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    • Further refactoring of new features for version 6 authored by Sébastien Villemot's avatar Sébastien Villemot
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    NewFeatures.md
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    ...@@ -5,182 +5,194 @@ the [DynareWiki](http://www.dynare.org/DynareWiki/NewFeatures). ...@@ -5,182 +5,194 @@ the [DynareWiki](http://www.dynare.org/DynareWiki/NewFeatures).
    Dynare 6 Dynare 6
    -------- --------
    - Implementation of the Sequential Monte-Carlo sampler (new value `hssmc` for option `posterior_sampling_method`) as described by Herbst and Schorfheide (JAE, 2014). - The Sequential Monte Carlo sampler as described by Herbst and Schorfheide (2014) is now available under value `hssmc` for option `posterior_sampling_method`.
    - New 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 is no uncertainty and they know exactly the path of future shocks; the new information that they may receive comes as a total surprise to them. Implemented by 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 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.
    - IRF matching with stochastic simulations: - New routines for IRF matching with stochastic simulations:
    - Dynare supports both Frequentist (as in Christiano, Eichenbaum, and Evans (2005, JPE)) as well as Bayesian IRF matching approaches (as in Christiano, Trabandt, and Walentin (2010, Handbook)). 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. (!2191)
    - New options to `method_of_moments` command. (preprocessor!85)
    - New blocks `matched_irfs` and `matched_irfs_weights` to specify the values and weights of the empirical impulse response functions. (preprocessor#124)
    - Pruning à la Andreasen et al. (2018) is now available at an arbitrary approximation order when performing stochastic simulations with `stoch_simul` (!2147), and at 3rd order when performing particle filtering (!2071, particles!16, !2045) - 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. (!2191)
    - 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 when one wants to perform a loglinear approximation of some variable(s) in the context of a first-order stochastic approximation; or when one wants to ensure 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. (#349) - Available under option `mom_method = irf_matching` option to the `method_of_moments` command. (preprocessor!85)
    - New blocks `matched_irfs` and `matched_irfs_weights` for specifying the values and weights of the empirical impulse response functions. (preprocessor#124)
    - Pruning à la Andreasen et al. (2018) is now available at an arbitrary approximation order when performing stochastic simulations with `stoch_simul` (!2147), and at 3rd order when performing particle filtering. (!2071, particles!16, !2045)
    - 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. (#349)
    - New model editing features (21a8a5794a83b5098cad0fe7beab93dcbe5ef6bf and 4db28998687b8845568e8750d99a1b45f0d6a94f) - New model editing features (21a8a5794a83b5098cad0fe7beab93dcbe5ef6bf and 4db28998687b8845568e8750d99a1b45f0d6a94f)
    - multiple `model` blocks are now supported (this was already working but not explicitly documented) - Multiple `model` blocks are now supported (this was already working but not explicitly documented).
    - :warning: multiple `estimated_params` blocks now concatenate their contents instead of overwriting previous ones; an `overwrite` option has been implemented to provide the old (undocumented) behavior (preprocessor@60ef6bbdbd2f95b7f8d52b1c10cf6bb9aa7773cc, preprocessor@ea44aa19d6dd2bf4c508ee081b2b6cae2a647250) - 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. (preprocessor@60ef6bbdbd2f95b7f8d52b1c10cf6bb9aa7773cc, preprocessor@ea44aa19d6dd2bf4c508ee081b2b6cae2a647250)
    - new `model_options` statement to set model options in a global fashion (preprocessor#19) - New `model_options` statement to set model options in a global fashion. (preprocessor#19)
    - new `model_remove` command to remove equations (preprocessor@1f004584e9c8b2ea5fbda6dd5413b516ce956679) - New `model_remove` command to remove equations. (preprocessor@1f004584e9c8b2ea5fbda6dd5413b516ce956679)
    - new `model_replace` block to replace equations (preprocessor@1f004584e9c8b2ea5fbda6dd5413b516ce956679) - New `model_replace` block to replace equations. (preprocessor@1f004584e9c8b2ea5fbda6dd5413b516ce956679)
    - new `var_remove` command to remove variables (or parameters) (preprocessor@342c4faf8d95169b7391507e703c88d76b38a243) - New `var_remove` command to remove variables. (or parameters) (preprocessor@342c4faf8d95169b7391507e703c88d76b38a243)
    - new `estimated_params_remove` block to remove estimated parameters (preprocessor@5ffbc5bad31c306f561d673cde36d460cb5906c1) - New `estimated_params_remove` block to remove estimated parameters. (preprocessor@5ffbc5bad31c306f561d673cde36d460cb5906c1)
    - Stochastic simulations - Stochastic simulations
    - Performance improvements for k-order perturbation simulation and particle filtering at higher order (⩾ 3). (#1802, !2071, particles!16, !2045) - Performance improvements for simulation of the solution under perturbation and for particle filtering at higher order (⩾ 3). (#1802, !2071, particles!16, !2045)
    - Performance improvement for the first order perturbation solution using either cycle reduction (`dr=cycle_reduction` option) or logarithmic reduction (`dr=logarithmic_reduction`) (!2085, !2089) - Performance improvement for the first order perturbation solution using either cycle reduction (`dr=cycle_reduction` option) or logarithmic reduction (`dr=logarithmic_reduction`). (!2085, !2089)
    - New option `nomodelsummary` to the `stoch_simul` command, to suppress the printing of the model summary and the covariance of the exogenous shocks (a00eb5e1ded61d2e0086f841203a5eec96e77931) - New `nomodelsummary` option to the `stoch_simul` command, to suppress the printing of the model summary and the covariance of the exogenous shocks. (a00eb5e1ded61d2e0086f841203a5eec96e77931)
    - Estimation - Estimation
    - 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 (b7693c32, f7694208) - 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 (!2161)
    - The `estimation` command now accepts the `additional_optimizer_steps` option to sequentially execute several optimizers when looking for the posterior mode (!2178) - 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. (b7693c32, f7694208)
    - The `generate_trace_plots` command now allows comparing multiple chains. (baf8243f) - New `additional_optimizer_steps` option to the `estimation` command to trigger the sequential execution of several optimizers when looking for the posterior mode (!2178)
    - The Geweke and Raftery-Lewis convergence diagnostics will now also be displayed in case of `mh_nblocks>1`. (d0e99daf9ae84cf3a605fa4cf49d506d36b2bd95) - The `generate_trace_plots` command now allows comparing multiple chains. (baf8243f)
    - New optimizer options `robust`, `TolGstep`, and `TolGstepRel` to optimizer 5 `newrat` (!2231) - The Geweke and Raftery-Lewis convergence diagnostics will now also be displayed when `mh_nblocks>1`. (d0e99daf9ae84cf3a605fa4cf49d506d36b2bd95)
    - Possibility of specifying a truncated normal distribution as a prior, using the 3rd and 4th parameters of the `estimated_params` block as the bounds (!2161) - New `robust`, `TolGstep`, and `TolGstepRel` options to the optimizer available under `mode_compute=5` (“newrat”). (!2231)
    - 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 (!2146) - 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. (!2146)
    - :warning: the default value of the `mode_compute` option of the `estimation` command has been changed to `5` (it was previously `4`) - 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. (!2041)
    - :warning: New `estimation`-option `mh_init_scale_factor` replacing the deprecated `mh_init_scale` to govern the overdispersion of the starting draws when initializing several Monte Carlo Markov Chains (!2041). - Steady-state computation
    - :warning: `mode_compute` will recursively update 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 (e5102eee) - Steady-state computation now accounts for occasionally-binding constraints of mixed-complementarity problems (as defined by `mcp` tags). (!1877)
    - Steady-state computation - New `tolx` option to the `steady` command for governing the termination based on the step tolerance. (preprocessor!60)
    - Steady-state computation now allows accounting for `mcp` tags (!1877) - New `fsolve_options` option to the `steady` command for passing options to `fsolve` (in conjunction with the `solve_algo=0` option). (#1856)
    - New option `tolx` of `steady` that governs the termination based on the step tolerance (preprocessor!60) - 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). (2e3fbfc0408a360dd169c927a5ea38c89f6ff95c)
    - New option `fsolve_options` to `steady` for setting options to `fsolve` when `solve_algo=0` (#1856) - New `non_zero` option to `resid` command to restrict display to non-zero residuals (preprocessor@9db21a231c5ab8f8aa26680ffecf3abfcf45bfab, 3d7299c1e490a6813de2b2cb450b738b4c7acdf9)
    - Homotopy: 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) (2e3fbfc0408a360dd169c927a5ea38c89f6ff95c)
    - New `non_zero` option to `resid` command to restrict display to non-zero residuals (preprocessor@9db21a231c5ab8f8aa26680ffecf3abfcf45bfab, 3d7299c1e490a6813de2b2cb450b738b4c7acdf9); :warning: the old syntax `resid(1)` is not supported anymore - 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 (17b016d983be260aa09926809d1f3465307c58e2, be648d350b162152e999b8ffad830dce6b373190, 77a7d5c3dec67b6d9943fc23c11afbb1d0cfd431)
    - OccBin - 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 (5145bd0708697230c7adeb23c8a0dabf37f4cb3f)
    - new `reset_check_ahead_periods_in_new_period`-option that allows resetting `check_ahead_periods` in each simulation period (3765ef77) - 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).
    - new `simul_max_check_ahead_periods`, `likelihood_max_check_ahead_periods`, and `smoother_max_check_ahead_periods`-options to truncate the number of periods for which agents check ahead which regime is present (2f236048 and preprocessor@ed95a2ca ) - Various improvements to homotopy:
    - Optimal policy - 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). (d5a3a8e16af56af23c8eb27a693b2e67579bfde0)
    - The `osr` command now accepts the `analytical_derivation` and `analytical_derivation_mode` options (!2171) - 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%. (d5a3a8e16af56af23c8eb27a693b2e67579bfde0)
    - `evaluate_planner_objective` can now compute the unconditional welfare for order ⩾ 3. (!1962) - 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. (d5a3a8e16af56af23c8eb27a693b2e67579bfde0)
    - New options `periods` and `drop` to `evaluate_planner_objective` (!1967) - Purely backward, forward and static models are now supported by the homotopy procedure. (fe142b663ef34d26969191d2a096b08aecc1eb10)
    - 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. (06f665e231c1a66863612eb75802ff4f0b698c57)
    - OccBin
    - Perfect foresight - New `simul_reset_check_ahead_periods` option to the `occbin_setup` and `occbin_solver` commands, for resetting `check_ahead_periods` in each simulation period. (3765ef77)
    - Significant performance improvement of `stack_solve_algo=1` (LBJ algorithm) when used in conjunction with options `block` and/or `bytecode` of the `model` block (17b016d983be260aa09926809d1f3465307c58e2, be648d350b162152e999b8ffad830dce6b373190, 77a7d5c3dec67b6d9943fc23c11afbb1d0cfd431) - 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. (2f236048 and preprocessor@ed95a2ca )
    - 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 on most models, so it is a better default value. - Optimal policy
    - New option `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 (5145bd0708697230c7adeb23c8a0dabf37f4cb3f) - The `osr` command now accepts the `analytic_derivation` and `analytic_derivation_mode` options. (!2171)
    - New option `static_mfs` to the `model` block (and the `model_options` command). Controls the minimum feedback set computation for the static model. Defaults to `0` (corresponding to the behavior in Dynare 5.x) - The `evaluate_planner_objective` command now computes the unconditional welfare for higher-order approximations (⩾ 3). (!1962)
    - Homotopy - New `periods` and `drop` options to the `evaluate_planner_objective` command. (!1967)
    - New `endval_steady` option to `perfect_foresight_setup` command to compute 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` to control the steady state nonlinear solver) (d5a3a8e16af56af23c8eb27a693b2e67579bfde0) - Semi-structural models
    - New `homotopy_linearization_fallback` and `homotopy_marginal_linearization_fallback` options to `perfect_foresight_solver` command to get an approximate solution when homotopy fails to go to 100% (d5a3a8e16af56af23c8eb27a693b2e67579bfde0) - 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). (b297353b06c9c35223500439c0bc63321675768b)
    - New `homotopy_initial_step_size`, `homotopy_min_step_size`, `homotopy_step_size_increase_success_count` and `homotopy_max_completion_share` to `perfect_foresight_solver` command to fine tune the homotopy behaviour (d5a3a8e16af56af23c8eb27a693b2e67579bfde0) - 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. (b297353b06c9c35223500439c0bc63321675768b)
    - Purely backward/forward/static models are now supported (fe142b663ef34d26969191d2a096b08aecc1eb10) - 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.
    - The `stack_solve_algo=1` and `stack_solve_algo=6` options were merged. Both are now synonymous and provide the LBJ algorithm. They work both with and without the `block` and `bytecode` options. Using `stack_solve_algo=1` is now recommended, but `stack_solve_algo=6` is kept for backward compatibility reasons (06f665e231c1a66863612eb75802ff4f0b698c57)
    - dseries classes
    - Semi-structural models - The `remove` and `remove_` methods now accept a list of variables (they would previously only accept a single variable). (dseries@b7ca9c3e, c02e5505)
    - New MATLAB/Octave command `dplot` to plot mathematical expressions generated from variables fetched from (different) dseries objects. (dseries@d6c8d039a2f828e5ea009d7181c8145d23932d69).
    - Allows decomposition of the PAC target into an arbitrary number of components. (b297353b06c9c35223500439c0bc63321675768b) - Misc
    - New option `kind` in 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. See b297353b06c9c35223500439c0bc63321675768b. - New `display_parameter_values` command to print the parameter values in the command window. (!2268).
    - Performance improvement to `solve_algo=12` and `solve_algo=14` (which can significantly accelerate the simulation of purely backward/static/forward models) - New `collapse_figures_in_tabgroup` command to dock all figures. (!2263)
    - Performance improvement for the `use_dll` option of the `model` block. The preprocessor now takes advantage of parallelization when compiling the MEX files. (preprocessor@f6053df7545174885486a457a2253897a1ed4e27, preprocessor@5cf4729ab0790084af0b0a9e9a1062ddefff3401, preprocessor@dd66459e5f2e5c57ea25cb4a0e8709b22ff3195b, preprocessor@3dd40c6c42d82997972e90899da8632a747f5c90)
    - dseries: - New mathematical primitives available: complementary error function (`erfc`), hyperbolic functions (`cosh`, `sinh`, `tanh`, `acosh`, `asinh`, `atanh`). (preprocessor#85, preprocessor@c0ea8d72038cd6c57e48aca26d2d29866848ae0a)
    - The `remove` and `remove_` methods now accept a list of variables (it would previously accept only a single variable) (dseries@b7ca9c3e, c02e5505) - New `last_simulation_period` option to the `initval_file` command. (see #1838, f5f47cd834049bd5111f23622fb2c68d0e6a619b, preprocessor@ddddf89d9cd8771bb80beb5c44efe53f4734b41f)
    - New MATLAB command `dplot` to plot mathematical expressions generated from variables fetched from (different) dseries objects (dseries@d6c8d039a2f828e5ea009d7181c8145d23932d69).
    - The `calib_smoother` command now accepts the `nobs` and `heteroskedastic_filter` options. (see !2110)
    - Misc - Under the MATLAB Desktop, autocompletion is now available for the `dynare` command and other CLI commands (thanks to Eduard Benet Cerda from MathWorks). (36a2a41e357780d468582c78c4cbb738c5bb4b26)
    - New `display_parameter_values` command to print the parameter values to the command window (!2268). - 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 `collapse_figures_in_tabgroup` command to dock all figures (!2263). - New interactive MATLAB/Octave command `search` for listing the equations in which given variable(s) appear (requires `json` command line option). (#1886)
    - When the `use_dll` option of the `model` block is set, the preprocessor now takes advantage of parallelization when compiling the MEX files (preprocessor@f6053df7545174885486a457a2253897a1ed4e27, preprocessor@5cf4729ab0790084af0b0a9e9a1062ddefff3401, preprocessor@dd66459e5f2e5c57ea25cb4a0e8709b22ff3195b, preprocessor@3dd40c6c42d82997972e90899da8632a747f5c90) - 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`.
    - Support for new mathematical primitives: complementary error function (`erfc`), hyperbolic functions (`cosh`, `sinh`, `tanh`, `acosh`, `asinh`, `atanh`) (preprocessor#85, preprocessor@c0ea8d72038cd6c57e48aca26d2d29866848ae0a) - 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). (43b24facb)
    - New `last_simulation_period` option to `initval_file` command (see #1838, f5f47cd834049bd5111f23622fb2c68d0e6a619b, preprocessor@ddddf89d9cd8771bb80beb5c44efe53f4734b41f) - 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.
    - The `calib_smoother` command now accepts options `nobs` and `heteroskedastic_filter` (see !2110) - Incompatible changes
    - Under the MATLAB Desktop, autocompletion is now available for the `dynare` command and other CLI commands (thanks to Eduard Benet Cerda from MathWorks) (36a2a41e357780d468582c78c4cbb738c5bb4b26) - :warning: The default value of the `mode_compute` option of the `estimation` command has been changed to `5` (it was previously `4`).
    - 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. - :warning: 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.
    - New MATLAB `search` interactive command for listing the equations in which given variable(s) appear (requires `json` command line option) (#1886). - :warning: 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`). (43b24facb)
    - :warning: Dynare will not duplicate information stored in `oo_.endo_simul, oo_.exo_simul`, and `oo_.irfs` in the base workspace. New helper functions `send_endogenous_variables_to_workspace`, `send_exogenous_variables_to_workspace`, and `send_irfs_to_workspace` can be used to explicitly request these outputs and to mimic the old behavior (!2229).
    - :warning: The `dynare_sensitivity` command has been renamed `sensitivity`. The old name is still accepted but will trigger a warning (66bc9fd9c2707c787efae797e1976b7052159dc4) - :warning: 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. (!2229)
    - :warning: The `model_info` command allows to print the block decomposition even if the `block`-option of the `model` has not been used by specifying the new options `block_static` and `block_dynamic`. The old `static`-option of the command is superseded by the `block_static`-option. (45450651 and preprocessor@2fd06811) - :warning: The `dynare_sensitivity` command has been renamed `sensitivity`. The old name is still accepted but triggers a warning. (66bc9fd9c2707c787efae797e1976b7052159dc4)
    - :warning: The default location for the configuration file has changed. On Linux and macOS, the configuration file is 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 searched by default in `%APPDATA%\dynare\dynare.ini` (typically `c:\Users\USERNAME\AppData\Roaming\dynare\dynare.ini`) (43b24facb) - :warning: The syntax `resid(1)` is no longer supported.
    - 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) (43b24facb) - :warning: 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. (e5102eee)
    - :warning: the `periods` command has been removed (1b47c8a5e551be046fba8b592d29f38e17099bfe) - :warning: The `periods` command has been removed. (1b47c8a5e551be046fba8b592d29f38e17099bfe)
    - :warning: the `Sigma_e` command has been removed (e30314e75d0d4fa2e587079bdbeeb2e2e4af3383) - :warning: The `Sigma_e` command has been removed. (e30314e75d0d4fa2e587079bdbeeb2e2e4af3383)
    - :warning: the `block` option of the `model` block no longer has an effect when used in conjunction with `stoch_simul` or `estimation` commands (8f1a4cb3637fe4936ade877c88e6a120af2b5f24) - :warning: The `block` option of the `model` block no longer has an effect when used in conjunction with `stoch_simul` or `estimation` commands. (8f1a4cb3637fe4936ade877c88e6a120af2b5f24)
    - :warning: the Dynare++ executable is no longer distributed since almost all of its functionalities have been integrated inside Dynare for MATLAB/Octave (c1922c3ad0a920d48fd32ec7026bfd5ebd55a824) - :warning: The Dynare++ executable is no longer distributed since almost all of its functionalities have been integrated inside Dynare for MATLAB/Octave. (c1922c3ad0a920d48fd32ec7026bfd5ebd55a824)
    - :warning: 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`) (preprocessor#43) - :warning: 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`). (preprocessor#43)
    - :warning: The `parallel_slave_open_mode` option of the `dynare` command has been renamed `parallel_follower_open_mode` (preprocessor#86, !1976) - :warning: The `parallel_slave_open_mode` option of the `dynare` command has been renamed `parallel_follower_open_mode` (preprocessor#86, !1976)
    - 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 - :warning: The `static` option of the `model_info` command is now deprecated and is replaced by the `block_static` option. (45450651 and preprocessor@2fd06811)
    - 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.
    Dynare 5 Dynare 5
    -------- --------
    - Different versions of Dynare are now available as [Docker Containers](https://hub.docker.com/r/dynare/dynare).
    - New routines for simulating semi-structural (backward) models where - New routines for simulating semi-structural (backward) models where
    some equations incorporate expectations based on future values of a VAR or some equations incorporate expectations based on future values of a VAR or
    trend component model. See the `var_model`, `trend_component_model` and trend component model. See the `var_model`, `trend_component_model` and
    ...@@ -379,6 +391,8 @@ Dynare 5 ...@@ -379,6 +391,8 @@ Dynare 5
    `MATLAB_VERSION` version to the configure script; the version is now `MATLAB_VERSION` version to the configure script; the version is now
    automatically detected. automatically detected.
    - Different versions of Dynare are now available as [Docker Containers](https://hub.docker.com/r/dynare/dynare).
    - Incompatible changes - Incompatible changes
    - :warning: Dynare will now generally save its output in the - :warning: Dynare will now generally save its output in the
    ......