLATEX" != "x"])
AC_CHECK_PROG([BIBTEX], [bibtex], [bibtex])
AM_CONDITIONAL([HAVE_BIBTEX], [test "x$BIBTEX" != "x"])
AC_CHECK_PROG([TEXI2HTML], [texi2html], [texi2html])
AM_CONDITIONAL([HAVE_TEXI2HTML], [test "x$TEXI2HTML" != "x"])
AC_CHECK_PROG([LATEX2HTML], [latex2html], [latex2html])
AM_CONDITIONAL([HAVE_LATEX2HTML], [test "x$LATEX2HTML" != "x"])
if test "x$PDFLATEX" != "x" -a "x$BIBTEX" != "x"; then
AC_MSG_CHECKING([for econometrica BST])
AX_LATEX_BIBTEX_TEST([\documentclass{article}
\begin{document}
\cite{Juillard1996}
\bibliography{conftest}
\bibliographystyle{econometrica}
\end{document}
], [@techreport{Juillard1996,
Author = {Juillard, Michel},
Institution = {CEPREMAP},
Number = {9602},
Title = {Dynare : a program for the resolution and simulation of dynamic models with forward variables through the use of a relaxation algorithm},
Type = {CEPREMAP working papers},
Year = {1996}}
], [ax_latex_have_econometrica])
AC_MSG_RESULT([$ax_latex_have_econometrica])
AX_LATEX_CLASS([beamer], [ax_latex_have_beamer])
fi
AM_CONDITIONAL([HAVE_ECONOMETRICA], [test "x$ax_latex_have_econometrica" = "xyes"])
AM_CONDITIONAL([HAVE_BEAMER], [test "x$ax_latex_have_beamer" = "xyes"])
AC_CHECK_PROG([DOXYGEN], [doxygen], [doxygen])
AM_CONDITIONAL([HAVE_DOXYGEN], [test "x$DOXYGEN" != "x"])
AC_CHECK_PROG([OCTAVE], [octave], [octave])
AM_CONDITIONAL([HAVE_OCTAVE], [test "x$OCTAVE" != "x"])
AC_CHECK_PROG([CTANGLE], [ctangle], [ctangle])
AM_CONDITIONAL([HAVE_CTANGLE], [test "x$CTANGLE" != "x"])
if test "x$CTANGLE" = "x"; then
unset CTANGLE # AM_MISSING_PROG needs an unset variable: an empty variable won't do
AM_MISSING_PROG([CTANGLE], [ctangle])
fi
AC_CHECK_PROG([CWEAVE], [cweave], [cweave])
AM_CONDITIONAL([HAVE_CWEAVE], [test "x$CWEAVE" != "x"])
AC_PROG_F77
AC_F77_LIBRARY_LDFLAGS
# Hack to get static linking of libgfortran on MinGW
# (-static-libgfortran doesn't act on gcc/g++)
case ${host_os} in
*mingw32*)
FLIBS=`echo $FLIBS | sed 's/-lgfortran/-Wl,-Bstatic -lgfortran -Wl,-Bdynamic/'`
;;
esac
if test "x$F77" != "x"; then
AX_BLAS
AX_LAPACK
fi
AM_CONDITIONAL([HAVE_BLAS], [test x"$ax_blas_ok" = "xyes"])
AM_CONDITIONAL([HAVE_LAPACK], [test x"$ax_lapack_ok" = "xyes"])
AX_PTHREAD
AC_CONFIG_FILES([Makefile
preprocessor/macro/Makefile
preprocessor/Makefile
doc/Makefile
doc/preprocessor/Makefile
doc/macroprocessor/Makefile
doc/userguide/Makefile
doc/parallel/Makefile
doc/internals/Makefile
doc/gsa/Makefile
tests/Makefile
matlab/dynare_version.m
windows/dynare-version.nsi
dynare++/Makefile
dynare++/parser/cc/Makefile
dynare++/sylv/Makefile
dynare++/sylv/cc/Makefile
dynare++/sylv/testing/Makefile
dynare++/tl/Makefile
dynare++/tl/cc/Makefile
dynare++/tl/testing/Makefile
dynare++/doc/Makefile
dynare++/utils/cc/Makefile
dynare++/integ/Makefile
dynare++/integ/cc/Makefile
dynare++/integ/src/Makefile
dynare++/integ/testing/Makefile
dynare++/kord/Makefile
dynare++/src/Makefile
mex/sources/Makefile
mex/sources/estimation/Makefile
mex/sources/estimation/tests/Makefile
mex/sources/estimation/libmat/Makefile
mex/sources/estimation/libmat/tests/Makefile
])
AC_ARG_ENABLE([matlab], AS_HELP_STRING([--disable-matlab], [disable compilation of MEX files for MATLAB]), [], [enable_matlab=yes])
if test "x$enable_matlab" = "xyes"; then
AC_CONFIG_SUBDIRS([mex/build/matlab])
AX_MATLAB
fi
AM_CONDITIONAL([ENABLE_MATLAB], [test "x$enable_matlab" = "xyes"])
AM_CONDITIONAL([HAVE_CMD_LINE_MATLAB], [test "x$ax_enable_matlab" = "xyes" -a "x$have_windows" = "x"])
AC_ARG_ENABLE([octave], AS_HELP_STRING([--disable-octave], [disable compilation of MEX files for Octave]), [], [enable_octave=yes])
if test "x$enable_octave" = "xyes"; then
AC_CONFIG_SUBDIRS([mex/build/octave])
fi
AM_CONDITIONAL([ENABLE_OCTAVE], [test "x$enable_octave" = "xyes"])
# Enable exporting of Org files
# The clean way would be to test for Emacs, Org-mode, latex, dvipng...
AC_ARG_ENABLE([org-export], AS_HELP_STRING([--enable-org-export], [enable exporting of Org files (requires Emacs, org-mode and other external programs)]))
AM_CONDITIONAL([ENABLE_ORG_EXPORT], [test "x$enable_org_export" != "x"])
# Construct final output message
BUILD_PREPROCESSOR="yes"
if test "x$ax_blas_ok" = "xyes" -a "x$ax_lapack_ok" = "xyes"; then
if test x"$ax_pthread_ok" = "xyes"; then
BUILD_DYNAREPLUSPLUS="yes"
else
BUILD_DYNAREPLUSPLUS="yes (without POSIX threads)"
fi
else
BUILD_DYNAREPLUSPLUS="no (missing one of: BLAS, LAPACK)"
fi
if test "x$CWEAVE" != "x" -a x"$PDFTEX" != "x" -a "x$ax_tex_have_eplain" = "xyes"; then
BUILD_DYNAREPLUSPLUS_SRCDOC="yes"
else
BUILD_DYNAREPLUSPLUS_SRCDOC="no (missing one of: cweave, pdftex, eplain)"
fi
if test "x$PDFLATEX" != "x" -a "x$BIBTEX" != "x" -a "x$ax_latex_have_econometrica" = "xyes"; then
BUILD_DYNARE_USERGUIDE="yes"
else
BUILD_DYNARE_USERGUIDE="no (missing one of: pdflatex, bibtex, econometrica BST)"
fi
if test "x$PDFLATEX" != "x" -a "x$ax_latex_have_beamer" = "xyes"; then
BUILD_BEAMER_DOC="yes"
else
BUILD_BEAMER_DOC="no (missing one of: pdflatex, beamer)"
fi
if test "x$PDFLATEX" != "x"; then
BUILD_OTHER_PDF_DOC="yes"
else
BUILD_OTHER_PDF_DOC="no (missing pdflatex)"
fi
if test "x$DOXYGEN" != "x"; then
BUILD_DYNARE_PREPROC_DOC="yes"
else
BUILD_DYNARE_PREPROC_DOC="no (missing doxygen)"
fi
if test "x$enable_org_export" != "x"; then
BUILD_DYNARE_INTERNAL_DOC="yes"
else
BUILD_DYNARE_INTERNAL_DOC="no (Org export not enabled)"
fi
if test "x$MAKEINFO" != "x"; then
BUILD_DYNARE_INFO="yes"
if test "x$TEXI2HTML" != "x" -a "x$LATEX2HTML" != "x"; then
BUILD_DYNARE_HTML_MANUAL="yes"
else
BUILD_DYNARE_HTML_MANUAL="yes (but with ugly math formulas, missing texi2html or latex2html)"
fi
BUILD_DYNARE_PDF_MANUAL="yes"
else
BUILD_DYNARE_INFO="no (missing makeinfo)"
BUILD_DYNARE_HTML_MANUAL="no (missing makeinfo)"
BUILD_DYNARE_PDF_MANUAL="no (missing makeinfo)"
fi
if test "x$OCTAVE" != "x"; then
TESTSUITE_OCTAVE="yes"
else
TESTSUITE_OCTAVE="no"
fi
if test "x$ax_blas_ok" = "xyes" -a "x$ax_lapack_ok" = "xyes"; then
TESTSUITE_DYNAREPLUSPLUS="yes"
else
TESTSUITE_DYNAREPLUSPLUS="no"
fi
AC_MSG_NOTICE([
Dynare is now configured for building the following components...
Binaries (with "make"):
Dynare preprocessor: $BUILD_PREPROCESSOR
Dynare++: $BUILD_DYNAREPLUSPLUS
PDF documentation (with "make pdf"):
Dynare reference manual: $BUILD_DYNARE_PDF_MANUAL
Dynare user guide: $BUILD_DYNARE_USERGUIDE
Dynare++ developer documentation: $BUILD_DYNAREPLUSPLUS_SRCDOC
Beamer presentations: $BUILD_BEAMER_DOC
Various other documents: $BUILD_OTHER_PDF_DOC
HTML documentation (with "make html"):
Dynare reference manual: $BUILD_DYNARE_HTML_MANUAL
Dynare preprocessor developer doc: $BUILD_DYNARE_PREPROC_DOC
Dynare internal doc: $BUILD_DYNARE_INTERNAL_DOC
Info documentation (with "make info"): $BUILD_DYNARE_INFO
Testsuites (run with "make check"):
Dynare for Octave: $TESTSUITE_OCTAVE
Dynare++: $TESTSUITE_DYNAREPLUSPLUS
])
AC_OUTPUT
TZcode @ 4be47034
Subproject commit 35f6ad8d478cb7042d4523b9b636690757105a43
Subproject commit 4be470341a73bb22d58bb0d930ff624a5bf1a7f6
switch_dw @ 391689d9
Subproject commit 458d9a3f23927247a7b4c3967c4dceca108c40a8
Subproject commit 391689d9f1bea4bd68ef6641dc2dc4a1bd867850
utilities_dw @ ac6d0ae1
Subproject commit caaf4b6807d231d1f2cf611e6b9dc8afdc5dd2cf
Subproject commit ac6d0ae1b69cda26aa9486188d54c8c010f115c4
doc/AIM/Dynare AIM use Doc.html
View file @ d38bfd73
......@@ -79,7 +79,7 @@ p.footer {
</ul>
</div>
<h2>AIM Solver Subsystem<a name="1"></a></h2>
<p>The AIM subsystem in the AIM subdirectory of the main Dynare matlab directory contains Matlab functions necessary for using
<p>The AIM subsystem in the AIM subdirectory of the main Dynare matlab directory contains MATLAB functions necessary for using
Gary Anderson's AIM 1st order solver as an alternative to Dynare's default mjdgges solver (see <a href="http://www.federalreserve.gov/Pubs/oss/oss4/aimindex.html">http://www.federalreserve.gov/Pubs/oss/oss4/aimindex.html</a> ).
</p>
<p>It cosists of:</p>
......@@ -92,7 +92,7 @@ p.footer {
</div>
<div>
<ul>
<li>A subset of Matlab routines from Gary Anderson's own AIM package needed to compute and solve system passed on and returned
<li>A subset of MATLAB routines from Gary Anderson's own AIM package needed to compute and solve system passed on and returned
by dynAIMsolver1 whose names start with SP.. of which <b>SPAmalg.m</b> is the main driver:
</li>
</ul>
......@@ -215,7 +215,7 @@ p.footer {
can produce ~ one order closer results to the Dynare solutiion
then when if plain jacobia_ is passed,
i.e. diff &lt; e-14 for aa and diff &lt; *e-13 for jacobia_ if Q' is used.</pre><p>GP July 2008</p>
<p>part of DYNARE, copyright Dynare Team (1996-2008) Gnu Public License.</p>
<p>part of Dynare, copyright Dynare Team (1996-2008) Gnu Public License.</p>
<p class="footer"><br>
Published with MATLAB&reg; 7.1<br></p>
</div>
......@@ -225,7 +225,7 @@ p.footer {
%% AIM Solver Subsystem
% The AIM subsystem in the AIM subdirectory of the main Dynare matlab
% directory contains Matlab functions necessary for using
% directory contains MATLAB functions necessary for using
% Gary Anderson's AIM 1st order solver as an alternative to Dynare's default mjdgges solver (see http://www.federalreserve.gov/Pubs/oss/oss4/aimindex.html ).
%
% It cosists of:
......@@ -236,7 +236,7 @@ p.footer {
% gu=dr.hgu from the AIM outputs. ("1" in the title is for 1st order
% solver).
%
% * A subset of Matlab routines from Gary Anderson's own AIM package needed to compute
% * A subset of MATLAB routines from Gary Anderson's own AIM package needed to compute
% and solve system passed on and returned by dynAIMsolver1 whose names start with SP..
% of which *SPAmalg.m* is the main driver:
%
......@@ -394,7 +394,7 @@ p.footer {
%
% GP July 2008
%
% part of DYNARE, copyright Dynare Team (1996-2008)
% part of Dynare, copyright Dynare Team (1996-2008)
% Gnu Public License.
##### SOURCE END #####
......
doc/AIM/Dynare AIM use Doc.mht
View file @ d38bfd73
......@@ -111,7 +111,7 @@ demia/Economics/Dynare%20DSGE/V4/doc/AIM/Dynare%20AIM%20use%20Doc.html#11=
<H2>AIM Solver Subsystem<A name=3D1></A></H2>
<P>The AIM subsystem in the AIM subdirectory of the main Dynare matlab =
directory=20
contains Matlab functions necessary for using Gary Anderson's AIM 1st =
contains MATLAB functions necessary for using Gary Anderson's AIM 1st =
order=20
solver as an alternative to Dynare's default mjdgges solver (see <A=20
href=3D"http://www.federalreserve.gov/Pubs/oss/oss4/aimindex.html">http:/=
......@@ -129,7 +129,7 @@ AIM outputs.=20
("1" in the title is for 1st order solver). </LI></UL></DIV>
<DIV>
<UL>
<LI>A subset of Matlab routines from Gary Anderson's own AIM package =
<LI>A subset of MATLAB routines from Gary Anderson's own AIM package =
needed to=20
compute and solve system passed on and returned by dynAIMsolver1 whose =
names=20
......@@ -328,7 +328,7 @@ forward looking models, passing into dynAIMsolver aa =3D{Q'|1}*jacobia_
i.e. diff &lt; e-14 for aa and diff &lt; *e-13 for jacobia_ if Q' =
is used.</PRE>
<P>GP July 2008</P>
<P>part of DYNARE, copyright Dynare Team (1996-2008) Gnu Public =
<P>part of Dynare, copyright Dynare Team (1996-2008) Gnu Public =
License.</P>
<P class=3Dfooter><BR>Published with MATLAB=C2=AE 7.1<BR></P></DIV><!--=0A=
##### SOURCE BEGIN #####=0A=
......@@ -336,7 +336,7 @@ License.</P>
%% AIM Solver Subsystem
% The AIM subsystem in the AIM subdirectory of the main Dynare matlab
% directory contains Matlab functions necessary for using
% directory contains MATLAB functions necessary for using
% Gary Anderson's AIM 1st order solver as an alternative to Dynare's =
default mjdgges solver (see =
http://www.federalreserve.gov/Pubs/oss/oss4/aimindex.html ).=20
......@@ -351,7 +351,7 @@ subsystem.=20
% gu=3Ddr.hgu from the AIM outputs. ("1" in the title is for 1st order
% solver).
%
% * A subset of Matlab routines from Gary Anderson's own AIM package =
% * A subset of MATLAB routines from Gary Anderson's own AIM package =
needed to compute
% and solve system passed on and returned by dynAIMsolver1 whose names =
start with SP..=20
......@@ -544,7 +544,7 @@ used. =20
%
% GP July 2008 =20
%
% part of DYNARE, copyright Dynare Team (1996-2008)
% part of Dynare, copyright Dynare Team (1996-2008)
% Gnu Public License.
=0A=
##### SOURCE END #####=0A=
......