diff --git a/NEWS.md b/NEWS.md index ff41e49901d6574b25b7c7cc2ca0cfe011e81113..c5183fefd420411fb92f78e2eae746bc7e216e74 100644 --- a/NEWS.md +++ b/NEWS.md @@ -37,12 +37,12 @@ Major user-visible changes 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 accompanied to Andreasen et al. (2018), Born and Pfeifer (2014), and + 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 + 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. @@ -51,7 +51,7 @@ Major user-visible changes 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 + new commands `occbin_setup`, `occbin_solver`, `occbin_graph`, and `occbin_write_regimes`. - Stochastic simulations @@ -65,14 +65,14 @@ Major user-visible changes - Estimation - - Performance optimization to pruned state space system and Lyapunov + - 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 shocks standard error may - *unexpectedly* change in every period. Triggered by + - 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. @@ -93,7 +93,7 @@ Major user-visible changes 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 + - New option `particle_filter_options` to set various particle filter options. - Perfect foresight and extended path @@ -106,9 +106,9 @@ Major user-visible changes - 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 transformation is still not exactly the same + 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 on the latter. In deterministic models, + 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. @@ -132,7 +132,7 @@ Major user-visible changes - Identification - New option `schur_vec_tol` to the `identification` command, for setting - the tolerance level used to find nonstationary variables in Schur + the tolerance level used to find nonstationary variables in the Schur decomposition of the transition matrix. - The `identification` command now supports optimal policy. @@ -175,7 +175,7 @@ Major user-visible changes - Routines for converting between time series frequencies (e.g. daily to monthly) have been added. - - dseries now support bi-annual and daily frequency data. + - 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 @@ -206,7 +206,7 @@ Major user-visible changes 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 + - 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. @@ -225,7 +225,7 @@ Incompatible changes now located in a dedicated `preprocessor` subdirectory. - The `dynare` command no longer accepts `output=dynamic` and `output=first` - (those options actually had no effect). + (these options actually had no effect). - The minimal required MATLAB version is now R2014a (8.3). @@ -252,7 +252,7 @@ Bugs that were present in 4.6.4 and that have been fixed in 5.0 * `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 proposal density if the previous run +* `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 @@ -266,7 +266,7 @@ Bugs that were present in 4.6.4 and that have been fixed in 5.0 * 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` + 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 @@ -275,7 +275,7 @@ Bugs that were present in 4.6.4 and that have been fixed in 5.0 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 able to rerun the file + 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 @@ -308,8 +308,8 @@ Bugs that were present in 4.6.4 and that have been fixed in 5.0 References ---------- - - Andreasen et al. (2018): “The Pruned State-Space System for Non-Linear DSGE - Models: Theory and Empirical Applications,” Review of Economic Studies, + - 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 @@ -319,18 +319,18 @@ References - 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,” + - 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 + - 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 + - Giovannini, Pfeiffer, and Ratto (2021): “Efficient and robust inference of models with occasionally binding constraints,” Working Paper 2021-03, Joint Research Centre, European Commission