GitLab

This page documents the changes between Dynare versions (including the unstable one). For previous versions of Dynare, please read the dedicated frozen page on the DynareWiki.

Dynare 4.7 (unstable)

• New Method of Moments toolbox: method_of_moments command (!1750 (merged)) and matched_moments block (preprocessor!23 (merged)) that provide 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. Toolbox is inspired by replication codes accompanied to Andreasen et al. (2018), Born and Pfeifer (2014), and Mutschler (2018).

• performance optimization to pruned state space system and lyapunov solvers (!1749 (merged), !1745 (merged), #1737 (closed))

• stoch_simul now supports theoretical moments at order=3 with pruning (dfc73576) and will report second moments based on the pruned state space if the pruning-option is set (4cf9f7d1)

• 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) (!1792 (merged))

• evaluate_planner_objective now works with 2nd order approximation (!1828 (merged))

• Option block of model can now be used in conjunction with use_dll

• New non-linear least squares optimizer based on lsqnonlin for computing the mode (available under mode_compute=13)

• Options block and bytecode of model can now be used in conjunction with model-local variables (variables declared with a pound-sign #) (#1243 (closed))

• Macroprocessor: variables can be defined without a value (they are assigned integer 1) (preprocessor#43)

• New option mh_tune_guess for setting the initial value for mh_tune_jscale (!1717 (closed))

• New block filter_initial_state for setting the initial condition of the Kalman filter/smoother (7c8f4867)

• New option schur_vec_tol to the identification command, for setting the tolerance level used to find nonstationary variables in Schur decomposition of the transition matrix (!1794 (merged))

• New notime option to the dynare command (preprocessor@27a8b3b7)

• Refactoring of histval_file and initval_file (#1671 (closed))

• dseries now support bi-annual (dseries!37 (merged)) and daily (dseries@1b897b37) frequency data

• dseries can now import data from DBnomics, via the dbnomics/mdbnomics> plugin (dseries#44 (closed)). Note that this does not yet work under Octave (dbnomics/mdbnomics#10). For the time being, the DBnomics plugin must be installed separately.

• routines for converting between time series frequencies (e.g. daily to monthly) have been added to dseries

• the use_dll option can now directly be given to the dynare command (a9fea692)

• 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

• In deterministic models, 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 between the two classes of models, because there is no need to take into account the Jensen inequality on 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 endo may correspond to a more complex nonlinear expression (preprocessor@9bca65c7)

• When using the loglinear option, the output from Dynare now clearly shows that the results reported concern the log of the original variable (!1796 (merged))

• 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)

• The total computing time of a run is now saved to oo_.time (preprocessor@c79ae5d4)

• ⚠ minimal required MATLAB version is now R2014a (8.3) (#1713 (closed))

• ⚠ 32-bit support has been dropped under Windows (#1713 (closed))

• ⚠ 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 (those options actually had no effect)

Dynare 4.6

• 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). (#217 (closed))

  • 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). (#1673 (closed))

  • 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. (#1486 (closed))

  • 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. (!1538 (closed))

  • 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. (#1647 (closed))

  • 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). (#1678 (closed))

  • 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. (#1173)

  • Discretionary policy returns a more informative error message when the objective has nonzero derivatives with respect to some variables. (!1468 (merged))

• Identification (!1648 (merged), !1689 (merged), !1683 (merged), !1711 (merged))

  • 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. (!1562 (merged))

  • 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. (preprocessor#12 (closed))

• 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. (#699 (closed))

  • New option parameter_set to the calib_smoother command (#1477 (closed))

  • ⚠ The results of conditional_forecast command is now saved in oo_ (used to be in a file; see #1672 (closed))

• 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) (!1563 (closed)) and (!1552 (closed))

  • New diff, flip, max_nrows, plot_init_date and plot_end_date options to plot_shock_decomposition (#1649 (closed), !1655 (merged), 74e7c12d)

  • New initial_decomposition_decomposition command, for computing and plotting the decomposition of the effect of smoothed initial conditions of state variables (#1586 (closed))

  • New squeeze_shock_decomposition command, for removing decompositions of variables that are not of interest (!1655 (merged))

  • New with_epilogue option (common to shock_decomposition, realtime_shock_decomposition and initial_condition_decomposition) (!1688 (merged))

  • New init2shocks block to attribute initial conditions to shocks (#1650 (closed))

• 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 (#707 (closed)).

  • Arrays of arrays are now supported.

  • New macro directives @#echomacrovars and @#echomacrovars(save) for displaying or saving the values of all macro-variables. (#1564 (closed))

  • 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. (#1496 (closed))

  • New option planner_discount_latex_name of ramsey_model and discretionary_policy. (#1686 (closed))

  • New command model_local_variable command for assigning a LaTeX name to model-local variables. (#563 (closed))

  • The write_latex_static_model and write_latex_original_model commands now support the write_equation_tags option. (#1431 (closed))

• 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. (#1386 (closed))

  • 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']. (see 01d5a130)

  • 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. (#1390 (closed))

  • It is now possible to assign an arbitrary macro-expression to a macro-variable defined on the command-line, using the -D syntax. (#1696 (closed))

  • 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. (#1509 (closed))

• 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. (#1639 (closed))

  • 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. (#1389 (closed))

  • 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. (!1686 (merged))

  • ⚠ 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).

• References

  • Komunjer, I. and S. Ng (2011), “Dynamic Identification of Dynamic Stochastic General Equilibrium Models,” 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,” Quantitative Economics, 3(1), 95–132

  • Mutschler, W. (2015), “Identification of DSGE models—The effect of higher-order approximation and pruning,” Journal of Economic Dynamics and Control, 56, 34–54

Dynare 4.5

• 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. Useful to compute Ramsey policy in a perfect foresight model and for estimation,

  • ramsey_policy accepts multipliers in its variable list and displays results for them (#1355 (closed)).

• 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 (#679 (closed)),

  • Forecasts accounting for measurement error are now saved in fields of the form HPDinf_ME and HPDsup_ME (#853 (closed)),

  • 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 (#567 (closed)), mh_conf_sig (#598 (closed)), diffuse_kalman_tol (!865 (closed)), dirname (#910 (closed)), nodecomposition

  • load_mh_file and mh_recover now try to load chain's proposal density (!1230 (merged)),

  • New option load_results_after_load_mh that allows loading some posterior results from a previous run if no new MCMC draws are added (!1352 (merged)),

  • 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 (!1239 (closed)),

  • New commands prior_function and posterior_function that execute a user-defined function on parameter draws from the prior/posterior distribution (!871 (merged)),

  • 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 (!1223 (closed)),

  • New option raftery_lewis_diagnostics that computes Raftery/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 (!1324 (merged)),

  • 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 (#1226 (closed)).

• 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 (#477 (closed)),

  • 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 (#1259 (closed)),

  • New parallel option NumberOfThreadsPerJob for Windows nodes that sets the number of threads assigned to each remote MATLAB/Octave run (!1357 (merged)),

  • 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.