NewFeatures

This page documents the new features in Dynare. For previous versions of Dynare, please read the dedicated frozen page on the DynareWiki.

Dynare 4.6-unstable

• The macroprocessor now accepts empty arrays, with the [] syntax (#707)

• 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, ...). This new feature opens the possibility to develop alternative back-ends for the Dynare language.

• Added the possibility to declare Dynare command options in the mod file.

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

• write_latex_static_model and write_latex_original_model now support the write_equation_tags-option (#1431)

• The calib_smoother-command now take the option parameter_set (#1477)

• New command model_local_variable that allows defining LaTeX-expressions for model-local variables (#563)

• Always write M_.state_var, independently of what commands are issued (#637)

• New command-line option nopreprocessoroutput (#1390)

• New command write_latex_steady_state_model (#1496)

• Ability to call the preprocessor by passing the .mod file as a string argument from the macOS or GNU/Linux command line (#1509)

• Variance decomposition of observables now accounts for measurement error (#1486)

• New macro directives @#echomacrovars and @#echomacrovars(save) (#1564)

• The dynare_sensitivity-command now accepts the diffuse_filter-option (#1562)

• New dynare option noemptylinemacro (#1551)

• Added debugging info on NaN and Inf parameters (#1538)

• 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) and (#1552)

• New syntax to declare model variables in the model block #1386

• Added option mh_tune_jscale in estimation for tuning the scale parameter of the proposal distribution of the Random Walk Metropolis Hastings.

• Added possibility to create macroprocessor functions that return strings see commit

• Allow for on-the-fly variable declaration in equation tags see commit

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).

• 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),

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

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

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

  • 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),

  • 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),

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

  • 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),

  • 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),

  • 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).

• 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),

  • 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),

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

  • 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.