Announcement for Dynare 4.5.3 (on 2017-10-19)
=============================================
We are pleased to announce the release of Dynare 4.5.3.
This is a bugfix release. It comes less than 24 hours after the previous release,
because version 4.5.2 was affected by a critical bug for MATLAB older than R2016b.
The Windows packages are already available for download at:
http://www.dynare.org/download/dynare-stable
The Mac and GNU/Linux packages (for Debian and Ubuntu LTS) should follow soon.
This release is compatible with MATLAB versions 7.3 (R2006b) to 9.3 (R2017b)
and with GNU Octave versions 4.2.
Here is a list of the problems identified in version 4.5.1 and that have been
fixed in version 4.5.2:
- `isfile` routine was failing with matlab older than R2016b. This bug did not
affect Octave.
Announcement for Dynare 4.5.2 (on 2017-10-19)
=============================================
We are pleased to announce the release of Dynare 4.5.2.
This is a bugfix release.
The Windows packages are already available for download at:
http://www.dynare.org/download/dynare-stable
The Mac and GNU/Linux packages (for Debian and Ubuntu LTS) should follow soon.
This release is compatible with MATLAB versions 7.3 (R2006b) to 9.3 (R2017b)
and with GNU Octave versions 4.2.
Here is a list of the problems identified in version 4.5.1 and that have been
fixed in version 4.5.2:
- Fixed bug in perfect foresight solver:
+ If expected shocks were declared after the terminal period, as specified
by the `periods` option, Dynare was crashing.
+ Models declared with the `linear` option were crashing if exogenous
variables were present with a lead or lag.
- After ML or Bayesian estimation when the smoother option or `mh_replic=0`
were not specified, not all smoothed measurement errors were displayed.
- Fixed error in reference manual about the `conditional_forecasts` command.
- Fixed smoother behaviour, provide informative error instead of crashing when
model cannot be solved.
- The `nopathchange` preprocessor option was always triggered, regardless of
whether it was passed or not.
- When `ramsey_policy` is used, allow state variables to be set in `histval`
block.
- `histval` erroneously accepted leads, leading to cryptic crashes.
- The prior MC draws from previous runs were not deleted, potentially
resulting in loading stale files.
- `estim_params_` was being declared `global` more than once.
- Fixed crashes happening when simulating linear models with order>1.
- Make empirical moments independent of `simul_replic`, as stated in the
reference manual, by outputting moments computed with the first simulated
sample.
- The `prior_function` required a preceding `estimation`-command to properly
set up the prior.
- If the mode for a parameter was at exactly 0, `mode_check` was crashing.
- Fixed `get_posterior_parameters`-routine which should not do more than
getting parameters. As a consequense, the `shock_decomposition`-command
did not correctly set the `parameter_set` for use in subsequent function
calls if shocks are correlated or measurement error is present.
- Fixed bug in Ramsey problem with constraints both on a policy instrument and
another variable. Note that the constraint on a variable that is not an
instrument of the Ramsey problem must be written with an equation tag in the
model block.
- Fixed bug in Ramsey problem with constraints on policy instrument.
- Fixed crash with optimizer 5 when not used with DSGE model at order 1.
- Fixed mex file used for third order approximation (was crashing on
Matlab/Windows 7).
Announcement for Dynare 4.5.1 (on 2017-08-24)
=============================================
We are pleased to announce the release of Dynare 4.5.1.
This is a bugfix release.
The Windows packages are already available for download at:
http://www.dynare.org/download/dynare-stable
The Mac and GNU/Linux packages (for Debian and Ubuntu LTS) should follow soon.
This release is compatible with MATLAB versions 7.3 (R2006b) to 9.2 (R2017a)
and with GNU Octave versions 4.2.
Here is a list of the problems identified in version 4.5.0 and that have been
fixed in version 4.5.1:
- Fixed out of memory issue with simpsa optimization algorithm.
- Added missing plots for measurement errors with `generate_trace_plot`
command.
- Posterior moments after MCMC for very big models were not correctly computed
and their plotting might crash Dynare.
- Results of the posterior conditional variance decomposition after MCMC were
not correctly computed.
- Options `use_shock_groups` and `colormap` of the `shock_decomposition`
command were not working.
- Added a clean error message if sensitivity toolbox is used with recursive
estimation.
- Computation of posterior filtered variables was crashing in models with only
one variable.
- Fixed various typos and errors in the reference manual.
Announcement for Dynare 4.5.0 (on 2017-06-11)
=============================================
We are pleased to announce the release of Dynare 4.5.0.
This major release adds new features and fixes various bugs.
The Windows packages are already available for download at:
http://www.dynare.org/download/dynare-stable
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
9.2 (R2017a) and with GNU Octave version 4.2.
Here is the list of major user-visible changes:
- 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. Usefull to compute Ramsey policy in a perfect
foresight model,
+ `ramsey_policy` accepts multipliers in its variable list and
displays results for them.
- 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,
+ Forecasts accounting for measurement error are now saved in fields
of the form `HPDinf_ME` and `HPDsup_ME`,
+ 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`,
`mh_conf_sig`, `diffuse_kalman_tol`, `dirname`, `nodecomposition`
+ `load_mh_file` and `mh_recover` now try to load chain's proposal density,
+ New option `load_results_after_load_mh` that allows loading some
posterior results from a previous run if no new MCMC draws are
added,
+ 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,
+ New commands `prior_function` and `posterior_function` that
execute a user-defined function on parameter draws from the
prior/posterior distribution,
+ 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`,
+ 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,
+ 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`.
- 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,
+ 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`,
+ New parallel option `NumberOfThreadsPerJob` for Windows nodes that
sets the number of threads assigned to each remote MATLAB/Octave
run,
+ 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`.
* Bugs and problems identified in version 4.4.3 and that have been fixed in version 4.5.0:
- BVAR models
+ `bvar_irf` could display IRFs in an unreadable way when they moved from
negative to positive values,
+ In contrast to what is stated in the documentation, the confidence interval
size `conf_sig` was 0.6 by default instead of 0.9.
- Conditional forecasts
+ The `conditional_forecast` command produced wrong results in calibrated
models when used at initial values outside of the steady state (given with
`initval`),
+ The `plot_conditional_forecast` option could produce unreadable figures if
the areas overlap,
+ The `conditional_forecast` command after MLE crashed,
+ In contrast to what is stated in the manual, the confidence interval size
`conf_sig` was 0.6 by default instead of 0.8.
+ Conditional forecasts were wrong when the declaration of endogenous
variables was not preceeding the declaration of the exogenous
variables and parameters.
- Discretionary policy
+ Dynare allowed running models where the number of instruments did not match
the number of omitted equations,
+ Dynare could crash in some cases when trying to display the solution,
+ Parameter dependence embedded via a `steady_state` was not taken into
account, typically resulting in crashes.
- dseries class
+ When subtracting a dseries object from a number, the number was instead
subtracted from the dseries object.
- DSGE-VAR models
+ Dynare crashed when estimation encountered non-finite values in the Jacobian
at the steady state,
+ The presence of a constant was not considered for degrees of freedom
computation of the Gamma function used during the posterior computation; due
to only affecting the constant term, results should be be unaffected, except
for model_comparison when comparing models with and without.
- Estimation command
+ In contrast to what was stated in the manual, the confidence interval size
`conf_sig` for `forecast` without MCMC was 0.6 by default instead of 0.9,
+ Calling estimation after identification could lead to crashes,
+ When using recursive estimation/forecasting and setting some elements of
`nobs` to be larger than the number of observations T in the data,
`oo_recursive_` contained additional cell entries that simply repeated the
results obtained for `oo_recursive_T`,
+ Computation of Bayesian smoother could crash for larger models when
requesting `forecast` or `filtered_variables`,
+ Geweke convergence diagnostics were not computed on the full MCMC chain when
the `load_mh_file` option was used,
+ The Geweke convergence diagnostics always used the default `taper_steps` and
`geweke_interval`,
+ Bayesian IRFs (`bayesian_irfs` option) could be displayed in an unreadable
way when they move from negative to positive values,
+ If `bayesian_irfs` was requested when `mh_replic` was too low to compute
HPDIs, plotting was crashing,
+ The x-axis value in `oo_.prior_density` for the standard deviation and
correlation of measurement errors was written into a field
`mearsurement_errors_*` instead of `measurement_errors_*`,
+ Using a user-defined `mode_compute` crashed estimation,
+ Option `mode_compute=10` did not work with infinite prior bounds,
+ The posterior variances and covariances computed by `moments_varendo` were
wrong for very large models due to a matrix erroneously being filled up with
zeros,
+ Using the `forecast` option with `loglinear` erroneously added the unlogged
steady state,
+ When using the `loglinear` option the check for the presence of a constant
was erroneously based on the unlogged steady state,
+ Estimation of `observation_trends` was broken as the trends specified as a
function of deep parameters were not correctly updated during estimation,
+ When using `analytic_derivation`, the parameter values were not set before
testing whether the steady state file changes parameter values, leading to
subsequent crashes,
+ If the steady state of an initial parameterization did not solve, the
observation equation could erroneously feature no constant when the
`use_calibration` option was used,
+ When computing posterior moments, Dynare falsely displayed that moment
computations are skipped, although the computation was performed correctly,
+ If `conditional_variance_decomposition` was requested, although all
variables contain unit roots, Dynare crashed instead of providing an error
message,
+ Computation of the posterior parameter distribution was erroneously based
on more draws than specified (there was one additional draw for every Markov
chain),
+ The estimation option `lyapunov=fixed_point` was broken,
+ Computation of `filtered_vars` with only one requested step crashed Dynare,
+ Option `kalman_algo=3` was broken with non-diagonal measurement error,
+ When using the diffuse Kalman filter with missing observations, an additive
factor log(2*pi) was missing in the last iteration step,
+ Passing of the `MaxFunEvals` and `InitialSimplexSize` options to
`mode_compute=8` was broken,
+ Bayesian forecasts contained initial conditions and had the wrong length in
both plots and stored variables,
+ Filtered variables obtained with `mh_replic=0`, ML, or
`calibrated_smoother` were padded with zeros at the beginning and end and
had the wrong length in stored variables,
+ Computation of smoothed measurement errors in Bayesian estimation was broken,
+ The `selected_variables_only` option (`mh_replic=0`, ML, or
`calibrated_smoother`) returned wrong results for smoothed, updated, and
filtered variables,
+ Combining the `selected_variables_only` option with forecasts obtained
using `mh_replic=0`, ML, or `calibrated_smoother` leaded to crashes,
+ `oo_.UpdatedVariables` was only filled when the `filtered_vars` option was specified,
+ When using Bayesian estimation with `filtered_vars`, but without
`smoother`, then `oo_.FilteredVariables` erroneously also contained filtered
variables at the posterior mean as with `mh_replic=0`,
+ Running an MCMC a second time in the same folder with a different number of
iterations could result in crashes due to the loading of stale files,
+ Results displayed after Bayesian estimation when not specifying
the `smoother` option were based on the parameters at the mode
from mode finding instead of the mean parameters from the
posterior draws. This affected the smoother results displayed, but
also calls to subsequent command relying on the parameters stored
in `M_.params` like `stoch_simul`,
+ The content of `oo_.posterior_std` after Bayesian estimation was based on
the standard deviation at the posterior mode, not the one from the MCMC, this
was not consistent with the reference manual,
+ When the initialization of an MCMC run failed, the metropolis.log file was
locked, requiring a restart of Matlab to restart estimation,
+ If the posterior mode was right at the corner of the prior bounds, the
initialization of the MCMC erroneously crashed,
+ If the number of dropped draws via `mh_drop` coincided with the number of
draws in a `_mh'-file`, `oo_.posterior.metropolis.mean` and
`oo_.posterior.metropolis.Variance` were NaN.
- Estimation and calibrated smoother
+ When using `observation_trends` with the `prefilter` option, the mean shift
due to the trend was not accounted for,
+ When using `first_obs`>1, the higher trend starting point of
`observation_trends` was not taken into account, leading, among other things,
to problems in recursive forecasting,
+ The diffuse Kalman smoother was crashing if the forecast error variance
matrix becomes singular,
+ The multivariate Kalman smoother provided incorrect state estimates when
all data for one observation are missing,
+ The multivariate diffuse Kalman smoother provided incorrect state estimates
when the `Finf` matrix becomes singular,
+ The univariate diffuse Kalman filter was crashing if the initial covariance
matrix of the nonstationary state vector is singular,
- Forecats
+ In contrast to what is stated in the manual, the confidence interval size
`conf_sig` was 0.6 by default instead of 0.9.
+ Forecasting with exogenous deterministic variables provided wrong decision
rules, yielding wrong forecasts.
+ Forecasting with exogenous deterministic variables crashed when the
`periods` option was not explicitly specified,
+ Option `forecast` when used with `initval` was using the initial values in
the `initval` block and not the steady state computed from these initial
values as the starting point of forecasts.
- Global Sensitivity Analysis
+ Sensitivity with ML estimation could result in crashes,
+ Option `mc` must be forced if `neighborhood_width` is used,
+ Fixed dimension of `stock_logpo` and `stock_ys`,
+ Incomplete variable initialization could lead to crashes with `prior_range=1`.
- Indentification
+ Identification did not correctly pass the `lik_init` option,
requiring the manual setting of `options_.diffuse_filter=1` in
case of unit roots,
+ Testing identification of standard deviations as the only
parameters to be estimated with ML leaded to crashes,
+ Automatic increase of the lag number for autocovariances when the
number of parameters is bigger than the number of non-zero moments
was broken,
+ When using ML, the asymptotic Hessian was not computed,
+ Checking for singular values when the eigenvectors contained only
one column did not work correctly,
- Model comparison
+ Selection of the `modifiedharmonicmean` estimator was broken,
- Optimal Simple Rules
+ When covariances were specified, variables that only entered with
their variance and no covariance term obtained a wrong weight,
resulting in wrong results,
+ Results reported for stochastic simulations after `osr` were based
on the last parameter vector encountered during optimization,
which does not necessarily coincide with the optimal parameter
vector,
+ Using only one (co)variance in the objective function resulted in crashes,
+ For models with non-stationary variables the objective function was computed wrongly.
- Ramsey policy
+ If a Lagrange multiplier appeared in the model with a lead or a lag
of more than one period, the steady state could be wrong.
+ When using an external steady state file, incorrect steady states
could be accepted,
+ When using an external steady state file with more than one
instrument, Dynare crashed,
+ When using an external steady state file and running `stoch_simul`
after `ramsey_planner`, an incorrect steady state was used,
+ When the number of instruments was not equal to the number of
omitted equations, Dynare crashed with a cryptic message,
+ The `planner_objective` accepted `varexo`, but ignored them for computations,
- Shock decomposition
+ Did not work with the `parameter_set=calibration` option if an
`estimated_params` block is present,
+ Crashed after MLE.
- Perfect foresight models
+ The perfect foresight solver could accept a complex solution
instead of continuing to look for a real-valued one,
+ The `initval_file` command only accepted column and not row vectors,
+ The `initval_file` command did not work with Excel files,
+ Deterministic simulations with one boundary condition crashed in
`solve_one_boundary` due to a missing underscore when passing
`options_.simul.maxit`,
+ Deterministic simulation with exogenous variables lagged by more
than one period crashed,
+ Termination criterion `maxit` was hard-coded for `solve_algo=0`
and could no be changed,
+ When using `block`/`bytecode`, relational operators could not be enforced,
+ When using `block` some exceptions were not properly handled,
leading to code crashes,
+ Using `periods=1` crashed the solver (bug only partially fixed).
- Smoothing
+ The univariate Kalman smoother returned wrong results when used
with correlated measurement error,
+ The diffuse smoother sometimes returned linear combinations of the
smoothed stochastic trend estimates instead of the original trend
estimates.
- Perturbation reduced form
+ In contrast to what is stated in the manual, the results of the
unconditional variance decomposition were only stored in
`oo_.gamma_y(nar+2)`, not in `oo_.variance_decomposition`,
+ Dynare could crash when the steady state could not be computed
when using the `loglinear` option,
+ Using `bytcode` when declared exogenous variables were not
used in the model leaded to crashes in stochastic simulations,
+ Displaying decision rules involving lags of auxiliary variables of
type 0 (leads>1) crashed.
+ The `relative_irf` option resulted in wrong output at `order>1` as
it implicitly relies on linearity.
- Displaying of the MH-history with the `internals` command crashed
if parameter names did not have same length.
- Dynare crashed when the user-defined steady state file returned an
error code, but not an conformable-sized steady state vector.
- Due to a bug in `mjdgges.mex` unstable parameter draws with
eigenvalues up to 1+1e-6 could be accepted as stable for the
purpose of the Blanchard-Kahn conditions, even if `qz_criterium<1`.
- The `use_dll` option on Octave for Windows required to pass a
compiler flag at the command line, despite the manual stating this
was not necessary.
- Dynare crashed for models with `block` option if the Blanchard-Kahn
conditions were not satisfied instead of generating an error
message.
- The `verbose` option did not work with `model(block)`.
- When falsely specifying the `model(linear)` for nonlinear models,
incorrect steady states were accepted instead of aborting.
- The `STEADY_STATE` operator called on model local variables
(so-called pound variables) did not work as expected.
- The substring operator in macro-processor was broken. The
characters of the substring could be mixed with random characters
from the memory space.
- Block decomposition could sometimes cause the preprocessor to crash.
- A bug when external functions were used in model local variables
that were contained in equations that required auxiliary
variable/equations led to crashes of Matlab.
- Sampling from the prior distribution for an inverse gamma II
distribution when `prior_trunc>0` could result in incorrect
sampling.
- Sampling from the prior distribution for a uniform distribution
when `prior_trunc>0` was ignoring the prior truncation.
- Conditional forecasts were wrong when the declaration of endogenous
variables was not preceeding the declaration of the exogenous
variables and parameters.
Announcement for Dynare 4.4.3 (on 2014-07-31)
=============================================
We are pleased to announce the release of Dynare 4.4.3.
This is a bugfix release.
The Windows packages are already available for download at:
http://www.dynare.org/download/dynare-stable
The Mac and GNU/Linux packages (for Debian and Ubuntu LTS) should follow soon.
This release is compatible with MATLAB versions 7.3 (R2006b) to 8.2 (R2013b)
and with GNU Octave versions 3.6 to 3.8.
Here is a list of the problems identified in version 4.4.2 and that have been
fixed in version 4.4.3:
- When loading a dataset in XLS, XLSX or CSV format, the first
observation was discarded.
- Reading data in an Excel-file with only one variable wasz leading
to a crash.
- When using the k_order_perturbation option (which is implicit at
3rd order) without the use_dll option, crashes or unexpected
behavior could happen if some 2nd or 3rd derivative evaluates to
zero (while not being symbolically zero)
- When using external function, Ramsey policy could crash or return
wrong results.
- For Ramsey policy, the equation numbers associated with the
Lagrange multipliers stored in M_.aux_vars were erroneously one too
low
- When updating deep parameters in the steady state file, the changes
were not fully taken into account (this was only affecting the
Ramsey policy).
- When using external functions and the bytecode option, wrong
results were returned (if second order derivates of the external
functions were needed).
- The confidence level for computations in estimation, conf_sig could
not be changed and was fixed at 0.9. The new option mh_conf_sig is
now used to set this interval
- Conditional forecasts with non-diagonal covariance matrix used an
incorrect decomposition of the covariance matrix. A Cholesky
factorization is used.
- Option geweke_interval was not effective, Dynare always defaulted
to the standard value.
- The mode_file option lacked backward compatibility with older
Dynare versions.
- Loading an mh_mode file with the mode_file option was broken.
- Using identification with var_exo_det leaded to crashes (the
preprocessor now returns an error if they are used simultaneously)
- The identification command did not print results if the initial
parameter set was invalid and then crashed later on if the MC
sample is bigger than 1
- Inconsistencies between static and dynamic models leaded to crashes
instead of error messages (only with block option).
- The use of external functions crashed the preprocessor when the
derivatives of the external function are explicitly called in the
model block. The preprocessor now forbids the use of external
functions derivates in the model block.
- Using the block option when a variable does not appear in the
current period crashed Dynare instead of providing an error
message.
Announcement for Dynare 4.4.2 (on 2014-03-04)
=============================================
We are pleased to announce the release of Dynare 4.4.2.
This is a bugfix release.
The Windows packages are already available for download at:
http://www.dynare.org/download/dynare-stable
The Mac and GNU/Linux packages (for Debian and Ubuntu LTS) should follow soon.
This release is compatible with MATLAB versions 7.3 (R2006b) to 8.2 (R2013b)
and with GNU Octave versions 3.6 to 3.8.
Here is a list of the problems identified in version 4.4.1 and that have been
fixed in version 4.4.2:
- Geweke convergence diagnostics was computed on the wrong sample if `mh_drop'
was not equal to the default of 0.5.
- The `loglinear' option of `stoch_simul' was displaying the steady state of
the original values, not the logged ones, and was producing incorrect
simulations and simulated moments. Theoretical moments were unaffected.
- The `optim' option of `estimation (for setting options to `mode_compute')
was only working with at least MATLAB 8.1 (R2013a) or Octave 3.8.
- For unit root models, theoretical HP filtered moments were sometimes
erroneously displayed as NaN.
- Specifying an endogenous variable twice after the `estimation' command would
lead to a crash in the computation of moments.
- Deterministic simulations were crashing on some models with more than one
lead or one lag on exogenous variables.
- Homotopy in stochastic extended path with order greater than 0 was not
working correctly (during the homotopy steps the perfect foresight model
solver was called instead of the stochastic perfect foresight model solver).
- MCMC convergence diagnostics were not computed if `mh_replic' was less than
2000; the test now relies on the total number of iterations (this only makes
a difference if option `load_mh_file' is used).
Announcement for Dynare 4.4.1 (on 2014-01-17)
=============================================
We are pleased to announce the release of Dynare 4.4.1.
This release contains a few changes to the user interface and fixes various
bugs. It also adds compatibility with Octave 3.8.
The Windows packages are already available for download at:
http://www.dynare.org/download/dynare-stable
The Mac and GNU/Linux packages (for Debian and Ubuntu) should follow soon.
All users are encouraged to upgrade.
This release is compatible with MATLAB versions 7.3 (R2006b) to 8.2 (R2013b) and
with GNU Octave versions 3.6 to 3.8.
* Changes to the user interface:
- The syntax introduced in 4.4.0 for conditional forecast in a deterministic
setup was removed, and replaced by a new one that is better suited to the
task. More precisely, such deterministic forecasts are no longer done using
the `conditional_forecast' command. The latter is replaced by a group of
commands: `init_plan', `basic_plan' and `flip_plan'. See the reference
manual for more details.
- Changes to the reporting module: option `annualAverages' to `addTable' has
been removed (use option `tableDataRhs' to `addSeries' instead); option
`vlineAfter' to `addTable' now also accepts a cell array.
- Changes to the date and time series classes: implement broadcasting for
operations (+,-,* and /) between `dseries' class and scalar or vectors; add
the possibility of selecting an observation within a time series using a
formatted string containing a date.
* Bugs and problems identified in version 4.4.0 and that have been fixed in
version 4.4.1:
- In MS-SBVAR, there was a bug preventing the computation of impulse responses
on a constant regime.
- Under Octave, after modifying the MOD file, the changes were not taken into
account at the first Dynare run, but only at the second run.
Announcement for Dynare 4.4.0 (on 2013-12-16)
=============================================
We are pleased to announce the release of Dynare 4.4.0.
This major release adds new features and fixes various bugs.
The Windows packages are already available for download at:
http://www.dynare.org/download/dynare-stable
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
8.2 (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' and `nowarn' to the `dynare' command,
for a better control of what is displayed.
- New option `nostrict' to the `dynare' command, for allowing Dynare to
continue processing when there are more endogenous variables than equations
or when an undeclared symbol is assigned in `initval' or `endval'.
- The information on MCMC acceptance rates, seeds, last log posterior
likelihood, and last parameter draw are now saved on the disk and can
be displayed with `internals --display-mh-history' or loaded into the
workspace with `internals --load-mh-history'.
- 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.
- The `ramsey_policy' command was not putting in `oo_.planner_objective_value'
the value of the planner objective at the optimum.
* 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)
=============================================
We are pleased to announce the release of Dynare 4.3.3.
This is a bugfix release.
The Windows packages are already available for download at:
http://www.dynare.org/download/dynare-stable
The Mac and GNU/Linux packages (for Debian and Ubuntu) should follow soon.
All users are encouraged to upgrade.
The new release is compatible with MATLAB versions ranging from 7.0 (R14) to
8.1 (R2013a) and with GNU Octave versions ranging from 3.2 to 3.6.
Here is a list of the problems identified in version 4.3.2 and that have been
fixed in version 4.3.3:
- Estimation with measurement errors was wrong if a correlation between two
measurement errors was calibrated
- Option `use_dll' was broken under Windows
- Degenerate case of purely static models (no leads/no lags) were not
correctly handled
- Deterministic simulations over a single period were not correctly done
- The sensitivity call `dynare_sensitivity(identification=1,morris=2)' was
buggy when there are no shocks estimated
- Calls to `shock_decomposition' after using `selected_variables_only' option
fail
- Sometimes, only the last open graph was saved, leading to missing and
duplicate EPS/PDF graphs
- Forecasting after maximum likelihood estimation when not forecasting at
least one observed variables (`var_obs') was leading to crashes
- Some functionalities were crashing with MATLAB 8.1/R2013a (bytecode,
MS-SBVAR)
- Sometimes only the first order autocorrelation of `moments_varendo' was
saved instead of all up to the value of `ar' option
Announcement for Dynare 4.3.2 (on 2013-01-18)
=============================================
We are pleased to announce the release of Dynare 4.3.2.
This is a bugfix release.
The Windows packages are already available for download at:
http://www.dynare.org/download/dynare-stable
The Mac and GNU/Linux packages (for Debian and Ubuntu) should follow soon.
All users are encouraged to upgrade.
The new release is compatible with MATLAB versions ranging from 7.0 (R14) to
8.0 (R2012b) and with GNU Octave versions ranging from 3.2 to 3.6.
Here is a list of the problems identified in version 4.3.1 and that have been
fixed in version 4.3.2:
- Computation of posterior distribution of unconditional variance
decomposition was sometimes crashing (only for very large models)
- Estimation with `mode_compute=6' was sometimes crashing
- Derivative of erf() function was incorrect
- The `check' command was not setting `oo_.dr.eigval' unless `stoch_simul' was
also used
- Computation of conditional forecast when the constraint is only on
one period was buggy
- Estimation with `mode_compute=3' was crashing under Octave
Announcement for Dynare 4.3.1 (on 2012-10-10)
=============================================
We are pleased to announce the release of Dynare 4.3.1. This release adds a few
minor features and fixes various bugs.
The Windows and Mac packages are already available for download at:
http://www.dynare.org/download/dynare-stable
The GNU/Linux packages (for Debian and Ubuntu) should follow soon.
All users are strongly encouraged to upgrade.
The new release is compatible with MATLAB versions ranging from 7.0 (R14) to
8.0 (R2012b) and with GNU Octave versions ranging from 3.2 to 3.6.
Here is the list of the main user-visible changes:
* New features in the user interface:
- New `@#ifndef' directive in the macro-processor
- Possibility of simultaneously specifying several output formats in the
`graph_format' option
- Support for XLSX files in `datafile' option of `estimation' and in
`initval_file'
* Bugs and problems identified in version 4.3.0 and that have been fixed in
version 4.3.1:
- Shock decomposition was broken
- The welfare computation with `ramsey_policy' was buggy when used in
conjunction with `histval'
- Estimation of models with both missing observations and measurement errors
was buggy
- The option `simul_replic' was broken
- The macro-processor directive `@#ifdef' was broken
- Identification with `max_dim_cova_group > 1' was broken for specially
degenerate models (when parameter theta has pairwise collinearity of one
with multiple other parameters, i.e. when all couples (theta,b), (theta,c),
... (theta,d) have perfect collinearity in the Jacobian of the model)
- The `parallel_test' option was broken
- Estimation with correlated shocks was broken when the correlations were
specified in terms of correlation and not in terms of co-variance
- The Windows package was broken with MATLAB 7.1 and 7.2
- When using `mode_compute=0' with a mode file generated using
`mode_compute=6', the value of option `mh_jscale' was not loaded
- Using exogenous deterministic variables at 2nd order was causing a crash
- The option `no_create_init' for the `ms_estimation' command was broken
- Loading of datafiles with explicit filename extensions was not working
- The preprocessor had a memory corruption problem which could randomly lead
to crashes
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 at:
http://www.dynare.org/download/dynare-4.3
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 the 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 changes:
- 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
* Bugs and problems identified in version 4.2.5 and that have been fixed in
version 4.3.0:
- Backward models with the `loglinear' option were incorrectly handled
- Solving for hyperparameters of inverse gamma priors was sometimes crashing
- The deterministic solver for purely forward models was broken
- When running `estimation' or `identification' on models with non-diagonal
structural error covariance matrices, while not simultaneously estimating
the correlation between shocks (i.e. calibrating the correlation), the
off-diagonal elements were incorrectly handled or crashes were occuring
- When using the `prefilter' option, smoother plots were omitting the smoothed
observables
- In the rare case of entering and expression x as x^(alpha-1) with x being 0
in steady state and alpha being a parameter equal to 2, the Jacobian was
evaluating to 0 instead of 1
- Setting the prior for shock correlations was failing if a lower bound was not
explicitly specified
* 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)
=============================================
We are pleased to announce the release of Dynare 4.2.5.
This is a bugfix release.
The Windows package for the new release is already available for download at
the official Dynare website . The Mac and 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 3.0 to 3.6.
Note that GNU Octave users under Windows will have to upgrade to GNU Octave
version 3.6.1 (MinGW). The Octave installer can be downloaded at:
http://www.dynare.org/octave/Octave3.6.1_gcc4.6.2_20120303-setup.exe
Here is a non-exhaustive list of the problems identified in version 4.2.4 and
that have been fixed in version 4.2.5:
* The MATLAB optimization toolbox was sometimes not correctly detected even
when installed
* Using the inverse gamma distribution with extreme hyperparameter values
could lead to a crash
* Various issues in the accelerated deterministic solver with block
decomposition
* Various issues in the parallelization engine
* Compatibility issues with the Global Sensitivity Analysis toolbox
* The Dynare++ binary was broken in the Windows package because of a missing
dynamic library
Announcement for Dynare 4.2.4 (on 2011-12-02)
=============================================
We are pleased to announce the release of Dynare 4.2.4.
This is a bugfix release. It comes only a few days after the previous release,
because version 4.2.3 was affected by a critical bug (see below).
The Windows package for the new release is already available for download at
the official Dynare website . The Mac and Linux packages
should follow soon.
All users are strongly encouraged to upgrade, especially those who have
installed the buggy 4.2.3 release.
The new release is compatible with MATLAB versions ranging from 7.0 (R14) to
7.13 (R2011b) and with GNU Octave versions ranging from 3.0 to 3.4.
Here is the list of the problems identified in version 4.2.3 and that have been
fixed in version 4.2.4:
* Second order approximation was broken for most models, giving incorrect
results (this problem only affects version 4.2.3, not previous versions)
* Bayesian priors with inverse gamma distribution and very small variances
were giving incorrect results in some cases
* The `model_diagnostics' command was broken
Announcement for Dynare 4.2.3 (on 2011-11-30)
=============================================
We are pleased to announce the release of Dynare 4.2.3.
This is a bugfix release.
The Windows package is already available for download at the official
Dynare website . The Mac and Linux packages
should follow soon.
All users are strongly encouraged to upgrade.
This release is compatible with MATLAB versions ranging from 7.0 (R14)
to 7.13 (R2011b) and with GNU Octave versions ranging from 3.0 to 3.4.
Here is a non-exhaustive list of the problems identified in version 4.2.2 and
that have been fixed in version 4.2.3:
* `steady_state_model' was broken for lags higher than 2
* `simult_.m' was not working correctly with `order=3' if `k_order_solver' had
not been explicitly specified
* `stoch_simul' with `order=3' and without `periods' option was reporting
dummy theoretical moments
* Under Octave, option `solve_algo=0' was causing crashes in `check' and
`stoch_simul'
* Identification module was broken
* The test for singularity in the model reporting eigenvalues close to 0/0 was
sometimes reporting false positives
* The `conditional_variance_decomposition' option was not working if one
period index was 0. Now, Dynare reports an error if the periods are not
strictly positive.
* Second order approximation was buggy if one variable was not present at the
current period
Announcement for Dynare 4.2.2 (on 2011-10-04)
=============================================
We are pleased to announce the release of Dynare 4.2.2.
This is a bugfix release.
The Windows package is already available for download at the official
Dynare website . The Mac and Linux packages
should follow soon.
All users are strongly encouraged to upgrade.
This release is compatible with MATLAB versions ranging from 7.0 (R14)
to 7.13 (R2011b) and with GNU Octave versions ranging from 3.0 to 3.4.
Here is a list of the problems identified in version 4.2.1 and that have
been fixed in version 4.2.2:
* The secondary rank test following the order test of the Blanchard and
Kahn condition was faulty and almost never triggered
* The variance prior for BVAR “à la Sims” with only one lag was
inconsistent. The solution implemented consists of adding one extra
observation in the presample used to compute the prior; as a
consequence, the numerical results for all estimations will be
slightly different in future releases (thanks to Marek Jarociński for
spotting this)
* The `conditional_forecast' command was buggy: it was always using the
posterior mode, whatever the value of the `parameter_set' option
* `STEADY_STATE' was not working correctly with certain types of
expressions (the priority of the addition and substraction operators
was incorrectly handled)
* With the `block' option of `model', the preprocessor was failing on
expressions of the form "a^b" (with no endogenous in "a" but an
endogenous in "b")
* Some native MATLAB statements were not correctly passed on to MATLAB
(e.g. x = { 'foo' 'bar' } )
* `external_function' was crashing in some circumstances
* The lambda parameter for HP filter was restricted to integer values
for no good reason
* The `load_mh_file' option of `estimation' was crashing under Octave
for Windows (MinGW version)
* Computation of steady state was failing on model contains auxiliary
variables created by leads or lags larger than 2 or by of the
`EXPECTATION' operator
* Compilation of MEX files for MATLAB was failing with GCC 4.6
Announcement for Dynare 4.2.1 (on 2011-05-24)
=============================================
We are pleased to announce the release of Dynare 4.2.1.
Many bugs have been fixed since the previous release. The reference
manual has also been improved: new contents has been added at various
places, the structure has been improved, an index of functions and
variables has been added, the PDF/HTML rendering has been improved.
The Windows package is already available for download at the official
Dynare website [1]. The Mac and Linux packages should follow soon.
All users are strongly encouraged to upgrade.
This release is compatible with MATLAB versions ranging from 7.0 (R14)
to 7.12 (R2011a) and with GNU Octave versions ranging from 3.0 to 3.4.
Here is a list of the main bugfixes since version 4.2.0:
* The `STEADY_STATE' operator has been fixed
* Problems with MATLAB 7.3 (R2006b) and older have been fixed
* The `partial_information' option of `stoch_simul' has been fixed
* Option `conditional_variance_decomposition' of `stoch_simul' and
`estimation' has been fixed
* Automatic detrending now works in conjunction with the `EXPECTATION'
operator
* Percentage signs inside strings in MATLAB statements (like disp('%
This is not a comment %')) now work
* Beta prior with a very small standard deviation now work even if you
do not have the MATLAB Statistical toolbox
* External functions can now been used in assignment of model local
variables
* `identification' command has been fixed
* Option `cova_compute' of `estimation' command has been fixed
* Random crashes with 3rd order approximation without `use_dll' option
have been eliminated
[1] http://www.dynare.org
Announcement for Dynare 4.2.0 (on 2011-02-15)
=============================================
We are pleased to announce the release of Dynare 4.2.0.
This major release adds new features and fixes various bugs.
The Windows package is already available for download. The Mac and Linux
packages should follow soon.
All users are strongly encouraged to upgrade.
This release is compatible with MATLAB versions ranging from 6.5 (R13) to 7.11
(R2010b) and with GNU Octave versions 3.0.x and 3.2.x (support for GNU Octave
3.4.x is not complete and will be added in the next minor release).
Here is the list of major user-visible changes:
* New solution algorithms:
- Pruning for second order simulations has been added, as described in Kim,
Kim, Schaumburg and Sims (2008) [1,2]
- Models under partial information can be solved, as in Pearlman, Currie and
Levine (1986) [3,4]
- New nonlinear solvers for faster deterministic simulations and steady state
computation [5]
* Dynare can now use the power of multi-core computers or of a cluster of
computer using parallelization [6]
* New features in the user interface:
- A steady state file can now be automatically generated, provided that the
model can be solved analytically, and that the steady state as a function
of the parameters is declared with the new "steady_state_model" command [7]
- For non-stationary models, Dynare is now able of automatically removing
trends in all the equations: the user writes the equations in
non-stationary form and declares the deflator of each variable. Then Dynare
perform a check to determine if the proposed deflators are compatible with
balanced growth path, and, if yes, then it computes the detrended equations
[8]
- It is now possible to use arbitrary functions in the model block [9]
* Other minor changes to the user interface:
- New primitives allowed in model block: normpdf(), erf()
- New syntax for DSGE-VAR [10]
- Syntax of deterministic shocks has changed: after the values keyword,
arbitrary expressions must be enclosed within parentheses (but numeric
constants are still accepted as is)
* Various improvements:
- Third order simulations now work without the "USE_DLL" option:
installing a C++ compiler is no longer necessary for 3rd order
- The HP filter works for empirical moments (previously it was only available
for theoretical moments)
- "ramsey_policy" now displays the planner objective value function under
Ramsey policy and stores it in "oo_.planner_objective_value"
- Estimation: if the "selected_variables_only" option is present, then the
smoother will only be run on variables listed just after the estimation
command
- Estimation: in the "shocks" block, it is now possible to calibrate
measurement errors on endogenous variables (using the same keywords than
for calibrating variance/covariance matrix of exogenous shocks)
- It is possibile to choose the parameter set for shock decomposition [11]
- The diffuse filter now works under Octave
- New option "console" on the Dynare command-line: use it when running Dynare
from the console, it will replace graphical waitbars by text waitbars for
long computations
- Steady option "solve_algo=0" (uses fsolve()) now works under Octave
* For Emacs users:
- New Dynare mode for Emacs editor (contributed by Yannick Kalantzis)
- Reference manual now available in Info format (distributed with
Debian/Ubuntu packages)
* Miscellaneous:
- Deterministic models: leads and lags of two or more on endogenous
variables are now substituted by auxiliary variables; exogenous variables
are left as is [12]
[1] Kim, J., S. Kim, E. Schaumburg and C.A. Sims (2008), "Calculating and using
second-order accurate solutions of discrete time dynamic equilibrium
models", Journal of Economic Dynamics and Control, 32(11), 3397-3414
[2] It is triggered by option "pruning" of "stoch_simul" (only 2nd order, not
available at 3rd order)
[3] Pearlman J., D. Currie and P. Levine (1986), "Rational expectations models
with partial information", Economic Modelling, 3(2), 90-105
[4] http://www.dynare.org/DynareWiki/PartialInformation
[5] http://www.dynare.org/DynareWiki/FastDeterministicSimulationAndSteadyStateComputation
[6] http://www.dynare.org/DynareWiki/ParallelDynare
[7] See the entry for "steady_state_model" in the reference manual for more
details and an example
[8] http://www.dynare.org/DynareWiki/RemovingTrends
[9] http://www.dynare.org/DynareWiki/ExternalFunctions
[10] http://www.dynare.org/DynareWiki/DsgeVar
[11] http://www.dynare.org/DynareWiki/ShockDecomposition
[12] http://www.dynare.org/DynareWiki/AuxiliaryVariables