.clang-format

@@ -8,6 +8,12 @@
 #  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
@@ -23,7 +29,8 @@ InsertNewlineAtEOF: true
 PackConstructorInitializers: NextLine
 PPIndentWidth: 1
 PointerAlignment: Left
-RemoveSemicolon: true
+# RemoveParentheses: ReturnStatement
+# RemoveSemicolon: true
 SpaceAfterTemplateKeyword: false
 SpaceBeforeParens: ControlStatements
 SpaceBeforeCpp11BracedList: true

.gitlab-ci.yml

@@ -188,7 +188,7 @@ 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-16 ~/.local/bin/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

NEWS.md

+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)
 ===========================================
 

README.md

@@ -104,13 +104,13 @@ If you want a certain version (e.g. 5.x) , then add `--single-branch --branch 5.
 
 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 -Dbuildtype=debugoptimized build-matlab
+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 -Dbuildtype=debugoptimized build-octave
+meson setup -Dbuild_for=octave --buildtype=debugoptimized build-octave
 ```
 The build directory will thus be `build-octave`.
 
@@ -273,7 +273,7 @@ Now use the following commands if using MATLAB (adapt them for Octave, see above
 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']" -Dbuildtype=debugoptimized build-matlab
+meson setup -Dmatlab_path=/usr/local/MATLAB/R2023b -Dfortran_args="[ '-B', '/home/$USER/dynare/slicot']" --buildtype=debugoptimized build-matlab
 meson compile -C build-matlab
 ```
 
@@ -318,7 +318,7 @@ 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 -Dbuildtype=debugoptimized build-matlab  
+meson setup -Dmatlab_path=/usr/local/MATLAB/R2024a --buildtype=debugoptimized build-matlab
 ```
 - Compile:
 ```sh
@@ -362,7 +362,7 @@ cd dynare
 ```
 - Configure Dynare from the source directory:
 ```sh
-meson setup -Dmatlab_path=<…> -Dbuildtype=debugoptimized -Dprefer_static=true -Dfortran_args="['-B','/usr/local/lib']" build-matlab
+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
@@ -520,7 +520,7 @@ If you want a certain version (e.g. 5.x) , then add `--single-branch --branch 5.
 ```sh
 export BUILDDIR=build-matlab
 export MATLABPATH=/Applications/MATLAB_R2023b.app
-arch -$ARCH meson setup --native-file macOS/homebrew-native-$ARCH.ini -Dmatlab_path=$MATLABPATH -Dbuildtype=debugoptimized -Dfortran_args="['-B','$DYNAREDIR/slicot/lib']" $BUILDDIR
+arch -$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`.

doc/manual/source/bibliography.rst

@@ -65,7 +65,7 @@ Bibliography
 * Koopman, S. J. and J. Durbin (2003): “Filtering and Smoothing of State Vector for Diffuse State Space Models,” *Journal of Time Series Analysis*, 24(1), 85–98.
 * Kuntsevich, Alexei V. and Franz Kappel (1997): “SolvOpt - The solver for local nonlinear optimization problems (version 1.1, Matlab, C, FORTRAN)”, University of Graz, Graz, Austria.
 * Laffargue, Jean-Pierre (1990): “Résolution d’un modèle macroéconomique avec anticipations rationnelles”, *Annales d’Économie et Statistique*, 17, 97–119.
-* Liu, Jane and Mike West (2001): “Combined parameter and state estimation in simulation-based filtering”, in *Sequential Monte Carlo Methods in Practice*, Eds. Doucet, Freitas and Gordon, Springer Verlag.
+* Liu, Jane and Mike West (2001): “Combined parameter and state estimation in simulation-based filtering”, in *Sequential Monte Carlo Methods in Practice*, Eds. Doucet, Freitas and Gordon, Springer Verlag, Chapter 10, 197-223.
 * Murray, Lawrence M., Emlyn M. Jones and John Parslow (2013): “On Disturbance State-Space Models and the Particle Marginal Metropolis-Hastings Sampler”, *SIAM/ASA Journal on Uncertainty Quantification*, 1, 494–521.
 * Mutschler, Willi (2015): “Identification of DSGE models - The effect of higher-order approximation and pruning“, *Journal of Economic Dynamics & Control*, 56, 34-54.
 * Mutschler, Willi (2018): “Higher-order statistics for DSGE models”, *Econometrics and Statistics*, 6(C), 44-56.

doc/manual/source/conf.py

 # -*- coding: utf-8 -*-
 
-# Copyright © 2018-2024 Dynare Team
+# Copyright © 2018-2025 Dynare Team
 #
 # This file is part of Dynare.
 #
@@ -34,7 +34,7 @@ html_static_path = ['_static']
 master_doc = 'index'
 
 project = u'Dynare'
-copyright = u'1996–2024 Dynare Team'
+copyright = u'1996–2025 Dynare Team'
 author = u'Dynare Team'
 
 add_function_parentheses = False

doc/manual/source/index.rst

@@ -26,7 +26,7 @@ The following people used to be members of the team:
 * Ferhat Mihoubi
 * George Perendia
 
-Copyright © 1996-2024, Dynare Team.
+Copyright © 1996-2025, Dynare Team.
 
 Permission is granted to copy, distribute and/or modify this document under the terms of the GNU Free Documentation License, Version 1.3 or any later version published by the Free Software Foundation; with no Invariant Sections, no Front-Cover Texts, and no Back-Cover Texts.
 

doc/manual/source/installation-and-configuration.rst

@@ -15,7 +15,7 @@ compilation steps are necessary in that case.
 In order to run Dynare, you need one of the following:
 
 * MATLAB, any version ranging from 9.5 (R2018b) to 24.2 (R2024b);
-* GNU Octave, any version ranging from 7.1.0 to 9.2.0, with the ``statistics`` package
+* GNU Octave, any version ranging from 7.1.0 to 9.4.0, with the ``statistics`` package
   from `Octave-Forge`_. Note however that the Dynare installer for Windows
   requires a more specific version of Octave, as indicated on the download
   page.
@@ -23,8 +23,17 @@ In order to run Dynare, you need one of the following:
 The following optional extensions are also useful to benefit from
 extra features, but are in no way required:
 
-* If under MATLAB: the Optimization Toolbox, the Statistics Toolbox,
-  the Control System Toolbox;
+* If under MATLAB: the 
+
+  * Optimization Toolbox (providing various optimizers 
+    like ``fminsearch``, ``fmincon``, or ``fminunc``, used in e.g. ``mode_compute``,
+    ``opt_algo`` or ``ALGO``), 
+  * Statistics Toolbox (for faster and sometimes more robust implementations of 
+    statistical distributions), 
+  * Global Optimization Toolbox (for ``particleswarm`` and ``simulannealbnd``, used in 
+    e.g. ``mode_compute``, ``opt_algo`` or ``ALGO``)
+  * Control System Toolbox (for the Lyapunov solver ``dlyapchol`` triggered with ``lyapunov=square_root_solver``)
+  * Parallel Computing Toolbox (to speed up the ``dime`` sampler)
 
 * If under Octave, the following `Octave-Forge`_ packages: ``optim``, ``io``,
   ``control``.
@@ -91,6 +100,18 @@ Debian, Ubuntu and Linux Mint).
 On macOS
 --------
 
+.. warning::
+
+   Installing into ``/Applications/dynare`` might fail if you have older versions of Dynare already installed in ``/Applications/Dynare``.
+   To fix this, modify the ownership by executing the following command in Terminal.app::
+
+     sudo chown -R "$USER":staff /Applications/Dynare
+
+   Alternatively, you can modify the installation path in the automated installed using *Customize* and *Location*.
+   After installation, the folder will contain several sub-directories, among which are ``matlab``, ``mex``, and ``doc``.
+   Several versions of Dynare can coexist (by default in ``/Applications/Dynare``),
+   as long as you correctly adjust your path settings (see :ref:`words-warning`).
+
 With MATLAB
 ^^^^^^^^^^^
 
@@ -100,15 +121,6 @@ and follow the instructions.
 This installation does not require administrative privileges.
 If for some reason admin rights are requested, use *Change Install Location* and select *Install for me only*.
 The default installation directory is ``/Applications/Dynare/x.y-arch``.
-Installing into ``/Applications/dynare`` might fail if you have older versions of Dynare already installed in ``/Applications/Dynare``.
-To fix this, modify the ownership by executing the following command in Terminal.app::
-
-  sudo chown -R "$USER":staff /Applications/Dynare
-
-Alternatively, you can modify the installation path in the automated installed using *Customize* and *Location*.
-After installation, the folder will contain several sub-directories, among which are ``matlab``, ``mex``, and ``doc``.
-Several versions of Dynare can coexist (by default in ``/Applications/Dynare``),
-as long as you correctly adjust your path settings (see :ref:`words-warning`).
 
 It is recommended to install the Xcode Command Line Tools (this is an Apple product)
 and GCC via Homebrew_ (see :ref:`prerequisites-macos`).
@@ -133,6 +145,8 @@ once)::
 
   octave:1> pkg install -forge io statistics control struct optim
 
+If you want to use the `x13` functionality of `dseries`, you also need to build the `x13as` binary. [#fx13]_
+
 On FreeBSD
 ----------
 
@@ -325,3 +339,8 @@ Dynare unusable.
 .. _Dynare wiki: https://git.dynare.org/Dynare/dynare/wikis
 .. _Octave-Forge: https://octave.sourceforge.io/
 .. _Homebrew: https://brew.sh
+
+
+.. rubric:: Footnotes
+
+.. [#fx13] See the instructions at `<https://forum.dynare.org/t/missing-installation-package/27350/4>`__.
\ No newline at end of file

doc/manual/utils/dynare_dom.py

@@ -97,7 +97,7 @@ class DynObject(ObjectDescription):
                 self.state_machine.reporter.warning(
                     'duplicate object description of %s, ' % fullname +
                     'other instance in ' +
-                    self.env.doc2path(objects[fullname][0]),line=self.lineno)
+                    str(self.env.doc2path(objects[fullname][0])),line=self.lineno)
             objects[fullname] = (self.env.docname, self.objtype)
 
         indextext = self.get_index_text(fullname,name_obj)
@@ -242,7 +242,7 @@ class DynSimpleObject(ObjectDescription):
                 self.state_machine.reporter.warning(
                     'duplicate object description of %s, ' % fullname +
                     'other instance in ' +
-                    self.env.doc2path(objects[fullname][0]), line=self.lineno)
+                    str(self.env.doc2path(objects[fullname][0])), line=self.lineno)
             objects[fullname] = self.env.docname, self.objtype
 
         indextext = self.get_index_text(fullname,name_obj)

license.txt

 Format: https://www.debian.org/doc/packaging-manuals/copyright-format/1.0/
 Upstream-Name: Dynare
-Upstream-Contact: Dynare Team, whose members in 2024 are:
+Upstream-Contact: Dynare Team, whose members in 2025 are:
                   - Stéphane Adjemian <stephane.adjemian@univ-lemans.fr>
                   - Michel Juillard <michel.juillard@mjui.fr>
                   - Frédéric Karamé <frederic.karame@univ-lemans.fr>
@@ -23,7 +23,7 @@ Upstream-Contact: Dynare Team, whose members in 2024 are:
 Source: https://www.dynare.org
 
 Files: *
-Copyright: 1996-2024 Dynare Team
+Copyright: 1996-2025 Dynare Team
 License: GPL-3+
 
 Files: matlab/+occbin/IVF_core.m
@@ -97,7 +97,7 @@ License: GPL-3+
 
 Files: matlab/optimization/cmaes.m
 Copyright: 2001-2012 Nikolaus Hansen
-           2012-2017 Dynare Team
+           2012-2023 Dynare Team
 License: GPL-3+
 
 Files: matlab/optimization/solvopt.m
@@ -173,7 +173,7 @@ Comment: The author gave authorization to redistribute
 Files: matlab/+gsa/Morris_Measure_Groups.m
        matlab/+gsa/Sampling_Function_2.m
 Copyright: 2005 European Commission
-           2012-2013 Dynare Team
+           2012-2023 Dynare Team
 License: GPL-3+
 Comment: Written by Jessica Cariboni and Francesca Campolongo
  Joint Research Centre, The European Commission,
@@ -220,14 +220,14 @@ License: GPL-3+
 
 Files: matlab/missing/stats/quantile.m
 Copyright: 2014-2016 Christopher Hummersone
-           2016-2017 Dynare Team
+           2016-2023 Dynare Team
 License: GPL-3+
 
 Files: matlab/missing/stats/corr.m
 Copyright: 1993-1996 Kurt Hornik
            1996-2015 John W. Eaton
            2013-2015 Julien Bect
-           2016-2017 Dynare Team
+           2016-2023 Dynare Team
 License: GPL-3+
 
 Files: matlab/lmmcp/catstruct.m
@@ -260,7 +260,7 @@ Copyright: 2000-2022 Frank Schorfheide
 License: CC-BY-SA-4.0
 
 Files: doc/*.rst doc/*.tex doc/*.svg doc/*.pdf doc/*.bib
-Copyright: 1996-2022 Dynare Team
+Copyright: 1996-2025 Dynare Team
 License: GFDL-NIV-1.3+
 
 Files: doc/dr.tex doc/dr.bib
@@ -278,14 +278,14 @@ License: GPL-3+
 
 Files: scripts/dynare.el
 Copyright: 2010 Yannick Kalantzis
-           2019-2023 Dynare Team
+           2019-2025 Dynare Team
 License: GPL-3+
 
 Files: mex/sources/gensylv/gensylv.cc
        mex/sources/libkorder/kord/* mex/sources/libkorder/sylv/*
        mex/sources/libkorder/tl/* mex/sources/libkorder/utils/*
 Copyright: 2004-2011 Ondra Kamenik
-           2019-2023 Dynare Team
+           2019-2025 Dynare Team
 License: GPL-3+
 
 Files: mex/sources/sobol/sobol.f08
@@ -294,11 +294,11 @@ Copyright: 2004-2009 John Burkardt
 License: LGPL-3+
 
 Files: preprocessor/doc/macroprocessor/*
-Copyright: 2008-2021 Dynare Team
+Copyright: 2008-2024 Dynare Team
 License: CC-BY-SA-4.0
 
 Files: preprocessor/doc/preprocessor/*
-Copyright: 2007-2019 Dynare Team
+Copyright: 2007-2023 Dynare Team
 License: CC-BY-SA-4.0
 
 Files: contrib/ms-sbvar/utilities_dw/*

macOS/build.sh

@@ -70,7 +70,7 @@ ln -s "$BREWDIR"/opt/gcc/lib/gcc/"$GCC_VERSION"/libquadmath.a "$QUADMATH_DIR"
 cd "$ROOTDIR"
 
 # NB: the addition of -Wl,-ld_classic is a workaround for https://github.com/mesonbuild/meson/issues/12282 (see also the native file)
-common_meson_opts=(-Dbuild_for=matlab -Dbuildtype=release -Dprefer_static=true -Dfortran_args="[ '-B', '$LIB64/Slicot/' ]" \
+common_meson_opts=(-Dbuild_for=matlab --buildtype=release --prefer-static -Dfortran_args="[ '-B', '$LIB64/Slicot/' ]" \
                    -Dc_link_args="[ '-Wl,-ld_classic', '-L$QUADMATH_DIR' ]" -Dcpp_link_args="[ '-Wl,-ld_classic', '-L$QUADMATH_DIR' ]" -Dfortran_link_args="[ '-Wl,-ld_classic', '-L$QUADMATH_DIR' ]" \
                    --native-file macOS/homebrew-native-$PKG_ARCH.ini)
 

matlab/+gsa/run.m

@@ -360,7 +360,7 @@ if options_gsa.redform && ~isempty(options_gsa.namendo)
         if isempty(options_gsa.threshold_redform) && ~(exist('gsa_sdp','file')==6 || exist('gsa_sdp','file')==2)
             fprintf('\nThe "SS-ANOVA-R: MATLAB Toolbox for the estimation of Smoothing Spline ANOVA models with Recursive algorithms" is missing.\n')
             fprintf('To obtain it, go to:\n\n')
-            fprintf('https://ec.europa.eu/jrc/en/macro-econometric-statistical-software/ss-anova-r-downloads \n\n')
+            fprintf('https://joint-research-centre.ec.europa.eu/system/files/2025-01/ss_anova_recurs.zip \n\n')
             fprintf('and follow the instructions there.\n')
             fprintf('After obtaining the files, you need to unpack them and set a Matlab Path to those files.\n')
             error('SS-ANOVA-R Toolbox missing!')

matlab/+gsa/stability_mapping.m

@@ -92,6 +92,10 @@ xparam1=[];
 [~,~,~,lb,ub] = set_prior(estim_params_,M_,options_); %Prepare bounds
 if ~isempty(bayestopt_) && any(bayestopt_.pshape > 0)
     % Set prior bounds
+    if options_.prior_trunc==0
+        fprintf('\nstability_mapping: GSA with priors requires bounded support. Setting options_.prior_trunc=1e-10.\n')
+        options_.prior_trunc=1e-10;
+    end
     bounds = prior_bounds(bayestopt_, options_.prior_trunc);
     bounds.lb = max(bounds.lb,lb);
     bounds.ub = min(bounds.ub,ub);

matlab/+identification/analysis.m

@@ -297,6 +297,15 @@ if info(1) == 0 %no errors in solution
                 options_.analytic_derivation     = -2; %this sets asy_Hess=1 in dsge_likelihood.m                
                 [info, oo_, options_, M_] = stoch_simul(M_, options_, oo_, options_.varobs);
                 dataset_ = dseries(oo_.endo_simul(options_.varobs_id,100+1:end)',dates('1Q1'), options_.varobs); %get information on moments
+                % set info on missing data
+                if dataset_info.missing.state
+                    [dataset_info.missing.aindex, dataset_info.missing.number_of_observations, dataset_info.missing.no_more_missing_observations, dataset_info.missing.vindex] = ...
+                        describe_missing_data(dataset_.data);
+                else
+                    dataset_info.missing.aindex = num2cell(transpose(repmat(1:dataset_.vobs,dataset_.nobs,1)),1);
+                    dataset_info.missing.no_more_missing_observations = 1;
+                end
+
                 derivatives_info.no_DLIK = 1;
                 bounds = prior_bounds(bayestopt_, options_.prior_trunc); %reset bounds as lb and ub must only be operational during mode-finding 
                 %note that for order>1 we do not provide any information on DT,DYss,DOM in derivatives_info, such that dsge_likelihood creates an error. Therefore the computation will be based on simulated_moment_uncertainty for order>1.

matlab/+identification/run.m

@@ -240,7 +240,7 @@ end
 
 % check for external draws, i.e. set pdraws0 for a gsa analysis
 if options_ident.gsa_sample_file
-    GSAFolder = checkpath('gsa',dname);
+    GSAFolder = CheckPath('gsa',dname);
     if options_ident.gsa_sample_file==1
         load([GSAFolder,filesep,fname,'_prior'],'lpmat','lpmat0','istable');
     elseif options_ident.gsa_sample_file==2
@@ -485,7 +485,7 @@ if iload <=0
             kk=0;
             while kk<50 && info(1)
                 kk=kk+1;
-                params = Prior.draw();
+                params = Prior.draw()'; %column vector is expected
                 options_ident.tittxt = 'Random_prior_params'; %title text for graphs and figures
                 % perform identification analysis
                 [ide_moments_point, ide_spectrum_point, ide_minimal_point, ide_hess_point, ide_reducedform_point, ide_dynamic_point, ~, info, error_indicator_point] = ...
@@ -504,7 +504,10 @@ if iload <=0
         else
             % found a (random) point that solves the model
             fprintf('Found a random draw from the priors that solves the model:\n');
-            disp(params);
+            labels = name;
+            headers = {'Name', 'Value'};
+            lh = cellofchararraymaxlength(labels)+2;
+            dyntable(options_, 'Feasible draw', headers, labels, params', lh, 10, 6);
             fprintf('Identification now continues for this draw.');
             parameters = 'Random_prior_params';
             parameters_TeX = 'Random prior parameter draw';

matlab/+occbin/DSGE_smoother.m

@@ -85,7 +85,7 @@ if  options_.occbin.smoother.linear_smoother && nargin==12
     oo_.occbin.linear_smoother.alphahat0=alphahat0;
     oo_.occbin.linear_smoother.state_uncertainty0=state_uncertainty0;
 
-    fprintf('\nOccbin: linear smoother done.\n')
+    disp_verbose('Occbin: linear smoother done.',options_.verbosity)
     options_.occbin.smoother.status=true;
 end
 % if init_mode
@@ -123,22 +123,20 @@ occbin_options.opts_simul = opts_simul; % this builds the opts_simul options fie
 occbin_options.opts_regime.binding_indicator = options_.occbin.smoother.init_binding_indicator;
 occbin_options.opts_regime.regime_history=options_.occbin.smoother.init_regime_history;
 
-error_indicator=false;
 options_.noprint = true;
 
-try
-    %blanket try-catch should be replaced be proper error handling, see https://git.dynare.org/Dynare/dynare/-/merge_requests/2226#note_20318
-    [alphahat,etahat,epsilonhat,ahat,SteadyState,trend_coeff,aK,T0,R0,P,PK,decomp,Trend,state_uncertainty,oo_,bayestopt_,alphahat0,state_uncertainty0] = DsgeSmoother(xparam1,gend,Y,data_index,missing_value,M_,oo_,options_,bayestopt_,estim_params_,occbin_options);%     T1=TT;
-catch ME
-    error_indicator=true;
-    disp(ME.message)
-    for iter = 1:numel(ME.stack)
-        ME.stack(iter)
-    end
+[alphahat,etahat,epsilonhat,ahat,SteadyState,trend_coeff,aK,T0,R0,P,PK,decomp,Trend,state_uncertainty,oo_,bayestopt_,alphahat0,state_uncertainty0,~,error_indicator] = DsgeSmoother(xparam1,gend,Y,data_index,missing_value,M_,oo_,options_,bayestopt_,estim_params_,occbin_options);%     T1=TT;
+
+if error_indicator(1) || isempty(alphahat0)
+    if ~options_.occbin.smoother.linear_smoother || nargin~=12 %make sure linear smoother results are set before using them
+        options_.occbin.smoother.status=false;
+        [~,etahat,~,~,~,~,~,~,~,~,~,~,~,~,~,~,alphahat0] = ...
+            DsgeSmoother(xparam1,gend,Y,data_index,missing_value,M_,oo_,options_,bayestopt_,estim_params_);
+         options_.occbin.smoother.status=true;
+    else
+        etahat= oo_.occbin.linear_smoother.etahat;
+        alphahat0= oo_.occbin.linear_smoother.alphahat0;
     end
-if error_indicator || isempty(alphahat0)
-    etahat= oo_.occbin.linear_smoother.etahat;
-    alphahat0= oo_.occbin.linear_smoother.alphahat0;
     base_regime = struct();
     if M_.occbin.constraint_nbr==1
         base_regime.regime = 0;
@@ -173,7 +171,7 @@ occbin_options.first_period_occbin_update = inf;
 opts_regime.binding_indicator=[];
 regime_history0 = regime_history;
 
-fprintf('Occbin smoother iteration 1.\n')
+disp_verbose('Occbin smoother iteration 1.',options_.verbosity)
 opts_simul.SHOCKS = [etahat(:,1:end)'; zeros(1,M_.exo_nbr)];
 opts_simul.exo_pos = 1:M_.exo_nbr;
 opts_simul.endo_init = alphahat0(oo_.dr.inv_order_var,1);
@@ -182,8 +180,7 @@ opts_simul.periods = size(opts_simul.SHOCKS,1);
 options_.occbin.simul=opts_simul;
 [~, out, ss] = occbin.solver(M_,options_,oo_.dr,oo_.steady_state,oo_.exo_steady_state,oo_.exo_det_steady_state);
 if out.error_flag
-    fprintf('Occbin smoother:: simulation within smoother did not converge.\n')
-    print_info(out.error_flag, options_.noprint, options_)
+    disp_verbose('Occbin smoother:: simulation within smoother did not converge.',options_.verbosity)    
     oo_.occbin.smoother.error_flag=321;
     return;
 end
@@ -226,7 +223,7 @@ end
 
 while is_changed && maxiter>iter && ~is_periodic
     iter=iter+1;
-    fprintf('Occbin smoother iteration %u.\n', iter)
+    disp_verbose(sprintf('Occbin smoother iteration %u.', iter),options_.verbosity)
     occbin_options.opts_regime.regime_history=regime_history;
     [alphahat,etahat,epsilonhat,~,SteadyState,trend_coeff,~,T0,R0,P,~,decomp,Trend,state_uncertainty,oo_,bayestopt_,alphahat0,state_uncertainty0]...
         = DsgeSmoother(xparam1,gend,Y,data_index,missing_value,M_,oo_,options_,bayestopt_,estim_params_,occbin_options,TT,RR,CC);
@@ -245,8 +242,7 @@ while is_changed && maxiter>iter && ~is_periodic
     options_.occbin.simul=opts_simul;
     [~, out, ss] = occbin.solver(M_,options_,oo_.dr,oo_.steady_state,oo_.exo_steady_state,oo_.exo_det_steady_state);
     if out.error_flag
-        fprintf('Occbin smoother:: simulation within smoother did not converge.\n')
-        print_info(out.error_flag, false, options_)
+        disp_verbose('Occbin smoother:: simulation within smoother did not converge.',options_.verbosity)
         oo_.occbin.smoother.error_flag=321;
         return;
     end
@@ -300,13 +296,13 @@ while is_changed && maxiter>iter && ~is_periodic
             eee(:,k) = eig(TT(:,:,k));
         end
         if options_.debug
-        err_eig(iter-1) = max(max(abs(sort(eee)-sort(sto_eee))));
-        err_alphahat(iter-1) = max(max(max(abs(alphahat-sto_alphahat))));
-        err_etahat(iter-1) = max(max(max(abs(etahat-sto_etahat{iter-1}))));
-        err_CC(iter-1) = max(max(max(abs(CC-sto_CC))));
-        err_RR(iter-1) = max(max(max(abs(RR-sto_RR))));
-        err_TT(iter-1) = max(max(max(abs(TT-sto_TT))));
-    end
+            err_eig(iter-1) = max(max(abs(sort(eee)-sort(sto_eee))));
+            err_alphahat(iter-1) = max(max(max(abs(alphahat-sto_alphahat))));
+            err_etahat(iter-1) = max(max(max(abs(etahat-sto_etahat{iter-1}))));
+            err_CC(iter-1) = max(max(max(abs(CC-sto_CC))));
+            err_RR(iter-1) = max(max(max(abs(RR-sto_RR))));
+            err_TT(iter-1) = max(max(max(abs(TT-sto_TT))));
+        end
     end
 
     if occbin_smoother_debug || is_periodic
@@ -391,22 +387,22 @@ if occbin_smoother_debug
 end
 
 if (maxiter==iter && is_changed) || is_periodic
-    disp('occbin.DSGE_smoother: smoother did not converge.')
-    fprintf('occbin.DSGE_smoother: The algorithm did not reach a fixed point for the smoothed regimes.\n')
+    disp_verbose('occbin.DSGE_smoother: smoother did not converge.',options_.verbosity)
+    disp_verbose('occbin.DSGE_smoother: The algorithm did not reach a fixed point for the smoothed regimes.',options_.verbosity)
     if is_periodic
         oo_.occbin.smoother.error_flag=0;
-        fprintf('occbin.DSGE_smoother: For the periods indicated above, regimes loops between the "regime_" and the "regime_new_" pattern displayed above.\n')
-        fprintf('occbin.DSGE_smoother: We provide smoothed shocks consistent with "regime_" in oo_.\n')
+        disp_verbose('occbin.DSGE_smoother: For the periods indicated above, regimes loops between the "regime_" and the "regime_new_" pattern displayed above.',options_.verbosity)
+        disp_verbose('occbin.DSGE_smoother: We provide smoothed shocks consistent with "regime_" in oo_.',options_.verbosity)
     else
-        fprintf('occbin.DSGE_smoother: The respective fields in oo_ will be left empty.\n')
+        disp_verbose('occbin.DSGE_smoother: The respective fields in oo_ will be left empty.',options_.verbosity)
         oo_.occbin.smoother=[];
         oo_.occbin.smoother.error_flag=322;
     end
 else
-    disp('occbin.DSGE_smoother: smoother converged.')
+    disp_verbose('occbin.DSGE_smoother: smoother converged.',options_.verbosity)
     oo_.occbin.smoother.error_flag=0;
     if occbin_smoother_fast && is_changed_start
-        disp('occbin.DSGE_smoother: WARNING: fast algo is used, regime duration was not forced to converge')
+        disp_verbose('occbin.DSGE_smoother: WARNING: fast algo is used, regime duration was not forced to converge',options_.verbosity)
     end
 end
 if (~is_changed || occbin_smoother_debug) && nargin==12
@@ -484,9 +480,9 @@ if (~is_changed || occbin_smoother_debug) && nargin==12
                         fprintf(fidTeX,'\\label{Fig:smoothedshocks_occbin:%s}\n',int2str(ifig));
                         fprintf(fidTeX,'\\end{figure}\n');
                         fprintf(fidTeX,' \n');
+                    end
                 end
             end
-            end
         end
 
         if mod(j1,9)~=0 && j==M_.exo_nbr

matlab/+occbin/kalman_update_engine.m

@@ -109,6 +109,7 @@ if info==0
         newstart = regx(1).regimestart(end);
         diffstart = newstart-oldstart;
         regname = 'regimestart';
+        reg_string = 'regime';
     else
         newstart1 = regx(1).regimestart1(end);
         newstart2 = regx(1).regimestart2(end);
@@ -118,11 +119,13 @@ if info==0
         switch diffregime
             case 1
                 regname = 'regimestart1';
+                reg_string = 'regime1';
             case 2
                 regname = 'regimestart2';
+                reg_string = 'regime2';
+        end
     end
 end
-end
 if options_.occbin.filter.use_relaxation && diffstart>options_.occbin.filter.use_relaxation
     guess_regime = [base_regime base_regime];
     options_.occbin.filter.guess_regime = true;
@@ -132,9 +135,15 @@ if options_.occbin.filter.use_relaxation && diffstart>options_.occbin.filter.use
         % we reduce length until the converged regime does not change
 
         guess_regime(1).(regname)(end) = regx2(1).(regname)(end)-1;
-        if guess_regime(1).(regname)(end-1)==guess_regime(1).(regname)(end)
-            guess_regime(1).(regname)(end-1) = guess_regime(1).(regname)(end-1)-1;
-        end
+        if guess_regime(1).(regname)(end)==1
+            % make sure we enforce base regime
+            guess_regime(1).(regname)=guess_regime(1).(regname)(end);
+            guess_regime(1).(reg_string)=0;
+        else
+            if guess_regime(1).(regname)(end-1)==guess_regime(1).(regname)(end)
+                guess_regime(1).(regname)(end-1) = guess_regime(1).(regname)(end-1)-1;
+            end
+        end        
         if is_multivariate
             [ax2, a1x2, Px2, P1x2, vx2, Tx2, Rx2, Cx2, regx2, info2, M_2, likx2, etahat2, alphahat2, V2] = occbin.kalman_update_algo_1(a0,a1,P0,P1,data_index,Z,vv,Y,H,Qt,T0,R0,TT,RR,CC,guess_regime,M_,dr,endo_steady_state,exo_steady_state,exo_det_steady_state,options_,occbin_options);
         else

matlab/default_option_values.m

@@ -12,7 +12,7 @@ function options_ = default_option_values(M_)
 % SPECIAL REQUIREMENTS
 %    none
 
-% Copyright © 2018-2024 Dynare Team
+% Copyright © 2018-2025 Dynare Team
 %
 % This file is part of Dynare.
 %
@@ -195,8 +195,7 @@ ep.use_bytecode = 0;
 % Initialization of the perfect foresight equilibrium paths
 % * init=0, previous solution is used.
 % * init=1, a path generated with the first order reduced form is used.
-% * init=2, mix of cases 0 and 1.
-ep.init = 0;
+ep.use_first_order_solution_as_initial_guess = false;
 % Maximum number of iterations for the deterministic solver.
 ep.maxit = 500;
 % Number of periods for the perfect foresight model.
@@ -289,9 +288,6 @@ particle.resampling.number_of_partitions = 200;
 particle.mixture_state_variables = 5 ;
 particle.mixture_structural_shocks = 1 ;
 particle.mixture_measurement_shocks = 1 ;
-% Online approach
-particle.liu_west_delta = 0.99 ;
-particle.liu_west_max_resampling_tries = 5000;
 % Options for setting the weights in conditional particle filters.
 particle.cpf_weights_method.amisanotristani = true;
 particle.cpf_weights_method.murrayjonesparslow = false;
@@ -329,6 +325,8 @@ options_.minimal_solving_periods = 1;
 options_.endogenous_terminal_period = false;
 options_.no_homotopy = false;
 options_.simul.endval_steady = false;
+options_.simul.first_simulation_period = dates();
+options_.simul.last_simulation_period = dates();
 
 options_.simul.homotopy_max_completion_share = 1;
 options_.simul.homotopy_min_step_size = 1e-3;
@@ -454,7 +452,7 @@ options_.mh_posterior_mode_estimation = false;
 options_.smc_posterior_mode_estimation = false;
 options_.prefilter = 0;
 options_.presample = 0;
-options_.prior_trunc = 1e-10;
+options_.prior_trunc = 0;
 options_.smoother = false;
 options_.smoother_redux = false;
 options_.posterior_max_subsample_draws = 1200;
@@ -515,6 +513,11 @@ options_.posterior_sampler_options.dsmh.particles = 20000 ;
 options_.posterior_sampler_options.dsmh.alpha0 = 0.2 ;
 options_.posterior_sampler_options.dsmh.alpha1 = 0.3 ;
 options_.posterior_sampler_options.dsmh.tau = 10 ;
+% Liu and West online Sampler
+options_.posterior_sampler_options.online.particles= 5000 ;
+options_.posterior_sampler_options.online.liu_west_delta = 0.99 ;
+options_.posterior_sampler_options.online.liu_west_max_resampling_tries = 5000 ;
+options_.posterior_sampler_options.online.second_resampling = false;
 
 options_.trace_plot_ma = 200;
 options_.mh_autocorrelation_function_size = 30;
@@ -658,6 +661,12 @@ particleswarm.UseParallel = false;
 particleswarm.UseVectorized = false;
 options_.particleswarm = particleswarm;
 
+% One step
+one_step.gradient = [] ;
+one_step.hessian = [] ;
+one_step.outer_product = 0 ;
+options_.one_step= one_step ;
+
 % prior analysis
 options_.prior_mc = 20000;