diff --git a/NEWS b/NEWS index f1465571a7aa14932bd1fd813220d930a0ca1292..66bfd6256a23d115b339df3a703e284f4b2ea713 100644 --- a/NEWS +++ b/NEWS @@ -1,3 +1,240 @@ +Announcement for Dynare 4.4.0 (on 2013-12-11) +============================================= + +We are pleased to announce the release of Dynare 4.4.0. + +This major release adds new features and fixes various bugs. + +The Windows package is already available for download. The Mac and +Debian/Ubuntu packages should follow soon. + +All users are strongly encouraged to upgrade. + +This release is compatible with MATLAB versions ranging from 7.3 (R2006b) to +8.1 (R2013b) and with GNU Octave version 3.6. + +Here is the list of major user-visible changes: + + +* New major algorithms: + + - Extended path at order 1 and above, also known as “stochastic extended + path”. This method is triggered by setting the `order' option of the + `extended_path' command to a value greater than 0. Dynare will then use a + Gaussian quadrature to take into account the effects of future uncertainty. + The time series for the endogenous variables are generated by assuming that + the agents believe that there will no more shocks after period t+order. + + - Alternative algorithms for computing decision rules of a stochastic model, + based on the cycle reduction and logarithmic reduction algorithms. These + methods are respectively triggered by giving `dr = cycle_reduction' or 'dr + = logarithmic_reduction' as an option to the `stoch_simul' command. + + - Pruning now works with 3rd order approximation, along the lines of + Andreasen, Fernández-Villaverde and Rubio-Ramírez (2013). + + - Computation of conditional forecast using an extended path method. This is + triggered by the new option `simulation_type = deterministic' in the + `conditional_forecast' command. In this case, the `expectation' command in + the `conditional_forecast_paths' block has to be used to indicate the nature + of expectations (whether shocks are a surprise or are perfectly + anticipated). + + - Endogenous priors as in Christiano, Trabandt and Walentin (2011). Those are + triggered by the new option `endogenous_prior' of the `estimation' command. + + +* Other algorithmic improvements: + + - New command `model_diagnostics' to perform various sanity checks on the + model. Note: in the past, some users may have used a preliminary MATLAB + function implementing this; the new command has the same syntax, except that + you shouldn't pass any argument to it. + + - Terminal conditions of perfect foresight simulations can now be specified in + growth rates. More specifically, the new option `differentiate_forward_vars' + of the `model' block will create auxiliary forward looking variables + expressed in first differences or growth rates of the actual forward looking + variables defined in the model. These new variables have obvious zero + terminal conditions whatever the simulation context and this in many cases + helps convergence of simulations. + + - Convergence diagnostics for single chain MCMC à la Geweke (1992, 1999). + + - New optimizer for the posterior mode (triggered by `mode_compute=10'): it + uses the simpsa algorithm, based on the combination of the non-linear + simplex and simulated annealing algorithms and proposed by Cardoso, Salcedo + and Feyo de Azevedo (1996). + + - The automatic detrending engine has been extended to work on models written + in logs. The corresponding trend variable type is `log_trend_var', and the + corresponding deflator type is `log_deflator'. + + +* New features in the user interface: + + - New set of functions for easily creating PDF reports including figures and + tables. See the “Reporting” section in the reference manual for more + details. + + - New MATLAB/Octave classes for handling time series. See the “Time series” + section in the reference manual for more details. + + - Datafiles in CSV format can now be used for estimation. + + - New macro processor `length' operator, returns the length of an array. + + - New option `all_values_required' of `initval' and `endval' blocks: enforces + initialization of all endogenous and exogenous variables within the block. + + - Option `ar' can now be given to the `estimation' command. + + - New options `nograph', `nointeractive', `nostrict' and `nowarn' to the + `dynare' command. + + - The information on MCMC acceptance rates, seeds, last log posterior + likelihood, and last parameter draw are now saved in `oo_.MC_record'. + + - New options `mode_check_neighbourhood_size', `mode_check_symmetric_plots' + and `mode_check_number_of_points', for a better control of the diagnostic + plots. + + - New option `parallel_local_files' of `model' block, for transferring extra + files during parallel computations. + + - New option `clock' of `set_dynare_seed', for setting a different seed at + each run. + + - New option `qz_zero_threshold' of the `check', `stoch_simul' and + `estimation' commands, for a better control of the situation where a + generalized eigenvalue is close to 0/0. + + - New `verbatim' block for inclusion of text that should pass through the + preprocessor and be placed as is in the `modfile.m' file. + + - New option `mcmc_jumping_covariance' of the `estimation' command, for a + better control of the covariance matrix used for the proposal density of the + MCMC sampler. + + - New option `use_calibration' of the `estimated_params_init', for using the + calibration of deep parameters and the elements of the covariance matrix + specified in the `shocks' block as starting values for the estimation. + + - New option `save_draws' of the `ms_simulation' command. + + - New option `irf_plot_threshold' of the `stoch_simul' and `estimation' + commands, for a better control of the display of IRFs which are almost nil. + + - New option `long_name' for endogenous, exogenous and parameter declarations, + which can be used to declare a long name for variables. That long name can + be programmatically retrieved in `M_.endo_names_long'. + + +* Miscellaneous changes + + - The deciles of some posterior moments were erroneously saved in a field + `Distribution' under `oo_'. This field is now called `deciles', for + consistency with other posterior moments and with the manual. Similarly, the + fields `Mean', `Median', `HPDsup', `HPDinf', and `Variance' are now + consistently capitalized. + + - The console mode now implies the `nodisplay' option. + + +* Bugs and problems identified in version 4.3.3 and that have been fixed in + version 4.4.0: + + - In an `endval' block, auxiliary variables were not given the right value. + This would not result in wrong results, but could prevent convergence of + the steady state computation. + + - Deterministic simulations with `stack_solve_algo=0' (the default value) were + crashing if some exogenous had a lag strictly greater than 1. + + - When using the `mode_file' option, the initial estimation checks were not + performed for the loaded mode, but for the original starting values. Thus, + potential prior violations by the mode only appeared during estimation, + leading to potentially cryptic crashes and error messages. + + - If a shock/measurement error variance was set to 0 in calibration, the + correlation matrix featured a 0 instead of a 1 on the diagonal, leading to + wrong estimation results. + + - In the presence of calibrated covariances, estimation did not enforce + positive definiteness of the covariance matrix. + + - Estimation using the `diffuse_filter' option together with the univariate + Kalman filter and a diagonal measurement error matrix was broken. + + - A purely backward model with `k_order_solver' was leading to crashes of + MATLAB/Octave. + + - Non-linear estimation was not skipping the specified presample when + computing the likelihood. + + - IRFs and theoretical moments at order > 1 were broken for purely + forward-looking models. + + - Simulated moments with constant variables was leading to crashes when + displaying autocorrelations. + + - The `osr' command was sometimes crashing with cryptic error messages because + of some unaccounted error codes returned from a deeper routine. + + - The check for stochastic singularity during initial estimation checks was + broken. + + - Recursive estimation starting with the pathological case of `nobs=1' was + crashing. + + - Conditional variance decomposition within or after estimation was crashing + when at least one shock had been calibrated to zero variance. + + - The `estimated_params_init' and `estimated_params_bounds' blocks were broken + for correlations. + + - The `filter_step_ahead' option was not producing any output in Bayesian + estimation. + + - Deterministic simulations were sometimes erroneously indicating convergence + although the residuals were actually NaN or Inf. + + - Supplying a user function in the `mode_compute' option was leading to + a crash. + + - Deterministic simulation of models without any exogenous variable was + crashing. + + - The MS-SBVAR code was not updating files between runs on Windows. This means + that if a MOD file was updated between runs in the same folder and a + `file_tag' was not changed, then the results would not change. + + +* References: + + - Andreasen, Martin M., Jesús Fernández-Villaverde, and Juan Rubio-Ramírez + (2013): “The Pruned State-Space System for Non-Linear DSGE Models: Theory + and Empirical Applications,” NBER Working Paper, 18983 + + - Cardoso, Margarida F., R. L. Salcedo and S. Feyo de Azevedo (1996): “The + simplex simulated annealing approach to continuous non-linear optimization,” + Computers chem. Engng, 20(9), 1065-1080 + + - Christiano, Lawrence J., Mathias Trabandt and Karl Walentin (2011): + “Introducing financial frictions and unemployment into a small open economy + model,” Journal of Economic Dynamics and Control, 35(12), 1999-2041 + + - Geweke, John (1992): “Evaluating the accuracy of sampling-based approaches + to the calculation of posterior moments,” in J.O. Berger, J.M. Bernardo, + A.P. Dawid, and A.F.M. Smith (eds.) Proceedings of the Fourth Valencia + International Meeting on Bayesian Statistics, pp. 169-194, Oxford University + Press + + - Geweke, John (1999): “Using simulation methods for Bayesian econometric + models: Inference, development and communication,” Econometric Reviews, + 18(1), 1-73 + + Announcement for Dynare 4.3.3 (on 2013-04-12) =============================================