diff --git a/NEWS b/NEWS index 5008450d29f5f125b82dc71cb0a441ae2451226e..593869107baddeef8c1cd15780ca712c0d932b8a 100644 --- a/NEWS +++ b/NEWS @@ -1,3 +1,184 @@ +Announcement for Dynare 4.3.0 (on 2012-06-15) +============================================= + +We are pleased to announce the release of Dynare 4.3.0. + +This major release adds new features and fixes various bugs. + +The Windows and Mac packages are already available for download. The GNU/Linux +packages should follow soon. + +All users are strongly encouraged to upgrade. + +The new release is compatible with MATLAB versions ranging from 7.0 (R14) to +7.14 (R2012a) and with GNU Octave versions ranging from 3.2 to 3.6. + +Here is the list of main user-visible changes: + + +* New major algorithms: + + - Nonlinear estimation with a particle filter based on a second order + approximation of the model, as in Fernández-Villaverde and Rubio-Ramírez + (2005); this is triggered by setting `order=2' in the `estimation' command + + - Extended path solution method as in Fair and Taylor (1983); see the + `extended_path' command + + - Support for Markov-Switching Structural Bayesian VARs (MS-SBVAR) along the + lines of Sims, Waggoner and Zha (2008) (see the dedicated section in the + reference manual) + + - Optimal policy under discretion along the lines of Dennis (2007); see the + `discretionary_policy' command + + - Identification analysis along the lines of Iskrev (2010); see the + `identification' command + + - The Global Sensitivity Analysis toolbox (Ratto, 2008) is now part of the + official Dynare distribution + + +* Other algorithmic improvements: + + - Stochastic simulation and estimation can benefit from block decomposition + (with the `block' option of `model'; only at 1st order) + + - Possibility of running smoother and filter on a calibrated model; see the + `calib_smoother' command + + - Possibility of doing conditional forecast on a calibrated model; see the + `parameter_set=calibration' option of the `conditional_forecast' command + + - The default algorithm for deterministic simulations has changed and is now + based on sparse matrices; the historical algorithm (Laffargue, Boucekkine + and Juillard) is still available under the `stack_solve_algo=6'option of the + `simul' command + + - Possibility of using an analytic gradient for the estimation; see the + `analytic_derivation' option of the `estimation' command + + - Implementation of the Nelder-Mead simplex based optimization routine for + computing the posterior mode; available under the `mode_compute=8' option of + the `estimation' command + + - Implementation of the CMA Evolution Strategy algorithm for computing the + posterior mode; available under the `mode_compute=9' option of the + `estimation' command + + - New solvers for Lyapunov equations which can accelerate the estimation of + large models; see the `lyapunov' option of the `estimation' command + + - New solvers for Sylvester equations which can accelerate the resolution of + large models with block decomposition; see the `sylvester' option of the + `stoch_simul' and `estimation' commands + + - The `ramsey_policy' command now displays the planner objective value + function under Ramsey policy and stores it in `oo_.planner_objective_value' + + - Theoretical autocovariances are now computed when the `block' option is + present + + - The `linear' option is now compatible with the `block' and `bytecode' + options + + - The `loglinear' option now works with purely backward or forward models at + first order + + +* New features in the user interface: + + - New mathematical primitives allowed in model block: `abs()', `sign()' + + - The behavior with respect to graphs has changed: + + + By default, Dynare now displays graphs and saves them to disk in EPS + format only + + + The format can be changed to PDF or FIG with the new `graph_format' + option + + + It is possible to save graphs to disk without displaying them with the + new `nodisplay' option + + - New `nocheck' option to the `steady' command: tells not to check the steady + state and accept values given by the user (useful for models with unit + roots) + + - A series of deterministic shocks can be passed as a pre-defined vector in + the `values' statement of a `shocks' block + + - New option `sub_draws' in the `estimation' command for controlling the + number of draws used in computing the posterior distributions of various + objects + + - New macroprocessor command `@#ifdef' for testing if a macro-variable is + defined + + - New option `irf_shocks' of the `stoch_simul' command, to allow IRFs to be + created only for certain exogenous variables + + - In the parallel engine, possibility of assigning different weights to nodes + in the cluster and of creating clusters comprised of nodes with different + operating systems (see the relevant section in the reference manual) + + - It is now possible to redefine a parameter in the `steady_state_model' block + (use with caution) + + - New option `maxit' in the `simul' and `steady' commands to determine the + maximum number of iterations of the nonlinear solver + + - New option `homotopy_force_continue' in the `steady' command to control the + behavior when a homotopy fails + + - Possibility of globally altering the defaults of options by providing a file + in the `GlobalInitFile' field of the configuration file (use with caution) + + - New option `nolog' to the `dynare' command line to avoid creating a logfile + + - New option `-D' to the `dynare' command line with for defining + macro-variables + + +* Miscellaneous: + + - The `use_dll' option of `model' now creates a MEX file for the static model + in addition to that for the dynamic model + + - The `unit_root_vars' command is now obsolete; use the `diffuse_filter' + option of the `estimation' command instead + + - New option `--burn' to Dynare++ to discard initial simulation points + + - New top-level MATLAB/Octave command `internals' for internal documentation + and unitary tests + + +* References: + +- Dennis, Richard (2007): “Optimal Policy In Rational Expectations Models: New + Solution Algorithms,” Macroeconomic Dynamics, 11(1), 31–55 + +- Fair, Ray and John Taylor (1983): “Solution and Maximum Likelihood Estimation + of Dynamic Nonlinear Rational Expectation Models,” Econometrica, 51, + 1169–1185 + +- Fernández-Villaverde, Jesús and Juan Rubio-Ramírez (2005): “Estimating + Dynamic Equilibrium Economies: Linear versus Nonlinear Likelihood,” Journal + of Applied Econometrics, 20, 891–910 + +- Iskrev, Nikolay (2010): “Local identification in DSGE models,” Journal of + Monetary Economics, 57(2), 189–202 + +- Ratto, Marco (2008): “Analysing DSGE models with global sensitivity + analysis'', Computational Economics, 31, 115–139 + +- Sims, Christopher A., Daniel F. Waggoner and Tao Zha (2008): “Methods for + inference in large multiple-equation Markov-switching models,” Journal of + Econometrics, 146, 255–274 + + + Announcement for Dynare 4.2.5 (on 2012-03-14) =============================================