NewFeatures.md

+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. Usefull to compute Ramsey policy in a perfect
+     foresight model,
+
+   + `ramsey_policy` accepts multipliers in its variable list and
+     displays results for them.
+
+
+ - Perfect foresight models
+
+   + New commands `perfect_foresight_setup` (for preparing the
+     simulation) and `perfect_foresight_solver` (for computing it). The
+     old `simul` command still exist and is now an alias for
+     `perfect_foresight_setup` + `perfect_foresight_solver`. It is no
+     longer possible to manipulate by hand the contents of
+     `oo_.exo_simul` when using `simul`. People who want to do
+     it must first call `perfect_foresight_setup`, then do the
+     manipulations, then call `perfect_foresight_solver`,
+
+   + By default, the perfect foresight solver will try a homotopy
+     method if it fails to converge at the first try. The old behavior
+     can be restored with the `no_homotopy` option,
+
+   + New option `stack_solve_algo=7` that allows specifying a
+     `solve_algo` solver for solving the model,
+
+   + New option `solve_algo` that allows specifying a solver for
+     solving the model when using `stack_solve_algo=7`,
+
+   + New option `lmmcp` that solves the model via a Levenberg-Marquardt
+     mixed complementarity problem (LMMCP) solver,
+
+   + New option `robust_lin_solve` that triggers the use of a robust
+     linear solver for the default `solve_algo=4`,
+
+   + New options `tolf` and `tolx` to control termination criteria of
+     solvers,
+
+   + New option `endogenous_terminal_period` to `simul`,
+
+   + Added the possibility to set the initial condition of the
+     (stochastic) extended path simulations with the histval block.
+
+
+ - Optimal simple rules
+
+   + Saves the optimal value of parameters to `oo_.osr.optim_params`,
+
+   + New block `osr_params_bounds` allows specifying bounds for the
+     estimated parameters,
+
+   + New option `opt_algo` allows selecting different optimizers while
+     the new option `optim` allows specifying the optimizer options,
+
+   + The `osr` command now saves the names, bounds, and indices for the
+     estimated parameters as well as the indices and weights of the
+     variables entering the objective function into `M_.osr`.
+
+
+ - Forecasts and Smoothing
+
+   + The smoother and forecasts take uncertainty about trends and means
+     into account,
+
+   + Forecasts accounting for measurement error are now saved in fields
+     of the form `HPDinf_ME` and `HPDsup_ME`,
+
+   + New fields `oo_.Smoother.Trend` and `oo_.Smoother.Constant` that
+     save the trend and constant parts of the smoothed variables,
+
+   + new field `oo_.Smoother.TrendCoeffs` that stores the trend
+     coefficients.
+
+   + Rolling window forecasts allowed in `estimation` command by
+     passing a vector to `first_obs`,
+
+   + The `calib_smoother` command now accepts the `loglinear`,
+     `prefilter`, `first_obs` and `filter_decomposition` options.
+
+
+ - Estimation
+
+   + New options: `logdata`, `consider_all_endogenous`,
+     `consider_only_observed`, `posterior_max_subsample_draws`,
+     `mh_conf_sig`, `diffuse_kalman_tol`, `dirname`, `nodecomposition`
+
+   + `load_mh_file` and `mh_recover` now try to load chain's proposal density,
+
+   + New option `load_results_after_load_mh` that allows loading some
+     posterior results from a previous run if no new MCMC draws are
+     added,
+
+   + New option `posterior_nograph` that suppresses the generation of
+     graphs associated with Bayesian IRFs, posterior smoothed objects,
+     and posterior forecasts,
+
+   + Saves the posterior density at the mode in
+     `oo_.posterior.optimization.log_density`,
+
+   + The `filter_covariance` option now also works with posterior
+     sampling like Metropolis-Hastings,
+
+   + New option `no_posterior_kernel_density` to suppress computation
+     of kernel density of posterior objects,
+
+   + Recursive estimation and forecasting now provides the individual
+     `oo_` structures for each sample in `oo_recursive_`,
+
+   + The `trace_plot` command can now plot the posterior density,
+
+   + New command `generate_trace_plots` allows generating all trace
+     plots for one chain,
+
+   + New commands `prior_function` and `posterior_function` that
+     execute a user-defined function on parameter draws from the
+     prior/posterior distribution,
+
+   + New option `huge_number` for replacement of infinite bounds with
+     large number during `mode_compute`,
+
+   + New option `posterior_sampling_method` allows selecting the new
+     posterior sampling options:
+     `tailored_random_block_metropolis_hastings` (Tailored randomized
+     block (TaRB) Metropolis-Hastings), `slice` (Slice sampler),
+     `independent_metropolis_hastings` (Independent
+     Metropolis-Hastings),
+
+   + New option `posterior_sampler_options` that allow controlling the
+     options of the `posterior_sampling_method`, its `scale_file`-option
+     pair allows loading the `_mh_scale.mat`-file storing the tuned
+     scale factor from a previous run of `mode_compute=6`,
+
+   + New option `raftery_lewis_diagnostics` that computes Raftery/Lewis
+     (1992) convergence diagnostics,
+
+   + New option `fast_kalman_filter` that provides fast Kalman filter
+     using Chandrasekhar recursions as described in Ed Herbst (2015),
+
+   + The `dsge_var` option now saves results at the posterior mode into
+     `oo_.dsge_var`,
+
+   + New option `smoothed_state_uncertainty` to provide the uncertainty
+     estimate for the smoothed state estimate from the Kalman smoother,
+
+   + New prior density: generalized Weibull distribution,
+
+   + Option `mh_recover` now allows continuing a crashed chain at the
+     last save mh-file,
+
+   + New option `nonlinear_filter_initialization` for the
+     `estimation` command. Controls the initial covariance matrix
+     of the state variables in nonlinear filters.
+
+   + The `conditional_variance_decomposition` option now displays
+     output and stores it as a LaTeX-table when the `TeX` option is
+     invoked,
+
+   + The `use_calibration` to `estimated_params_init` now also works
+     with ML,
+
+   + Improved initial estimation checks.
+
+
+ - Steady state
+
+   + The default solver for finding the steady state is now a
+     trust-region solver (can be triggered explicitly with option
+     `solve_algo=4`),
+
+   + New options `tolf` and `tolx` to control termination criteria of
+     solver,
+
+   + The debugging mode now provides the termination values in steady
+     state finding.
+
+
+ - Stochastic simulations
+
+   + New options `nodecomposition`,
+
+   + New option `bandpass_filter` to compute bandpass-filtered
+     theoretical and simulated moments,
+
+   + New option `one_sided_hp_filter` to compute one-sided HP-filtered
+     simulated moments,
+
+   + `stoch_simul` displays a simulated variance decomposition when
+     simulated moments are requested,
+
+   + `stoch_simul` saves skewness and kurtosis into respective fields
+     of `oo_` when simulated moments have been requested,
+
+   + `stoch_simul` saves the unconditional variance decomposition in
+     `oo_.variance_decomposition`,
+
+   + New option `dr_display_tol` that governs omission of small terms
+     in display of decision rules,
+
+   + The `stoch_simul` command now prints the displayed tables as LaTeX
+     code when the new `TeX` option is enabled,
+
+   + The `loglinear` option now works with lagged and leaded exogenous
+     variables like news shocks,
+
+   + New option `spectral_density` that allows displaying the spectral
+     density of (filtered) endogenous variables,
+
+   + New option `contemporaneous_correlation` that allows saving
+     contemporaneous correlations in addition to the covariances.
+
+
+ - Identification
+
+   + New options `diffuse_filter` and `prior_trunc`,
+
+   + The `identification` command now supports correlations via
+     simulated moments,
+
+
+ - Sensitivity analysis
+
+   + New blocks `irf_calibration` and `moment_calibration`,
+
+   + Outputs LaTeX tables if the new `TeX` option is used,
+
+   + New option `relative_irf` to `irf_calibration` block.
+
+
+ - Conditional forecast
+
+   + Command `conditional_forecast` now takes into account `histval`
+     block if present.
+
+
+ - Shock decomposition
+
+   + New option `colormap` to `shocks_decomposition` for controlling
+     the color map used in the shocks decomposition graphs,
+
+   + `shocks_decomposition` now accepts the `nograph` option,
+
+   + New command `realtime_shock_decomposition` that for each period `T= [presample,...,nobs]`
+     allows computing the:
+
+     * realtime historical shock decomposition `Y(t|T)`, i.e. without observing data in `[T+1,...,nobs]`
+
+     * forecast shock decomposition `Y(T+k|T)`
+
+     * realtime conditional shock decomposition `Y(T+k|T+k)-Y(T+k|T)`
+
+   + New block `shock_groups` that allows grouping shocks for the
+     `shock_decomposition` and `realtime_shock_decomposition` commands,
+
+   + New command `plot_shock_decomposition` that allows plotting the
+     results from `shock_decomposition` and
+     `realtime_shock_decomposition` for different vintages and shock
+     groupings.
+
+
+ - Macroprocessor
+
+   + Can now pass a macro-variable to the `@#include` macro directive,
+
+   + New preprocessor flag `-I`, macro directive `@#includepath`, and
+     dynare config file block `[paths]` to pass a search path to the
+     macroprocessor to be used for file inclusion via `@#include`.
+
+
+ - Command line
+
+   + New option `onlyclearglobals` (do not clear JIT compiled functions
+     with recent versions of Matlab),
+
+   + New option `minimal_workspace` to use fewer variables in the
+     current workspace,
+
+   + New option `params_derivs_order` allows limiting the order of the
+     derivatives with respect to the parameters that are calculated by
+     the preprocessor,
+
+   + New command line option `mingw` to support the MinGW-w64 C/C++
+     Compiler from TDM-GCC for `use_dll`.
+
+
+ - dates/dseries/reporting classes
+
+   + New methods `abs`, `cumprod` and `chain`,
+
+   + New option `tableRowIndent` to `addTable`,
+
+   + Reporting system revamped and made more efficient, dependency on
+     matlab2tikz has been dropped.
+
+
+ - Optimization algorithms
+
+   + `mode_compute=2` Uses the simulated annealing as described by
+     Corana et al. (1987),
+
+   + `mode_compute=101` Uses SOLVEOPT as described by Kuntsevich and
+     Kappel (1997),
+
+   + `mode_compute=102` Uses `simulannealbnd` from Matlab's Global
+     Optimization Toolbox (if available),
+
+   + New option `silent_optimizer` to shut off output from mode
+     computing/optimization,
+
+   + New options `verbosity` and `SaveFiles` to control output and
+     saving of files during mode computing/optimization.
+
+
+ - LaTeX output
+
+   + New command `write_latex_original_model`,
+
+   + New option `write_equation_tags` to `write_latex_dynamic_model`
+     that allows printing the specified equation tags to the generate
+     LaTeX code,
+
+   + New command `write_latex_parameter_table` that writes the names and
+     values of model parameters to a LaTeX table,
+
+   + New command `write_latex_prior_table` that writes the descriptive
+     statistics about the prior distribution to a LaTeX table,
+
+   + New command `collect_latex_files` that creates one compilable LaTeX
+     file containing all TeX-output.
+
+
+ - Misc.
+
+   + Provides 64bit preprocessor,
+
+   + Introduces new path management to avoid conflicts with other
+     toolboxes,
+
+   + Full compatibility with Matlab 2014b's new graphic interface,
+
+   + When using `model(linear)`, Dynare automatically checks
+     whether the model is truly linear,
+
+   + `usedll`, the `msvc` option now supports `normcdf`, `acosh`,
+     `asinh`, and `atanh`,
+
+   + New parallel option `NumberOfThreadsPerJob` for Windows nodes that
+     sets the number of threads assigned to each remote MATLAB/Octave
+     run,
+
+   + Improved numerical performance of
+     `schur_statespace_transformation` for very large models,
+
+   + The `all_values_required` option now also works with `histval`,
+
+   + Add missing `horizon` option to `ms_forecast`,
+
+   + BVAR now saves the marginal data density in
+     `oo_.bvar.log_marginal_data_density` and stores prior and
+     posterior information in `oo_.bvar.prior` and
+     `oo_.bvar.posterior`.