dynare issueshttps://git.dynare.org/Dynare/dynare/-/issues2024-03-04T15:13:48Zhttps://git.dynare.org/Dynare/dynare/-/issues/1924[New feature] Add Taylor projection method of Levintal2024-03-04T15:13:48ZWilli Mutschlerwilli@mutschler.eu[New feature] Add Taylor projection method of LevintalI am working on a project with rare disaster models and am looking into the Taylor Projection solution method. I think it is general enough to also incorporate into Dynare, might be a nice new feature for 7.0.I am working on a project with rare disaster models and am looking into the Taylor Projection solution method. I think it is general enough to also incorporate into Dynare, might be a nice new feature for 7.0.7.xWilli Mutschlerwilli@mutschler.euWilli Mutschlerwilli@mutschler.euhttps://git.dynare.org/Dynare/dynare/-/issues/1900Add Artificial bee colony optimizer2023-09-27T15:07:25ZWilli Mutschlerwilli@mutschler.euAdd Artificial bee colony optimizerArtificial bee colony (ABC) is a stochastic search technique based on swarm intelligence, which mimics the process of honey bee swarms foraging for food.
@jmaih has an implementation in RISE and - even though it is rather slow- it is su...Artificial bee colony (ABC) is a stochastic search technique based on swarm intelligence, which mimics the process of honey bee swarms foraging for food.
@jmaih has an implementation in RISE and - even though it is rather slow- it is supposed to be very powerful.7.xWilli Mutschlerwilli@mutschler.euWilli Mutschlerwilli@mutschler.euhttps://git.dynare.org/Dynare/dynare/-/issues/1796Implement observables decomposition2023-09-27T15:05:56ZJohannes PfeiferImplement observables decompositionFeatures request at the 2021 Summer School. Reference: https://www.dynare.org/wp-repo/dynarewp016.pdf
See also https://forum.dynare.org/t/decomposition-into-observables/17278Features request at the 2021 Summer School. Reference: https://www.dynare.org/wp-repo/dynarewp016.pdf
See also https://forum.dynare.org/t/decomposition-into-observables/172787.xhttps://git.dynare.org/Dynare/dynare/-/issues/1795Feature Request: Handling Indeterminacy à la Bianchi and Nicolo2023-09-27T15:07:55ZWilli Mutschlerwilli@mutschler.euFeature Request: Handling Indeterminacy à la Bianchi and NicoloWe might investigate whether we can include
["A Generalized Approach to Indeterminacy in Linear Rational Expectations Models" by Bianchi and Nicolò.](https://onlinelibrary.wiley.com/doi/full/10.3982/QE949)
They propose to do some pre-pr...We might investigate whether we can include
["A Generalized Approach to Indeterminacy in Linear Rational Expectations Models" by Bianchi and Nicolò.](https://onlinelibrary.wiley.com/doi/full/10.3982/QE949)
They propose to do some pre-processing of the model equations in the case of indeterminacy (essentially it creates an extended state-space system that is then determinate). I'll look into this in the semester break in July and August.7.xWilli Mutschlerwilli@mutschler.euWilli Mutschlerwilli@mutschler.euhttps://git.dynare.org/Dynare/dynare/-/issues/1673Nonlinear filters at k-order2020-02-17T09:28:31ZSébastien VillemotNonlinear filters at k-orderA MEX file for iterating in the state space (based on Dynare++) is already present in the `local_state_space_iteration_k` branch.
It needs to be tested and integrated in the estimation routines.A MEX file for iterating in the state space (based on Dynare++) is already present in the `local_state_space_iteration_k` branch.
It needs to be tested and integrated in the estimation routines.4.6Stéphane Adjemianstepan@adjemian.euStéphane Adjemianstepan@adjemian.euhttps://git.dynare.org/Dynare/dynare/-/issues/1173Support estimation under optimal policy2021-07-22T13:33:48ZJohannes PfeiferSupport estimation under optimal policySee http://www.dynare.org/phpBB3/viewtopic.php?f=1&t=8071See http://www.dynare.org/phpBB3/viewtopic.php?f=1&t=80715.xSébastien VillemotSébastien Villemothttps://git.dynare.org/Dynare/dynare/-/issues/827Feature request: Implement the algorithm of Ajevskis (2014) for perturbation ...2022-06-01T13:24:06ZTom HoldenFeature request: Implement the algorithm of Ajevskis (2014) for perturbation around a deterministic pathViktors Ajevskis has a [great new paper](https://ideas.repec.org/p/ltv/wpaper/201401.html) showing how the Lombardo pruning method may be extended to support perturbation around a deterministic path. This seems like a feature that would ...Viktors Ajevskis has a [great new paper](https://ideas.repec.org/p/ltv/wpaper/201401.html) showing how the Lombardo pruning method may be extended to support perturbation around a deterministic path. This seems like a feature that would be a huge benefit to virtually all Dynare users, since it makes it possible to e.g.:
- Solve non-stationary DSGE models, such as those featuring structural change.
- Evaluate the welfare consequences of a permanent change in policy, without sacrificing accuracy along the transition path.
- Obtain increased accuracy for large impulse response exercises.
- Unify the stochastic and non-stochastic simulation engines in Dynare.
It would be great if this could be added to the bottom of your very long to do list!
https://ideas.repec.org/p/ltv/wpaper/201401.htmlhttps://git.dynare.org/Dynare/dynare/-/issues/824Add an interface for joint priors.2021-09-01T14:06:52ZStéphane Adjemianstepan@adjemian.euAdd an interface for joint priors.Only available for the new estimation syntax. Something like:
``` example
[alpha, beta].prior(shape=gaussian, mean=Vector, variance=Matrix, ...)
```
This interface is needed for Dirichlet priors over probabilities.
Only available for the new estimation syntax. Something like:
``` example
[alpha, beta].prior(shape=gaussian, mean=Vector, variance=Matrix, ...)
```
This interface is needed for Dirichlet priors over probabilities.
https://git.dynare.org/Dynare/dynare/-/issues/569Integrate OccBin2021-07-21T16:03:22ZHoutan BastaniIntegrate OccBinhttps://github.com/lucashare/occbin
https://www2.bc.edu/matteo-iacoviello/research_files/TOOLKIT_PAPER.pdfhttps://github.com/lucashare/occbin
https://www2.bc.edu/matteo-iacoviello/research_files/TOOLKIT_PAPER.pdf5.xMarco RattoMarco Rattohttps://git.dynare.org/Dynare/dynare/-/issues/568Integrate DMM2021-09-15T15:49:13ZHoutan BastaniIntegrate DMMhttp://ipsc.jrc.ec.europa.eu/?id=790
http://ipsc.jrc.ec.europa.eu/fileadmin/repository/sfa/finepro/software/DMMmanual.pdf
http://ipsc.jrc.ec.europa.eu/?id=790
http://ipsc.jrc.ec.europa.eu/fileadmin/repository/sfa/finepro/software/DMMmanual.pdf
MichelJuillardMichelJuillardhttps://git.dynare.org/Dynare/dynare/-/issues/564ramsey policy at order 22019-12-12T10:30:42ZMichelJuillardramsey policy at order 2The code for computing a 2nd order approximation of Ramsey policy is already in place. I just need to complete the evaluation of objective function (at 3rd order).
The code for computing a 2nd order approximation of Ramsey policy is already in place. I just need to complete the evaluation of objective function (at 3rd order).
MichelJuillardMichelJuillardhttps://git.dynare.org/Dynare/dynare/-/issues/349Use preprocessor for variable transformation (e.g. exp for doing approximatio...2023-09-27T15:19:08ZJohannes PfeiferUse preprocessor for variable transformation (e.g. exp for doing approximation in log variables instead of level variables)An often heard request is a way to loglinearize a model instead of a linearization. Currently, the way to go is to put all variables in exp(). This is mechanic and error-prone work.
If it is easily doable, I would like to propose to use...An often heard request is a way to loglinearize a model instead of a linearization. Currently, the way to go is to put all variables in exp(). This is mechanic and error-prone work.
If it is easily doable, I would like to propose to use the preprocessor to make this substitution, similar to the predetermined_variables-command substituting the lag of the current period.
We could then add a command like
`model(loglinearize)`
to tell the preprocessor to loglinearize.
At the same time, we need a command like `non_logarithmic_variables` similar to the `predetermined_variables` command to exclude already logarithmic variables (like e.g. technology) or variables with a negative steady state. I think this is a better option than specifying explicitly which variables to substitute.
If possible, a design issue we would need to discuss is the behavior in steady state computation. I would suggest that the `model(loglinearize)` automatically triggers taking the log of the corresponding initvals so that users can enter the model in nonlinear standard form and Dynare takes care of the rest.6.xhttps://git.dynare.org/Dynare/dynare/-/issues/310conditional forecasting within deterministic simulations2013-03-08T15:27:28ZSébastien Villemotconditional forecasting within deterministic simulationsThese are forecasts conditional to a given path for some endogenous variables in the future. This is equivalent to the "hard tunes" done by the GPM team.
For the IMF.
These are forecasts conditional to a given path for some endogenous variables in the future. This is equivalent to the "hard tunes" done by the GPM team.
For the IMF.
4.4https://git.dynare.org/Dynare/dynare/-/issues/260implement trust-region method for non-linear solver2014-02-04T16:56:31ZSébastien Villemotimplement trust-region method for non-linear solverThe code in solve1.m to deal with the case where the Jacobian is near singular is unsatisfactory. We need to implement a trust region method as discussed in Nocedal and Wright (2006. This could also be done for the non-linear solver of b...The code in solve1.m to deal with the case where the Jacobian is near singular is unsatisfactory. We need to implement a trust region method as discussed in Nocedal and Wright (2006. This could also be done for the non-linear solver of bytecode
4.5Sébastien VillemotSébastien Villemothttps://git.dynare.org/Dynare/dynare/-/issues/251SMM: create preprocessor interface, make it compatible with Octave2020-05-28T08:57:07ZSébastien VillemotSMM: create preprocessor interface, make it compatible with OctaveIn particular, the current code is not compatible with Octave since it uses RandStream at several places.
In particular, the current code is not compatible with Octave since it uses RandStream at several places.
https://git.dynare.org/Dynare/dynare/-/issues/220add a homotopy mode for simul() and for steady with endval2016-06-01T12:23:27ZSébastien Villemotadd a homotopy mode for simul() and for steady with endvalCurrently homotopy only exist for steady with initval.
These features would be useful for GIMF at the IMF.
Currently homotopy only exist for steady with initval.
These features would be useful for GIMF at the IMF.
https://git.dynare.org/Dynare/dynare/-/issues/217permit Dynare to compute k order perturbation2019-04-29T16:45:54ZSébastien Villemotpermit Dynare to compute k order perturbationThe current restriction is order ≤ 3.
The current restriction is order ≤ 3.
Sébastien VillemotSébastien Villemothttps://git.dynare.org/Dynare/dynare/-/issues/162Global method: stochastic simulation approach2019-06-19T15:37:43ZSébastien VillemotGlobal method: stochastic simulation approachAs advocated by Judd, Maliar & Maliar in recent NBER WP.
For the IMF.
As advocated by Judd, Maliar & Maliar in recent NBER WP.
For the IMF.
https://git.dynare.org/Dynare/dynare/-/issues/152Stochastic Extended path2013-06-10T12:35:45ZSébastien VillemotStochastic Extended pathSome code already exists, it is mainly a matter of creating an interface.
Some code already exists, it is mainly a matter of creating an interface.
4.4Stéphane Adjemianstepan@adjemian.euStéphane Adjemianstepan@adjemian.euhttps://git.dynare.org/Dynare/dynare/-/issues/151BVAR priors: add interface to Marcett-Jarocinski' code2014-01-28T15:13:33ZSébastien VillemotBVAR priors: add interface to Marcett-Jarocinski' codeReference paper: ECB WP no. 1263
http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1263.pdf
Reference paper: ECB WP no. 1263
http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1263.pdf