NewFeatures

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 7 (unstable)

• Method of moments now supports estimation with discretionary optimal policy (!2279 (merged))

• Option values solve_algo={6,7,8} and stack_solve_algo={2,3} are now available without block nor bytecode (e14a4921, aa263e6a)

• More flexible syntax for specifying complementarity conditions (461c30fe, 656c1300)

  • The complementarity condition is now specified between the associated equation and its closing semicolon, using the perpendicular symbol as a separator (the latter can be input either in UTF-8, as ⟂, corresponding to Unicode codepoint U+27C2; or alternatively as pure ASCII, as _|_, i.e. a vertical bar enclosed within two underscores)
  • Both the lower and the upper bounds can be specified at the same time in a given complementarity condition
  • Arbitrary functions of parameters can appear in the bounds
  • The old syntax using the mcp equation tag is still supported but deprecated
  • Here is an example of an equation with an associated complementarity condition, using the new syntax:

mu = 0 ⟂ 0 < i < 1+2*alpha;

• Model-local variables (i.e. defined with a # sign) can now appear with a lead or a lag in the model block (the expression by which they will be replaced will be shifted accordingly) (#1929 (closed))

• New dr_cycle_reduction_maxiter option to the stoch_simul, estimation and method_of_moments command, to control the maximum number of iterations when the cycle reduction algorithm is used. (#1920 (closed), preprocessor!104 (merged), !2295 (merged))

• Incompatible changes

  • ⚠️ The default filename produced by the savemacro option of the dynare command has changed. It now contains an underscore (instead of a dash), for better compatibility with MATLAB/Octave syntax (preprocessor#126 (closed), preprocessor!105 (merged), !2296 (merged))

Dynare 6

• The Sequential Monte Carlo sampler as described by Herbst and Schorfheide (2014) is now available under value hssmc for option posterior_sampling_method.

• 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.

• New routines for IRF matching with stochastic simulations:

  • 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 (merged))

  • Available under option mom_method = irf_matching option to the method_of_moments command. (preprocessor!85 (merged))

  • New blocks matched_irfs and matched_irfs_weights for specifying the values and weights of the empirical impulse response functions. (preprocessor#124 (closed))

• Pruning à la Andreasen et al. (2018) is now available at an arbitrary approximation order when performing stochastic simulations with stoch_simul (!2147 (merged)), and at 3rd order when performing particle filtering. (!2071 (merged), particles!16, !2045 (merged))

• 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 (closed))

• New model editing features (21a8a579 and 4db28998)

  • Multiple model blocks are now supported (this was already working but not explicitly documented).

  • 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@60ef6bbd, preprocessor@ea44aa19)

  • New model_options statement to set model options in a global fashion. (preprocessor#19 (closed))

  • New model_remove command to remove equations. (preprocessor@1f004584)

  • New model_replace block to replace equations. (preprocessor@1f004584)

  • New var_remove command to remove variables (or parameters). (preprocessor@342c4faf)

  • New estimated_params_remove block to remove estimated parameters. (preprocessor@5ffbc5ba)

• Stochastic simulations

  • Performance improvements for simulation of the solution under perturbation and for particle filtering at higher order (⩾ 3). (#1802 (closed), !2071 (merged), particles!16, !2045 (merged))

  • Performance improvement for the first order perturbation solution using either cycle reduction (dr=cycle_reduction option) or logarithmic reduction (dr=logarithmic_reduction). (!2085 (merged), !2089 (merged))

  • New nomodelsummary option to the stoch_simul command, to suppress the printing of the model summary and the covariance of the exogenous shocks. (a00eb5e1)

• Estimation

  • 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 (merged))

  • 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)

  • New additional_optimizer_steps option to the estimation command to trigger the sequential execution of several optimizers when looking for the posterior mode. (!2178 (merged))

  • The generate_trace_plots command now allows comparing multiple chains. (baf8243f)

  • The Geweke and Raftery-Lewis convergence diagnostics will now also be displayed when mh_nblocks>1. (d0e99daf)

  • New robust, TolGstep, and TolGstepRel options to the optimizer available under mode_compute=5 (“newrat”). (!2231 (merged))

  • 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 (merged))

  • 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 (merged))

• Steady state computation

  • Steady state computation now accounts for occasionally-binding constraints of mixed-complementarity problems (as defined by mcp tags). (!1877 (merged))

  • New tolx option to the steady command for governing the termination based on the step tolerance. (preprocessor!60 (merged))

  • New fsolve_options option to the steady command for passing options to fsolve (in conjunction with the solve_algo=0 option). (#1856 (closed))

  • 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). (2e3fbfc0)

  • New non_zero option to resid command to restrict display to non-zero residuals. (preprocessor@9db21a23, 3d7299c1)

• 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. (17b016d9, be648d35, 77a7d5c3)

  • 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. (5145bd07)

  • 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).

  • Various improvements to homotopy

    • 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). (d5a3a8e1)

    • 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%. (d5a3a8e1)

    • 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. (d5a3a8e1)

    • Purely backward, forward and static models are now supported by the homotopy procedure. (fe142b66)

    • New homotopy_exclude_varexo option to the perfect_foresight_solver command, for excluding exogenous variables from the homotopy procedure (only available since version 6.1) (9f65299d)

  • 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. (06f665e2)

• OccBin

  • 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)

  • 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 )

• Optimal policy

  • The osr command now accepts the analytic_derivation and analytic_derivation_mode options. (!2171 (closed))

  • The evaluate_planner_objective command now computes the unconditional welfare for higher-order approximations (⩾ 3). (!1962 (merged))

  • New periods and drop options to the evaluate_planner_objective command. (!1967 (closed))

• Semi-structural models

  • 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). (b297353b)

  • 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. (b297353b)

  • 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.

• dseries classes

  • 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@d6c8d039).

• Misc

  • New display_parameter_values command to print the parameter values in the command window. (!2268 (merged))

  • New collapse_figures_in_tabgroup command to dock all figures. (!2263 (merged))

  • Performance improvement for the use_dll option of the model block. The preprocessor now takes advantage of parallelization when compiling the MEX files. (preprocessor@f6053df7, preprocessor@5cf4729a, preprocessor@dd66459e, preprocessor@3dd40c6c)

  • New mathematical primitives available: complementary error function (erfc), hyperbolic functions (cosh, sinh, tanh, acosh, asinh, atanh). (preprocessor#85 (closed), preprocessor@c0ea8d72)

  • New last_simulation_period option to the initval_file command. (#1838 (closed), f5f47cd8, preprocessor@ddddf89d)

  • The calib_smoother command now accepts the nobs and heteroskedastic_filter options. (!2110 (merged))

  • Under the MATLAB Desktop, autocompletion is now available for the dynare command and other CLI commands (thanks to Eduard Benet Cerda from MathWorks). (36a2a41e)

  • 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 interactive MATLAB/Octave command search for listing the equations in which given variable(s) appear (requires json command line option). (#1886 (closed))

  • 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.

  • 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). (43b24fac)

  • 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.

• Incompatible changes

  • ⚠️ The default value of the mode_compute option of the estimation command has been changed to 5 (it was previously 4).

  • ⚠️ 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.

  • ⚠️ 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). (43b24fac)

  • ⚠️ 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 (closed))

  • ⚠️ The dynare_sensitivity command has been renamed sensitivity. The old name is still accepted but triggers a warning. (66bc9fd9)

  • ⚠️ The syntax resid(1) is no longer supported.

  • ⚠️ 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)

  • ⚠️ The periods command has been removed. (1b47c8a5)

  • ⚠️ The Sigma_e command has been removed. (e30314e7)

  • ⚠️ The block option of the model block no longer has an effect when used in conjunction with stoch_simul or estimation commands. (8f1a4cb3)

  • ⚠️ The Dynare++ executable is no longer distributed since almost all of its functionalities have been integrated inside Dynare for MATLAB/Octave. (c1922c3a)

  • ⚠️ 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 (closed))

  • ⚠️ The parallel_slave_open_mode option of the dynare command has been renamed parallel_follower_open_mode. (preprocessor#86 (closed), !1976 (merged))

  • ⚠️ 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

• New routines for simulating semi-structural (backward) models where some equations incorporate expectations based on future values of a VAR or trend component model. See the var_model, trend_component_model and var_expectation_model commands, and the var_expectation operator.

• New routines for simulating semi-structural models where some equations are specified using the polynomial adjustment costs (PAC) approach, as in the FRB/US model (see Brayton et al., 2014 and Brayton et al., 2000) and the ECB-BASE model (see Angelini et al., 2019). The forward-looking terms of the PAC equations can be computed either using a satellite VAR model, or using full model-consistent expectations. See the pac_model command and the pac_expectation operator.

• New Method of Moments toolbox that provides 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. The toolbox is inspired by replication codes accompanied to Andreasen et al. (2018), Born and Pfeifer (2014), and Mutschler (2018). It is accessible via the new method_of_moments command (!1750 (merged)) and the new matched_moments block (preprocessor!23 (merged)). 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) (3615962a, b4f293bd). 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 (a697002a).

• Implementation of the Occbin algorithm by Guerrieri and Iacoviello (2015) (#569 (closed), preprocessor#68 (closed)), together with the inversion filter of Cuba-Borda, Guerrieri, Iacoviello, and Zhong (2019) and the piecewise Kalman filter of Giovannini, Pfeiffer, and Ratto (2021) (!1876 (closed)). It is available via the new block occbin_constraints and the new commands occbin_setup, occbin_solver, occbin_graph and occbin_write_regimes.

• Stochastic simulations

  • stoch_simul now supports theoretical moments at order=3 with pruning. (dfc73576)

  • stoch_simul now reports second moments based on the pruned state space if the pruning option is set (in previous Dynare releases it would report a second-order accurate result based on the linear solution). (4cf9f7d1)

• Estimation

  • Performance optimization to pruned state space system and Lyapunov solvers. (!1749 (merged), !1745 (merged), #1737 (closed))

  • New option mh_posterior_mode_estimation to estimation to perform mode-finding by running the MCMC. (preprocessor@8d14e18c)

  • New heteroskedastic filter and smoother, where shocks standard error may unexpectedly change in every period. Triggered by heteroskedastic_filter option of the estimation command, and configured via the heteroskedastic_shocks block. (!1844 (closed), !1851 (closed))

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

  • New option smoother_redux to estimation and calib_smoother to trigger computing the Kalman smoother on a restricted state space instead of the full one. (!1859 (merged))

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

  • New option mh_initialize_from_previous_mcmc to the estimation command that allows to pick initial values for a new MCMC from a previous one. (!1841 (closed))

  • The xls_sheet option of the estimation command now takes a quoted string as value. The former unquoted syntax is still accepted, but no longer recommended. (preprocessor#67 (closed))

  • New option particle_filter_options to set various particle filter options

• Perfect foresight and extended path

  • New specialized algorithm in perfect_foresight_solver to deal with purely static problems. (27ee801a)

  • The debug option of perfect_foresight_solver provides debugging information if the Jacobian is singular. (!1834 (merged))

  • 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 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 endogenous may correspond to a more complex nonlinear expression. (preprocessor@9bca65c7)

• Optimal policy

  • Several improvements to evaluate_planner_objective:

    • it now applies a consistent approximation order when doing the computation;
    • in addition to the conditional welfare, it now also provides the unconditional welfare;
    • in a stochastic context, it now works with higher order approximation (only the conditional welfare is available for order ⩾ 3); (!1828 (merged), !1866 (closed))
    • it now also works in a perfect foresight context. (!1833 (merged))

  • 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))

• Identification

  • 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))

  • The identification command now supports optimal policy. (!1852 (merged))

• Shock decomposition

  • The fast_realtime option of the realtime_shock_decomposition command now accepts a vector of integers, which runs the smoother for all the specified data vintages. (!1842 (closed))

• Macro processor

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

• LaTeX and JSON outputs

  • New nocommutativity option to the dynare command. This option tells the preprocessor not to use the commutativity of addition and multiplication when looking for common subexpressions. As a consequence, when using this option, equations in various outputs (LaTeX, JSON…) will appear as the user entered them (without terms or factors swapped). Note that using this option may have a performance impact on the preprocessing stage, though it is likely to be small. (preprocessor@c9c36c03)

  • 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).

• Compilation of the model (use_dll option)

  • Block decomposition (option block of model) can now be used in conjunction with the use_dll option.

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

• dseries classes

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

  • 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.

• Misc improvements

  • The histval_file and initval_file commands have been made more flexible and now have functionalities similar to the datafile option of the estimation command. (#1671 (closed))

  • 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))

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

  • The model_info command now prints the typology of endogenous variables for non-block decomposed models.

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

  • New notime option to the dynare command, to disable the printing and the saving of the total computing time. (preprocessor@27a8b3b7)

  • New parallel_use_psexec command-line Windows-specific option for parallel local clusters: when true (the default), use psexec to spawn processes; when false, use start. (!1843 (closed))

  • 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.

• Different versions of Dynare are now available as Docker Containers.

• Incompatible changes

  • ⚠️ Dynare will now generally save its output in the MODFILENAME/Output folder (or the DIRNAME/Output folder if the dirname option was specified) instead of the main directory. Most importantly, this concerns the _results.mat and the _mode.mat files.

  • ⚠️ The structure of the oo_.planner_objective field has been changed, in relation to the improvements to evaluate_planner_objective.

  • ⚠️ 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).

• Platform requirements

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

  • ⚠️ The 32-bit support has been dropped for Windows. (#1713 (closed))

• References

  • Andreasen et al. (2018): “The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications,” Review of Economic Studies, 85(1), pp. 1-49.
  • Angelini, Bokan, Christoffel, Ciccarelli and Zimic (2019): “Introducing ECB-BASE: The blueprint of the new ECB semi-structural model for the euro area”, ECB Working Paper no. 2315
  • 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”, Unpublished manuscript.
  • 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 models with occasionally binding constraints,” Working Papers 2021-03, Joint Research Centre, European Commission
  • Guerrieri and Iacoviello (2015): “OccBin: A toolkit for solving dynamic models with occasionally binding constraints easily,” Journal of Monetary Economics, 70, 22–38.
  • Mutschler (2018): “Higher-order statistics for DSGE models”, Econometrics and Statistics, 6(C), 44-56.

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 (closed))

  • 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.