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.gitignore
View file @ 2ddfa086
......@@ -82,6 +82,7 @@ doc/internals/ltxpng
*.mexw64
*.mexmaci
*.mexmaci64
*.mexmaca64
/mex/matlab/
/mex/octave/
......@@ -158,9 +159,11 @@ dynare++/64-bit/
# MacOS stuff
.DS_Store
macOS/pkg/
macOS/deps/sources64/
macOS/deps/arm64/sources64/
macOS/deps/x86_64/sources64/
macOS/deps/tarballs/
macOS/deps/lib64/
macOS/deps/arm64/lib64/
macOS/deps/x86_64/lib64/
# Emacs stuff
scripts/dynare.elc
......
.gitlab-ci.yml
View file @ 2ddfa086
variables:
GIT_SUBMODULE_STRATEGY: recursive
TERM: linux
MATLAB_VERSION: R2021a
MATLAB_VERSION: R2023b
OLD_MATLAB_VERSION: R2014a
OCTAVE_VERSION: 6.3.0
# The next stanza creates the version number used for the source tarball and the
# binary packages. Here are the following possible cases:
# - if VERSION was already set (when manually running a pipeline), use it
# - if we are in the official Dynare repository:
# + if on a tag: use the tag
# + if on master: use 4.7-unstable-$TIMESTAMP-$COMMIT
# + on another branch: use $BRANCH-$TIMESTAMP-$COMMIT
# + otherwise: use $BRANCH-$TIMESTAMP-$COMMIT
# - if in a personal repository: use $USER-$TIMESTAMP-$COMMIT
before_script:
- '[[ -z $VERSION ]] && [[ $CI_PROJECT_NAMESPACE == Dynare ]] && [[ -n $CI_COMMIT_TAG ]] && export VERSION=$CI_COMMIT_TAG'
- '[[ -z $VERSION ]] && [[ $CI_PROJECT_NAMESPACE == Dynare ]] && [[ $CI_COMMIT_REF_NAME == master ]] && export VERSION=4.7-unstable-$(date +%F-%H%M)-$CI_COMMIT_SHORT_SHA'
- '[[ -z $VERSION ]] && [[ $CI_PROJECT_NAMESPACE == Dynare ]] && export VERSION=$CI_COMMIT_REF_NAME-$(date +%F-%H%M)-$CI_COMMIT_SHORT_SHA'
- '[[ -z $VERSION ]] && export VERSION=$CI_PROJECT_NAMESPACE-$(date +%F-%H%M)-$CI_COMMIT_SHORT_SHA'
......@@ -23,13 +20,14 @@ stages:
- build
- test
- pkg
- sign
- deploy
build_binaries:
stage: build
script:
- autoreconf -si
- ./configure --with-matlab=/usr/local/MATLAB/$MATLAB_VERSION --with-octave=/usr/local/octave/$OCTAVE_VERSION PACKAGE_VERSION=$VERSION PACKAGE_STRING="dynare $VERSION"
- ./configure --with-matlab=/opt/MATLAB/$MATLAB_VERSION PACKAGE_VERSION=$VERSION PACKAGE_STRING="dynare $VERSION"
- make -j $(nproc) LN_S="cp -p"
artifacts:
paths:
......@@ -68,7 +66,7 @@ pkg_source:
- rm doc/manual/source/_static/mathjax && sed -i "/^mathjax_path *=/d" doc/manual/source/conf.py
- 'for f in configure.ac preprocessor/configure.ac mex/build/matlab/configure.ac mex/build/octave/configure.ac; do sed -i "s/^AC_INIT(\[\(.*\)\],\s*\[\(.*\)\])/AC_INIT([\1], [$VERSION])/" $f; done'
- autoreconf -si
- ./configure --with-matlab=/usr/local/MATLAB/$MATLAB_VERSION --with-octave=/usr/local/octave/$OCTAVE_VERSION
- ./configure --with-matlab=/opt/MATLAB/$MATLAB_VERSION
- make dist
artifacts:
paths:
......@@ -79,16 +77,21 @@ pkg_source:
pkg_windows:
stage: pkg
script:
- ln -s ~/tarballs windows/deps/
- mkdir -p windows/deps/tarballs && cp /usr/lib/dynare-runner/matlab64-* windows/deps/tarballs/
- make -C windows
- rm windows/deps/tarballs/matlab64-* # No need to cache these files
cache:
key: "$CI_JOB_NAME-$CI_COMMIT_REF_SLUG"
- key: "$CI_JOB_NAME-$CI_COMMIT_REF_SLUG"
paths:
- windows/deps/sources64/
- windows/deps/lib64/
# We do not cache lib64-msys2, mingw64, octave64 and
# matlab64, because those are simply extracted from a tarball. It
# would be a waste of space and of (re-compression) time.
- key: $CI_JOB_NAME
# This cache is shared between all branches, to save space
paths:
- windows/deps/tarballs/
artifacts:
paths:
- windows/exe/*
......@@ -97,16 +100,22 @@ pkg_windows:
expire_in: 3 days
needs: [ "build_doc" ]
pkg_macOS:
pkg_macOS_arm64:
stage: pkg
script:
- ln -s ~/tarballs macOS/deps/
- make -C macOS
cache:
key: "$CI_JOB_NAME-$CI_COMMIT_REF_SLUG"
- make -C macOS build-arm64
tags:
- macOS
artifacts:
paths:
- macOS/deps/sources64/
- macOS/deps/lib64/
- macOS/pkg/*
expire_in: 3 days
needs: [ "build_doc" ]
pkg_macOS_x86_64:
stage: pkg
script:
- make -C macOS build-x86_64
tags:
- macOS
artifacts:
......@@ -130,18 +139,17 @@ test_matlab:
extends: .test_matlab_template
script:
- autoreconf -si
- ./configure --disable-octave --with-matlab=/usr/local/MATLAB/$MATLAB_VERSION
- ./configure --disable-octave --with-matlab=/opt/MATLAB/$MATLAB_VERSION
- make -j $(($(nproc) * 3 / 4)) -C tests check-matlab
test_old_matlab:
extends: .test_matlab_template
script:
- autoreconf -si
- ./configure --disable-octave --with-matlab=/usr/local/MATLAB/$OLD_MATLAB_VERSION
- ./configure --disable-octave --with-matlab=/opt/MATLAB/$OLD_MATLAB_VERSION
- make -C mex/build/matlab clean
- make -j $(nproc) -C mex/build/matlab
- make -j $(($(nproc) * 3 / 4)) -C tests check-matlab
when: manual
test_octave:
stage: test
......@@ -149,7 +157,7 @@ test_octave:
OPENBLAS_NUM_THREADS: 1
script:
- autoreconf -si
- ./configure --disable-matlab --with-octave=/usr/local/octave/$OCTAVE_VERSION
- ./configure --disable-matlab
- make -j $(nproc) -C tests check-octave
artifacts:
paths:
......@@ -159,7 +167,6 @@ test_octave:
- tests/run_test_octave_output.txt
when: always
needs: [ "build_binaries" ]
when: manual
test_dynare++:
stage: test
......@@ -180,43 +187,85 @@ test_dynare++:
- dynare++/tests/*.mat
- dynare++/tests/*.dump
# For the deploy jobs, we don’t use the “needs” keyword, since we don’t want
# those jobs to start before the “test” and “pkg” stages have succeeded. Hence
# we stick to the “dependencies” keyword.
# For the sign and deploy jobs, we don’t use the “needs” keyword, since we
# don’t want those jobs to start before the “test” and “pkg” stages have
# succeeded. Hence we stick to the “dependencies” keyword.
deploy_manual_unstable:
sign_windows:
stage: sign
rules:
- if: '$CI_PROJECT_NAMESPACE == "Dynare" && $CI_COMMIT_TAG =~ /^5/'
when: on_success
- when: never
tags:
- sign
dependencies:
- pkg_windows
script:
- f=(windows/exe/*) && mkdir -p windows/exe-signed/ && osslsigncode sign -pkcs11module /usr/lib/x86_64-linux-gnu/libykcs11.so.2 -key "pkcs11:id=%01;type=private;pin-value=$YUBIKEY_PIN" -certs ~/cepremap-code-signing-comodo-sectigo.pem -n Dynare -i https://www.dynare.org -t http://timestamp.comodoca.com -in ${f[0]} -out windows/exe-signed/${f[0]##*/}
artifacts:
paths:
- windows/exe-signed/*
expire_in: 3 days
deploy_manual_stable:
stage: deploy
rules:
- if: '$CI_PROJECT_NAMESPACE == "Dynare" && $CI_COMMIT_REF_NAME == "master"'
- if: '$CI_PROJECT_NAMESPACE == "Dynare" && $CI_COMMIT_TAG =~ /^5\.[0-9]+$/'
when: on_success
- when: never
tags:
- restricted
- deploy
dependencies:
- build_doc
script:
- rm -rf doc/manual/build/html/_static/mathjax
- ln -s /usr/share/javascript/mathjax doc/manual/build/html/_static/mathjax
- rsync --recursive --links --delete doc/manual/build/html/ /srv/www.dynare.org/manual-unstable/
- rsync --recursive --links --delete doc/manual/build/html/ /srv/www.dynare.org/manual/
- cp doc/manual/build/latex/dynare-manual.pdf /srv/www.dynare.org/manual.pdf
deploy_snapshot_unstable:
deploy_release_stable:
stage: deploy
rules:
- if: '$CI_PROJECT_NAMESPACE == "Dynare" && $CI_COMMIT_REF_NAME == "master"'
- if: '$CI_PROJECT_NAMESPACE == "Dynare" && $CI_COMMIT_TAG =~ /^5\.[0-9]+$/'
when: on_success
- when: never
tags:
- restricted
- deploy
dependencies:
- pkg_source
- pkg_windows
- pkg_macOS
- sign_windows
- pkg_macOS_arm64
- pkg_macOS_x86_64
script:
- f=(windows/exe/*) && osslsigncode sign -pkcs12 ~/cepremap-comodo-sectigo-code-signing.p12 -n Dynare -i https://www.dynare.org -t http://timestamp.comodoca.com -in ${f[0]} -out ${f[0]}.signed && mv ${f[0]}.signed ${f[0]}
- cp *.tar.xz /srv/www.dynare.org/snapshot/source/ && ln -sf *.tar.xz /srv/www.dynare.org/snapshot/source/dynare-latest-src.tar.xz
- f=(windows/exe/*) && cp ${f[0]} /srv/www.dynare.org/snapshot/windows/ && ln -sf ${f[0]##*/} /srv/www.dynare.org/snapshot/windows/dynare-latest-win.exe
- f=(windows/7z/*) && cp ${f[0]} /srv/www.dynare.org/snapshot/windows-7z/ && ln -sf ${f[0]##*/} /srv/www.dynare.org/snapshot/windows-7z/dynare-latest-win.7z
- f=(windows/zip/*) && cp ${f[0]} /srv/www.dynare.org/snapshot/windows-zip/ && ln -sf ${f[0]##*/} /srv/www.dynare.org/snapshot/windows-zip/dynare-latest-win.zip
- f=(macOS/pkg/*) && cp ${f[0]} /srv/www.dynare.org/snapshot/macos/ && ln -sf ${f[0]##*/} /srv/www.dynare.org/snapshot/macos/dynare-latest-macos.pkg
- ~/update-snapshot-list.sh
- cp *.tar.xz /srv/www.dynare.org/release/source/
- cp windows/exe-signed/* /srv/www.dynare.org/release/windows/
- cp windows/7z/* /srv/www.dynare.org/release/windows-7z/
- cp windows/zip/* /srv/www.dynare.org/release/windows-zip/
- cp macOS/pkg/*-arm64.pkg /srv/www.dynare.org/release/macos-arm64/
- cp macOS/pkg/*-x86_64.pkg /srv/www.dynare.org/release/macos-x86_64/
- ~/update-release-list.sh
- curl -X POST -F token="$WEBSITE_PIPELINE_TRIGGER_TOKEN" -F ref=master https://git.dynare.org/api/v4/projects/40/trigger/pipeline
deploy_beta_stable:
stage: deploy
rules:
- if: '$CI_PROJECT_NAMESPACE == "Dynare" && $CI_COMMIT_TAG =~ /^5(\.[0-9]+)?-(beta|rc)[0-9]+$/'
when: on_success
- when: never
tags:
- restricted
dependencies:
- pkg_source
- pkg_windows
- sign_windows
- pkg_macOS_arm64
- pkg_macOS_x86_64
script:
- cp *.tar.xz /srv/www.dynare.org/beta/source/
- cp windows/exe-signed/* /srv/www.dynare.org/beta/windows/
- cp windows/7z/* /srv/www.dynare.org/beta/windows-7z/
- cp windows/zip/* /srv/www.dynare.org/beta/windows-zip/
- cp macOS/pkg/*-arm64.pkg /srv/www.dynare.org/release/macos-arm64/
- cp macOS/pkg/*-x86_64.pkg /srv/www.dynare.org/beta/macos-x86_64/
.gitmodules
View file @ 2ddfa086
......@@ -7,9 +7,6 @@
[submodule "contrib/ms-sbvar/TZcode"]
path = contrib/ms-sbvar/TZcode
url = ../../contrib/TZcode.git
[submodule "contrib/dmm"]
path = contrib/dmm
url = ../../contrib/dmm.git
[submodule "matlab/utilities/tests"]
path = matlab/utilities/tests
url = ../../Dynare/m-unit-tests.git
......
CODE_OF_CONDUCT.md 0 → 100644
View file @ 2ddfa086
# Dynare Code of Conduct
## Our Pledge
We as members, contributors, and leaders pledge to make participation in our
community a harassment-free experience for everyone, regardless of age, body
size, visible or invisible disability, ethnicity, sex characteristics, gender
identity and expression, level of experience, education, socio-economic status,
nationality, personal appearance, race, caste, color, religion, or sexual
identity and orientation.
We pledge to act and interact in ways that contribute to an open, welcoming,
diverse, inclusive, and healthy community.
## Our Standards
Examples of behavior that contributes to a positive environment for our
community include:
* Demonstrating empathy and kindness toward other people
* Being respectful of differing opinions, viewpoints, and experiences
* Giving and gracefully accepting constructive feedback
* Accepting responsibility and apologizing to those affected by our mistakes,
and learning from the experience
* Focusing on what is best not just for us as individuals, but for the overall
community
Examples of unacceptable behavior include:
* The use of sexualized language or imagery, and sexual attention or advances of
any kind
* Trolling, insulting or derogatory comments, and personal or political attacks
* Public or private harassment
* Publishing others' private information, such as a physical or email address,
without their explicit permission
* Other conduct which could reasonably be considered inappropriate in a
professional setting
## Enforcement Responsibilities
Community leaders are responsible for clarifying and enforcing our standards of
acceptable behavior and will take appropriate and fair corrective action in
response to any behavior that they deem inappropriate, threatening, offensive,
or harmful.
Community leaders have the right and responsibility to remove, edit, or reject
comments, commits, code, wiki edits, issues, and other contributions that are
not aligned to this Code of Conduct, and will communicate reasons for moderation
decisions when appropriate.
## Scope
This Code of Conduct applies within all community spaces, and also applies when
an individual is officially representing the community in public spaces.
Examples of representing our community include using an official e-mail address,
posting via an official social media account, or acting as an appointed
representative at an online or offline event.
## Enforcement
Instances of abusive, harassing, or otherwise unacceptable behavior may be
reported to the community leaders responsible for enforcement at
[community@dynare.org](mailto:community@dynare.org).
All complaints will be reviewed and investigated promptly and fairly.
All community leaders are obligated to respect the privacy and security of the
reporter of any incident.
## Enforcement Guidelines
Community leaders will follow these Community Impact Guidelines in determining
the consequences for any action they deem in violation of this Code of Conduct:
### 1. Correction
**Community Impact**: Use of inappropriate language or other behavior deemed
unprofessional or unwelcome in the community.
**Consequence**: A private, written warning from community leaders, providing
clarity around the nature of the violation and an explanation of why the
behavior was inappropriate. A public apology may be requested.
### 2. Warning
**Community Impact**: A violation through a single incident or series of
actions.
**Consequence**: A warning with consequences for continued behavior. No
interaction with the people involved, including unsolicited interaction with
those enforcing the Code of Conduct, for a specified period of time. This
includes avoiding interactions in community spaces as well as external channels
like social media. Violating these terms may lead to a temporary or permanent
ban.
### 3. Temporary Ban
**Community Impact**: A serious violation of community standards, including
sustained inappropriate behavior.
**Consequence**: A temporary ban from any sort of interaction or public
communication with the community for a specified period of time. No public or
private interaction with the people involved, including unsolicited interaction
with those enforcing the Code of Conduct, is allowed during this period.
Violating these terms may lead to a permanent ban.
### 4. Permanent Ban
**Community Impact**: Demonstrating a pattern of violation of community
standards, including sustained inappropriate behavior, harassment of an
individual, or aggression toward or disparagement of classes of individuals.
**Consequence**: A permanent ban from any sort of public interaction within the
community.
## Attribution
This Code of Conduct is adapted from the [Contributor Covenant][homepage],
version 2.1, available at
[https://www.contributor-covenant.org/version/2/1/code_of_conduct.html][v2.1].
Community Impact Guidelines were inspired by
[Mozilla's code of conduct enforcement ladder][Mozilla CoC].
For answers to common questions about this code of conduct, see the FAQ at
[https://www.contributor-covenant.org/faq][FAQ]. Translations are available at
[https://www.contributor-covenant.org/translations][translations].
[homepage]: https://www.contributor-covenant.org
[v2.1]: https://www.contributor-covenant.org/version/2/1/code_of_conduct.html
[Mozilla CoC]: https://github.com/mozilla/diversity
[FAQ]: https://www.contributor-covenant.org/faq
[translations]: https://www.contributor-covenant.org/translations
CONTRIBUTING.md
View file @ 2ddfa086
......@@ -60,7 +60,8 @@ Now, if you want to go the extra mile, you'll volunteer to contribute code to fi
* `git remote add personal git@git.dynare.org:<<GitLab username>>/dynare.git`
1. Create a branch to work on
* `git checkout -b <<descriptive branch name>>`
1. Do your work, all the while respecting the [Dynare Coding Standards](https://archives.dynare.org/DynareWiki/CodingStandards)
1. Do your work, all the while respecting the [Dynare Coding Guidelines](https://git.dynare.org/Dynare/dynare/-/wikis/CodingGuidelines)
1. You may also want to have a look at the [coding resources](https://git.dynare.org/Dynare/dynare/-/wikis/CodingResources)
As you work, your forked repository will likely fall out of sync with the main Dynare repository as we'll be working in parallel. No matter. Follow these steps to ensure your changes will be merge-able when they're done:
......@@ -89,7 +90,7 @@ The Dynare testsuite runs every time a commit is pushed, either in the official
The output from the latest run of the test suite can be found in the `test_matlab` job associated to the [latest pipeline](https://git.dynare.org/Dynare/dynare/pipelines). This is also a good place to start fixing bugs. If you see a `.mod` file that doesn't run in the test suite and think you can fix it, create an issue and once you have the go ahead, go for it!
### Test `.mod` File
### Integration tests
It's useful to contribute `.mod` files that test some aspect of Dynare that is not currently tested. A `.mod` file that runs into a bug is perfect. As the test suite currently takes several hours to run, we prefer you modify a current test to also create the bug you've found. If you can't do that, please add a new test that runs as quickly as possible. It will contain only those commands necessary to create the bug, nothing more. To contribute a test, after having made an issue and cloned and forked the repository as described above, do the following:
......@@ -98,4 +99,36 @@ It's useful to contribute `.mod` files that test some aspect of Dynare that is n
1. Add and commit your test file and `tests/Makefile.am` as described above
1. Push and create a pull request as described above
### Unitary Tests
### Unit tests
So-called unit tests allow the test suite to check the correct functioning of the MATLAB/Octave functions contained in Dynare. To add a unit test you need to
1. add the keyword ` % --*-- Unitary tests --*--` at the end of the `function` header to tell the testsuite that the file contains unit tests.
1. Add the particular tests at the end of the file after a `return` by
1. Starting a test with `%@test:INTEGER`
2. Adding a MATLAB/Octave test code that provides a pass/fail indicator `T` that takes on `true` if the test passed.
3. Closing the test with `%@eof:INTEGER`
where `INTEGER` denotes the number of the test.
An example testing the correct functionality of mode-computations for a normal distribution is
```
function m = compute_prior_mode(hyperparameters,shape) % --*-- Unitary tests --*--
return
%@test:1
% Normal density
try
m1 = compute_prior_mode([1 1],3);
t(1) = true;
catch
t(1) = false;
end
%$
if t(1)
t(2) = dassert(m1,1,1e-6);
end
T = all(t);
%@eof:1
```
You can also put a unit test after the closing `end`, but in this case you will need to preface each line with `%$`. See e.g. https://git.dynare.org/Dynare/dseries/-/commit/be4a4d39c125b92ee84ef876d86e6ec947c522b8
Makefile.am
View file @ 2ddfa086
......@@ -62,11 +62,11 @@ install-exec-local:
$(LN_S) -f $(bindir)/dynare-preprocessor$(EXEEXT) $(DESTDIR)$(pkglibdir)/matlab/preprocessor64/dynare_m$(EXEEXT)
# We don’t fail over doc install rules, since the user may deliberately not have compiled them
# (e.g. with the “nodoc” option under Debian)
$(MKDIR_P) $(docdir)
-cp doc/*.pdf doc/gsa/gsa.pdf doc/parallel/parallel.pdf doc/dseries-and-reporting/dseriesReporting.pdf preprocessor/doc/preprocessor/preprocessor.pdf preprocessor/doc/macroprocessor/macroprocessor.pdf doc/manual/build/latex/dynare-manual.pdf $(docdir)
-cp -r doc/manual/build/html $(docdir)/dynare-manual.html
$(MKDIR_P) $(docdir)/dynare++
-cp dynare++/doc/*.pdf $(docdir)/dynare++
$(MKDIR_P) $(DESTDIR)$(docdir)
-cp doc/*.pdf doc/gsa/gsa.pdf doc/parallel/parallel.pdf doc/dseries-and-reporting/dseriesReporting.pdf preprocessor/doc/preprocessor/preprocessor.pdf preprocessor/doc/macroprocessor/macroprocessor.pdf doc/manual/build/latex/dynare-manual.pdf $(DESTDIR)$(docdir)
-cp -r doc/manual/build/html $(DESTDIR)$(docdir)/dynare-manual.html
$(MKDIR_P) $(DESTDIR)$(docdir)/dynare++
-cp dynare++/doc/*.pdf $(DESTDIR)$(docdir)/dynare++
uninstall-local:
rm -rf $(DESTDIR)$(pkglibdir)
......
NEWS.md
View file @ 2ddfa086
Announcement for Dynare 5.5 (on 2023-10-23)
===========================================
We are pleased to announce the release of Dynare 5.5.
This maintenance release fixes various bugs.
The Windows, macOS and source packages are already available for download at
[the Dynare website](https://www.dynare.org/download/).
All users are strongly encouraged to upgrade.
This release is compatible with MATLAB versions ranging from 8.3 (R2014a) to
23.2 (R2023b), and with GNU Octave version 8.3.0 (under Windows).
Note for macOS users with an Apple Silicon processor: this is the first Dynare
release that comes with native Apple Silicon (arm64) support under MATLAB.
Please download the corresponding package, to be used with MATLAB R2023b for
Apple Silicon.
Here is a list of the problems identified in version 5.4 and that have been
fixed in version 5.5:
* In a stochastic context, results could be incorrect if an endogenous with a
lead ⩾ 2 or an exogenous with a lead ⩾ 1 appeared in the argument(s) of a
call to a (nonlinear) external function
* With the `use_dll` option of the `model` block, the expression `sign(x)`
would evaluate to ±1 instead of 0 if `x=0`
* If the guess value given to the `steady` command was such that the residuals
were all below tolerance, except some that are `NaN`, then this guess value
was incorrectly accepted as the solution to the steady state problem
* The `method_of_moments` command with GMM was ignoring the
`analytic_standard_errors` option when using `mode_compute=4`
* Homotopy with the `extended_path` command at `order=0` was broken
* The `parallel_use_psexec` command-line option was ignored
* With the `bytecode` option of the `model` block, using the operators `abs()`,
`cbrt()` and `sign()` would lead to a crash
* The `fast` command-line option was broken under MATLAB with Windows
* Ramsey steady state computation could fail if an `expectation` or `diff`
operator was present in the model
* A crash could occur if some external function call was present in an
auxiliary variable
* The `endogenous_prior` option of the `estimation` command could erroneously
display a warning message about missing observations
* The `model_comparison` command would crash if the `.mod` file name had less
than four characters
* The `shock_decomposition` command would overwrite previously stored smoother
results
* The `x13` interface in dseries did not handle missing values, particularly at
the beginning of a series
* The `x13` interface in dseries would occasionally crash under Windows with
segmentation violations
* OccBin: estimation would crash if a previous `shocks(surprise)` simulation
was conducted
* The `internals` command would not find the location of the `_results.mat`
file
* The `prior optimize` command would not work with `mode_compute=5`
Announcement for Dynare 5.4 (on 2023-03-22)
===========================================
We are pleased to announce the release of Dynare 5.4.
This maintenance release fixes various bugs.
The Windows, macOS and source packages are already available for download at
[the Dynare website](https://www.dynare.org/download/).
All users are strongly encouraged to upgrade.
This release is compatible with MATLAB versions ranging from 8.3 (R2014a) to
9.14 (R2023a), and with GNU Octave version 8.1.0 (under Windows).
Note for macOS users with an Apple Silicon processor, and who are also MATLAB
users: the official MATLAB version for use on those processors is still the
Intel version (running through Rosetta 2), so the official Dynare package for
download on our website is built for Intel only. However, since Mathworks has
released a beta version of MATLAB for Apple Silicon, we created a beta package
of Dynare that you can try with it. See this forum thread for more details:
https://forum.dynare.org/t/testers-wanted-release-of-dynare-5-x-beta-for-apple-silicon-m1-m2-chips/20499
Here is a list of the problems identified in version 5.3 and that have been
fixed in version 5.4:
* Files installed through the Windows installer had too weak permissions and
could be modified by unpriviledged local users, if the default installation
location (`c:\dynare\`) had been chosen
* Estimation:
+ the `load_results_after_load_mh` option would not find the location of the
results file
+ the computation of prior/posterior statistics would crash if the value of
the `filter step_ahead` option was greater than 1 without requesting a
`forecast` or the `smoother`
+ NaN or complex parameters returned by steady state files were not correctly
handled
+ `analytical_derivation` could be triggered with `endogenous_prior` but
would not take the endogenous prior into account for the Jacobian and
Hessian
* OccBin:
+ running the `calib_smoother` command with `smoother_inversion_filter` would
crash unless `likelihood_inversion_filter` was also specified
+ running the piecewise Kalman smoother would crash if an error was
encountered during computation of the decision rules
* PAC equation estimation through iterative OLS would crash if the auxiliary
model contained a constant
* The variable label was incorrect for leads and lags of exogenous variables in
the display of decision rules and in the `model_info` command
* Declaring a `trend_var` variable while not having a `var(deflator=...)`
statement would cause the preprocessor to crash
* Macro processor: error messages following a `@#define`, `@#include` or
`@#includepath` directive could in some cases point to a line number off by 1
* Perfect foresight simulations: the `debug` option would not preserve
sparsity, causing out of memory errors
Announcement for Dynare 5.3 (on 2022-11-21)
===========================================
We are pleased to announce the release of Dynare 5.3.
This maintenance release fixes various bugs.
The Windows, macOS and source packages are already available for download at
[the Dynare website](https://www.dynare.org/download/).
All users are strongly encouraged to upgrade.
This release is compatible with MATLAB versions ranging from 8.3 (R2014a) to
9.13 (R2022b), and with GNU Octave version 7.3.0 (under Windows).
Note for macOS users with an Apple Silicon processor, and who are also MATLAB
users: the official MATLAB version for use on those processors is still the
Intel version (running through Rosetta 2), so the official Dynare package for
download on our website is built for Intel only. However, since Mathworks has
released a beta version of MATLAB for Apple Silicon, we created a beta package
of Dynare that you can try with it. See this forum thread for more details:
https://forum.dynare.org/t/testers-wanted-release-of-dynare-5-x-beta-for-apple-silicon-m1-m2-chips/20499
Here is a list of the problems identified in version 5.2 and that have been
fixed in version 5.3:
* The `notmpterms` option of the `dynare` command would trigger a crash if the
`block` option of the `model` block was used
* When the `use_dll` option was passed to the `model` block, the operator `abs`
in the `model` block incorrectly returned only the integer part of the
absolute value
* Problems with OccBin (`estimation` and `occbin_solver`):
+ the piecewise linear Kalman filter (PKF) could crash if the model solution
could not be computed for a parameter draw
+ the piecewise linear Kalman filter (PKF) could crash mode finding if an
error was encountered
+ the piecewise linear Kalman filter (PKF) would crash in the one-constraint
case if the fixed point algorithm did not converge
+ the smoother could crash due to the initial states being empty and when
encountering errors
+ the smoother fields of `oo_` contained wrong results if the piecewise
linear Kalman smoother did not converge
+ in pathological cases, seemingly periodic solutions were incorrectly
accepted as true solutions
* Problems related to Bayesian or ML estimation:
+ `mh_recover` and `load_mh_file` would not find the saved proposal density
and had to rely on the `_mode` file
+ When requesting `bayesian_irf` together with `loglinear`, the resulting
IRFs would be incorrect
+ the diffuse Kalman smoother initialization (`lik_init=3`) was wrong when
the state transition matrix contained a column of zeros
+ the diffuse Kalman smoother initialization (`lik_init=3`) was wrong when
the shock covariance matrix was not diagonal
* Problems with perfect foresight simulations
(`perfect_foresight_solver` command):
+ when solving purely forward or backward models with the PATH solver
(`solve_algo=10`), specified `mcp` tags were ignored
+ the `linear_approximation` option would ignore the `nocheck` option for not
checking the correctness of the steady state
+ in the presence of a steady state file or a `steady_state_model` block, the
contents of the last `initval` or `endval` block would be ignored and
replaced by a steady state
* The `identification` and `dynare_sensitivity` commands would not pass a
`graph_format` option to other subsequent commands
* Problems with sensitivity analysis (`dynare_sensitivity` command)
+ stability mapping incorrectly imposed a parameter limit of 52
+ prior sampling did not work with when a user specified `prior_trunc=0`
* `dynare++`: the `dynare_simul.m` would not run
* The `model_diagnostics` command would not work with `block_trust_region`
algorithms (`solve_algo=13,14`)
Announcement for Dynare 5.2 (on 2022-07-27)
===========================================
We are pleased to announce the release of Dynare 5.2.
This maintenance release fixes various bugs.
The Windows, macOS and source packages are already available for download at
[the Dynare website](https://www.dynare.org/download/).
All users are strongly encouraged to upgrade.
This release is compatible with MATLAB versions ranging from 8.3 (R2014a) to
9.12 (R2022a), and with GNU Octave version 6.4.0 (under Windows).
Note for macOS users with an Apple Silicon processor, and who are also MATLAB
users: the official MATLAB version for use on those processors is still the
Intel version (running through Rosetta 2), so the official Dynare package for
download on our website is built for Intel only. However, since Mathworks has
released a beta version of MATLAB for Apple Silicon, we created a beta package
of Dynare that you can try with it. See this forum thread for more details:
https://forum.dynare.org/t/testers-wanted-release-of-dynare-5-x-beta-for-apple-silicon-m1-m2-chips/20499
Here is a list of the problems identified in version 5.1 and that have been
fixed in version 5.2:
* Problems with the `steady_state` operator:
+ if a `steady_state` operator contained an algebraic expression appearing
multiple times in the model and sufficiently complex to trigger the
creation of a temporary term, then the result of the operator would be
wrong (the operator was essentially ignored)
+ if a `steady_state` operator contained a call to an external function, then
the result of the operator would be wrong (the operator was essentially
ignored). A proper fix to this problem would require substantial
architectural changes, so for now it is forbidden to use an external
function inside a `steady_state` operator
* Pruning in particle filtering at order 2 was not using the exact same formula
as the original Kim et al. (2008) paper. A second-order term entered the
cross-product between states and shocks, where it should have been a
first-order term. This however would not lead to explosive trajectories in
practice
* The `simul_replic` option of the `stoch_simul` command would not store the
binary file in the `Output` folder
* Problems with Ramsey policy (`ramsey_model`/`ramsey_policy` commands):
+ steady state files would not work when auxiliary variables included
Lagrange multipliers
+ for linear competitive equilibrium laws of motion, welfare evaluated at
higher order was erroneously equated to steady state welfare
* The `discretionary_policy` command would not always correctly infer the
number of instruments and equations, leading to spurious error messages
* Perfect foresight simulations of purely forward or backward models would
crash if complex numbers were encountered
* When using both `block` and `bytecode` options of the `model` block, if the
model was such that a sufficiently complex algebraic expression appeared both
in the residuals and in the derivatives, leading to the creation of a
temporary term, then the results could be incorrect under some circumstances
* When using the `bytecode` option of the `model` block, leads of more than
+127 or lags of less than -128 were not correctly handled
* Problems with the solver under occasionally binding constraints
(`occbin_solver` command):
+ when solving the baseline regime, it would not properly handle errors like
Blanchard-Kahn violations
+ the piecewise linear Kalman filter (PKF) would crash if the model solution
could not be computed for a parameter draw
+ the `oo_.FilteredVariablesKStepAhead` and `oo_.UpdatedVariables`
MATLAB/Octave variables would contain the steady state twice
+ the inversion filter would crash if the `filter_step_ahead` or
`state_uncertainty` options were requested
+ the PKF would crash if `filter_step_ahead=1` was specified
+ the PKF would crash if the `state_uncertainty` option was specified
together with the `smoother_redux` option
+ the last regime before the system is back to normal times in the
two-constraints case could be wrongly set, possibly leading to wrong
simulations, lack of convergence or crashes
* Problems with identification (`identification` command):
+ with `prior_mc>1` specified, it would incorrectly display the share of rank
deficient Jacobians
+ it would crash during plotting or displaying identification strength when
the necessary identification criteria based on moments could not be
computed
* The `plot_shock_decomposition` command would crash if invalid field names
were encountered
* The `shock_decomposition` command would not pass specified initial dates to
generated plots
* Various pathological cases encountered in steady state finding could lead to
a crash
* The `solve_algo=0` option of the `steady` command would not honor `tolx`
* In the `dynare_sensitivity` command, stability mapping would not correctly
honor the prior bounds
Announcement for Dynare 5.1 (on 2022-04-06)
===========================================
We are pleased to announce the release of Dynare 5.1.
This maintenance release fixes various bugs.
The Windows, macOS and source packages are already available for download at
[the Dynare website](https://www.dynare.org/download/).
All users are strongly encouraged to upgrade.
This release is compatible with MATLAB versions ranging from 8.3 (R2014a) to
9.12 (R2022a), and with GNU Octave version 6.4.0 (under Windows).
Here is a list of the problems identified in version 5.0 and that have been
fixed in version 5.1:
* Various problems with perfect foresight simulations in combination with
`block` and/or `bytecode` options of the `model` block:
+ Simulation with `bytecode` and `stack_solve_algo=4` could give incorrect
results if the model has a linear block of type “Solve two boundaries
simple/complete”
+ Simulation with `bytecode` and `stack_solve_algo=1` could fail to converge
+ Simulation with `block` (but without `bytecode`) and `stack_solve_algo=1`
gave wrong results in the last simulation period if the model has a block
of type “Solve two boundaries simple/complete”
+ Simulation with `bytecode` and `block` would give incorrect results if the
model has a linear block of type “Solve forward simple/complete”
+ Simulation with `block` (but without `bytecode`) would crash or give
incorrect results if the model has a block of type “Solve forward/backward
simple/complete”
+ Simulation with `bytecode`, `block` and `stack_solve_algo={0,1,4}` would
crash or give incorrect results if the model has a block of type “Solve
forward/backward complete”
+ Simulation with `block` (but without `bytecode`) gave incorrect results if
the model has a block of type “Solve backward simple/complete”
+ Simulation with `block` (with or without `bytecode`) could give incorrect
results if the model has a nonlinear block of type “Solve forward/backward
simple/complete”
+ Simulation with `bytecode`, `block` and `stack_solve_algo=4` could give
incorrect results if the model has a block of type “Solve backward/forward
simple/complete” that follows a block of type “Solve two boundaries” (in
the sense of the dependency graph)
+ The convergence criterion in simulations with `block` (but without
`bytecode`) was incorrect: the value of the `tolf` option from the `steady`
command was used instead of the value of `tolf` option from the
`perfect_foresight_solver` command
* Various problems with steady state computation in combination with `block`
and/or `bytecode` options of the `model` block:
+ Steady state computation with `bytecode` and `block` could fail if some
equations are marked `[static]`
+ Steady state computation with `bytecode`, `block` and `solve_algo` ⩽ 4 or ⩾
9 could fail
+ Steady state computation with `bytecode`, `block` and `solve_algo=6` would
crash or give incorrect results if the model has a block of type “Solve
forward/backward complete”
* The `check` command would crash or give incorrect results when using the
`block` option of the `model` block and if the model has a block of type
“Solve backward complete”
* The `static` and `incidence` options of the `model_info` command did not work
as documented in the reference manual
* Various problems with the `method_of_moments` command:
+ It would crash if no `matched_moments` block is present
+ It would always load the full range of the first Excel sheet instead of the
`xls_range` of the specified `xls_sheet`
+ SMM would crash if a parameter draw triggers an error during
`additional_optimizer_steps = 13`
+ The `debug` option could not be passed to the command
* In the `estimation` command, the `scale_file` field of the
`posterior_sampler_options` option did not correctly load the scale
* The `moments_varendo` option of the `estimation` command could crash for
large models
* The `resid` command would not show `name` tags when used in conjunction with
the `ramsey_model` command
* Simulations with the `occbin_solver` command would not work if there is only
a surprise shock in the first period
* The Liu & West auxiliary particle filter could enter infinite loops
Announcement for Dynare 5.0 (on 2022-01-07)
===========================================
We are pleased to announce the release of Dynare 5.0.
This major release adds new features and fixes various bugs.
The Windows, macOS and source packages are already available for download at
[the Dynare website](https://www.dynare.org/download/).
All users are strongly encouraged to upgrade.
This release is compatible with MATLAB versions ranging from 8.3 (R2014a) to
9.11 (R2021b), and with GNU Octave version 6.4.0 (under Windows).
The new tools for semi-structural models and the improvements on the nonlinear
solvers were funded by the European Central Bank. Special thanks to Nikola
Bokan (ECB) for his contributions and numerous bug reports and fixes.
Major user-visible changes
--------------------------
- New routines for simulating semi-structural (backward) models where
some equations incorporate expectations based on future values of a VAR or
trend component model. See the `var_model`, `trend_component_model` and
`var_expectation_model` commands, and the `var_expectation` operator.
- New routines for simulating semi-structural models where some equations are
specified using the polynomial adjustment costs (PAC) approach, as in the
FRB/US model (see Brayton et al., 2014 and Brayton et al., 2000) and the
ECB-BASE model (see Angelini et al., 2019). The forward-looking terms of the
PAC equations can be computed either using a satellite VAR model, or using
full model-consistent expectations. See the `pac_model` command and the
`pac_expectation` operator.
- New Method of Moments toolbox that provides functionality to estimate
parameters by (i) Generalized Method of Moments (GMM) up to 3rd-order pruned
perturbation approximation or (ii) Simulated Method of Moments (SMM) up to
any perturbation approximation order. The toolbox is inspired by replication
codes accompanying Andreasen et al. (2018), Born and Pfeifer (2014), and
Mutschler (2018). It is accessible via the new `method_of_moments` command
and the new `matched_moments` block. Moreover, by default, a new non-linear
least squares optimizer based on `lsqnonlin` is used for minimizing the
method of moments objective function (available under `mode_compute=13`).
GMM can further benefit from using gradient-based optimizers (using
`analytic_standard_errors` option and/or passing `'Jacobian','on'` to the
optimization options) as the Jacobian of the moment conditions can be
computed analytically.
- Implementation of the Occbin algorithm by Guerrieri and Iacoviello (2015),
together with the inversion filter of Cuba-Borda, Guerrieri, Iacoviello, and
Zhong (2019) and the piecewise Kalman filter of Giovannini, Pfeiffer, and
Ratto (2021). It is available via the new block `occbin_constraints` and the
new commands `occbin_setup`, `occbin_solver`, `occbin_graph`, and
`occbin_write_regimes`.
- Stochastic simulations
- `stoch_simul` now supports theoretical moments at `order=3` with
`pruning`.
- `stoch_simul` now reports second moments based on the pruned state space
if the `pruning` option is set (in previous Dynare releases it would
report a second-order accurate result based on the linear solution).
- Estimation
- Performance optimization to pruned state space systems and Lyapunov
solvers.
- New option `mh_posterior_mode_estimation` to `estimation` to perform
mode-finding by running the MCMC.
- New heteroskedastic filter and smoother, where shock standard errors may
*unexpectedly* change in every period. Triggered by the
`heteroskedastic_filter` option of the `estimation` command, and
configured via the `heteroskedastic_shocks` block.
- New option `mh_tune_guess` for setting the initial value for
`mh_tune_jscale`.
- New option `smoother_redux` to `estimation` and `calib_smoother` to
trigger computing the Kalman smoother on a restricted state space instead
of the full one.
- New block `filter_initial_state` for setting the initial condition of the
Kalman filter/smoother.
- New option `mh_initialize_from_previous_mcmc` to the `estimation` command
that allows to pick initial values for a new MCMC from a previous one.
- The `xls_sheet` option of the `estimation` command now takes a quoted
string as value. The former unquoted syntax is still accepted, but no
longer recommended.
- New option `particle_filter_options` to set various particle filter options.
- Perfect foresight and extended path
- New specialized algorithm in `perfect_foresight_solver` to deal with
purely static problems.
- The `debug` option of `perfect_foresight_solver` provides debugging
information if the Jacobian is singular.
- In deterministic models (perfect foresight or extended path), exogenous
variables with lead/lags are now replaced by auxiliary variables. This
brings those models in line with the transformation done on stochastic
models. However, note that the transformation is still not exactly the same
between the two classes of models, because there is no need to take into
account the Jensen inequality for the latter. In deterministic models,
there is a one-to-one mapping between exogenous with lead/lags and
auxiliaries, while in stochastic models, an auxiliary endogenous may
correspond to a more complex nonlinear expression.
- Optimal policy
- Several improvements to `evaluate_planner_objective`:
- it now applies a consistent approximation order when doing the
computation;
- in addition to the conditional welfare, it now also provides the
unconditional welfare;
- in a stochastic context, it now works with higher order approximation
(only the conditional welfare is available for order ⩾ 3);
- it now also works in a perfect foresight context.
- `discretionary_policy` is now able to solve nonlinear models (it will
then use their first-order approximation, and the analytical steady state
must be provided).
- Identification
- New option `schur_vec_tol` to the `identification` command, for setting
the tolerance level used to find nonstationary variables in the Schur
decomposition of the transition matrix.
- The `identification` command now supports optimal policy.
- Shock decomposition
- The `fast_realtime` option of the `realtime_shock_decomposition` command
now accepts a vector of integers, which runs the smoother for all the
specified data vintages.
- Macro processor
- Macroprocessor variables can be defined without a value (they are
assigned integer 1).
- LaTeX and JSON outputs
- New `nocommutativity` option to the `dynare` command. This option tells
the preprocessor not to use the commutativity of addition and
multiplication when looking for common subexpressions. As a consequence,
when using this option, equations in various outputs (LaTeX, JSON…) will
appear as the user entered them (without terms or factors swapped). Note
that using this option may have a performance impact on the preprocessing
stage, though it is likely to be small.
- Model-local variables are now substituted out as part of the various
model transformations. This means that they will no longer appear in
LaTeX or in JSON files (for the latter, they are still visible with
`json=parse` or `json=check`).
- Compilation of the model (`use_dll` option)
- Block decomposition (option `block` of `model`) can now be used in
conjunction with the `use_dll` option.
- The `use_dll` option can now directly be given to the `dynare` command.
- dseries classes
- Routines for converting between time series frequencies (e.g. daily to
monthly) have been added.
- dseries now supports bi-annual and daily frequency data.
- dseries can now import data from [DBnomics](https://db.nomics.world), via
the [mdbnomics](https://git.dynare.org/dbnomics/mdbnomics) plugin. Note
that this does not yet work under Octave. For the time being, the
DBnomics plugin must be installed separately.
- Misc improvements
- The `histval_file` and `initval_file` commands have been made more
flexible and now have functionalities similar to the `datafile` option of
the `estimation` command.
- When using the `loglinear` option, the output from Dynare now clearly
shows that the results reported concern the log of the original variable.
- Options `block` and `bytecode` of `model` can now be used in conjunction
with model-local variables (variables declared with a pound-sign `#`).
- The `model_info` command now prints the typology of endogenous variables
for non-block decomposed models.
- The total computing time of a run (in seconds) is now saved to `oo_.time`.
- New `notime` option to the `dynare` command, to disable the printing and
the saving of the total computing time.
- New `parallel_use_psexec` command-line Windows-specific option for
parallel local clusters: when `true` (the default), use `psexec` to spawn
processes; when `false`, use `start`.
- When compiling from source, it is no longer necessary to pass the
`MATLAB_VERSION` version to the configure script; the version is now
automatically detected.
Incompatible changes
--------------------
- Dynare will now generally save its output in the `MODFILENAME/Output` folder
(or the `DIRNAME/Output` folder if the `dirname` option was specified)
instead of the main directory. Most importantly, this concerns the
`_results.mat` and the `_mode.mat` files.
- The structure of the `oo_.planner_objective` field has been changed, in
relation to the improvements to `evaluate_planner_objective`.
- The preprocessor binary has been renamed to `dynare-preprocessor`, and is
now located in a dedicated `preprocessor` subdirectory.
- The `dynare` command no longer accepts `output=dynamic` and `output=first`
(these options actually had no effect).
- The minimal required MATLAB version is now R2014a (8.3).
- The 32-bit support has been dropped for Windows.
Bugs that were present in 4.6.4 and that have been fixed in 5.0
---------------------------------------------------------------
* Equations marked with `static`-tags were not detrended when a `deflator` was
specified
* Parallel execution of `dsge_var` estimation was broken
* The preprocessor would incorrectly simplify forward-looking constant
equations of the form `x(+1)=0` to imply `x=0`
* Under some circumstances, the use of the `model_local_variable` statement
would lead to a crash of the preprocessor
* When using the `block`-option without `bytecode` the residuals of the static
model were incorrectly displayed
* When using `k_order_solver`, the `simult_` function ignored requested
approximation orders that differed from the one used to compute the decision
rules
* Stochastic simulations of the `k_order_solver` without `pruning` iterated on
the policy function with a zero shock vector for the first (non-endogenous)
period
* `estimation` would ignore the mean of non-zero observables if the mean was 0
for the initial parameter vector
* `mode_check` would crash if a parameter was estimated to be exactly 0
* `load_mh_file` would not be able to load the proposal density if the previous run
was done in parallel
* `load_mh_file` would not work with MCMC runs from Dynare versions before
4.6.2
* `ramsey_model` would not correctly work with `lmmcp`
* `ramsey_model` would crash if a non-scalar error code was encountered during
steady state finding.
* Using undefined objects in the `planner_objective` function would yield an
erroneous error message about the objective containing exogenous variables
* `model_diagnostics` did not correctly handle a previous `loglinear` option
* `solve_algo=3` (csolve) would ignore user-set `maxit` and `tolf` options
* The `planner_objective` values were not based on the correct initialization
of auxiliary variables (if any were present)
* The `nostrict` command line option was not ignoring unused endogenous
variables in `initval`, `endval`, and `histval`
* `prior_posterior_statistics_core` could crash for models with eigenvalues
very close to 1
* The display of the equation numbers in `debug` mode related to issues in the
Jacobian would not correctly take auxiliary equations into account
* The `resid` command was not correctly taking auxiliary and missing equations
related to optimal policy (`ramsey_model`, `discretionary_policy`) into
account
* `bytecode` would lock the `dynamic.bin` file upon encountering an exception,
requiring a restart of MATLAB to be able to rerun the file
* Estimation with the `block` model option would crash when calling the block
Kalman filter
* The `block` model option would crash if no `initval` statement was present
* Having a variable with the same name as the mod-file present in the base
workspace would result in a crash
* `oo_.FilteredVariablesKStepAheadVariances` was wrongly computed in the Kalman
smoother based on the previous period forecast error variance
* Forecasts after `estimation` would not work if there were lagged exogenous
variables present
* Forecasts after `estimation` with MC would crash if measurement errors were
present
* Smoother results would be infinity for auxiliary variables associated with
lagged exogenous variables
* In rare cases, the posterior Kalman smoother could crash due to previously
accepted draws violating the Blanchard-Kahn conditions when using an
unrestricted state space
* `perfect_foresight_solver` would crash for purely static problems
* Monte Carlo sampling in `identification` would crash if the minimal state
space for the Komunjer and Ng test could not be computed
* Monte Carlo sampling in `identification` would skip the computation of
identification statistics for all subsequent parameter draws if an error was
triggered by one draw
* The `--steps`-option of Dynare++ was broken
* `smoother2histval` would crash if variable names were too similar
* `smoother2histval` was not keeping track of whether previously stored results
were generated with `loglinear`
* The `initval_file` option was not supporting Dynare’s translation of a model
into a one lead/lag-model via auxiliary variables
References
----------
- Andreasen et al. (2018): “The pruned state-space system for non-linear DSGE
models: Theory and empirical applications,” Review of Economic Studies,
85(1), 1–49
- Angelini, Bokan, Christoffel, Ciccarelli and Zimic (2019): “Introducing
ECB-BASE: The blueprint the new ECB semi-structural model for the euro area,”
ECB Working Paper no. 2315
- Born and Pfeifer (2014): “Policy risk and the business cycle,” Journal of
Monetary Economics, 68, 68–85
- Brayton, Davis and Tulip (2000): “Polynomial adjustment costs in FRB/US,”
Unpublished manuscript
- Brayton, Laubach, and Reifschneider (2014): “The FRB/US Model: A tool for
macroeconomic policy analysis,” FEDS Notes. Washington: Board of Governors
of the Federal Reserve System, https://doi.org/10.17016/2380-7172.0012
- Cuba-Borda, Guerrieri, Iacoviello, and Zhong (2019): “Likelihood evaluation
of models with occasionally binding constraints,” Journal of Applied
Econometrics, 34(7), 1073–1085
- Giovannini, Pfeiffer, and Ratto (2021): “Efficient and robust inference of
models with occasionally binding constraints,” Working Paper 2021-03, Joint
Research Centre, European Commission
- Guerrieri and Iacoviello (2015): “OccBin: A toolkit for solving dynamic
models with occasionally binding constraints easily,” Journal of Monetary
Economics, 70, 22–38
- Mutschler (2018): “Higher-order statistics for DSGE models,” Econometrics
and Statistics, 6(C), 44–56
Announcement for Dynare 4.6.4 (on 2021-03-18)
=============================================
......
README.md
View file @ 2ddfa086
......@@ -67,42 +67,42 @@ a 32-bit Octave.
A number of tools and libraries are needed in order to recompile everything. You don't necessarily need to install everything, depending on what you want to compile.
- A POSIX compliant shell and an implementation of Make (mandatory)
- The [GNU Compiler Collection](http://gcc.gnu.org/), version 8 or later, with
- The [GNU Compiler Collection](https://gcc.gnu.org/), version 8 or later, with
gcc, g++ and gfortran (mandatory)
- [MATLAB](https://mathworks.com) (if you want to compile the MEX for MATLAB)
- [GNU Octave](http://www.octave.org) with
- [GNU Octave](https://www.octave.org) with
- the development headers (if you want to compile the MEX for Octave)
- the development libraries corresponding to the [UMFPACK](https://people.engr.tamu.edu/davis/suitesparse.html) packaged with Octave
- Optionally, the [Control](https://wiki.octave.org/Control_package), [IO](https://wiki.octave.org/IO_package), [Optimization](https://wiki.octave.org/Optimization_package) and [Statistics](https://wiki.octave.org/Statistics_package) package either installed via your package manager or through [Octave Forge](https://wiki.octave.org/Category:Octave_Forge).
- [Boost libraries](http://www.boost.org), version 1.36 or later
- [Bison](http://www.gnu.org/software/bison/), version 3.2 or later (only if you get the source through Git)
- [Flex](http://flex.sourceforge.net/), version 2.5.4 or later (only if you get the source through Git)
- [Autoconf](http://www.gnu.org/software/autoconf/), version 2.62 or later (only if you get the source through Git)
- [Automake](http://www.gnu.org/software/automake/), version 1.11.2 or later (only if you get the source through Git)
- An implementation of BLAS and LAPACK: either [ATLAS](http://math-atlas.sourceforge.net/), [OpenBLAS](http://xianyi.github.com/OpenBLAS/), Netlib ([BLAS](http://www.netlib.org/blas/), [LAPACK](http://www.netlib.org/lapack/)) or [MKL](http://software.intel.com/en-us/intel-mkl/) (only if you want to build Dynare++)
- [MAT File I/O library](http://sourceforge.net/projects/matio/), version 1.5 or later (if you want to compile Markov-Switching code, the estimation DLL, k-order DLL and Dynare++)
- Optionally, the [Control](https://octave.sourceforge.io/control/), [IO](https://octave.sourceforge.io/io/), [Optimization](https://octave.sourceforge.io/optim/) and [Statistics](https://octave.sourceforge.io/statistics/) package either installed via your package manager or through [Octave Forge](https://octave.sourceforge.io/).
- [Boost libraries](https://www.boost.org), version 1.36 or later
- [Bison](https://www.gnu.org/software/bison/), version 3.2 or later (only if you get the source through Git)
- [Flex](https://github.com/westes/flex), version 2.5.4 or later (only if you get the source through Git)
- [Autoconf](https://www.gnu.org/software/autoconf/), version 2.62 or later (only if you get the source through Git)
- [Automake](https://www.gnu.org/software/automake/), version 1.11.2 or later (only if you get the source through Git)
- An implementation of BLAS and LAPACK: either [ATLAS](http://math-atlas.sourceforge.net/), [OpenBLAS](https://www.openblas.net/), Netlib ([BLAS](https://www.netlib.org/blas/), [LAPACK](https://www.netlib.org/lapack/)) or [MKL](https://www.intel.com/content/www/us/en/developer/tools/oneapi/onemkl.html) (only if you want to build Dynare++)
- [MAT File I/O library](https://sourceforge.net/projects/matio/), version 1.5 or later (if you want to compile Markov-Switching code, the estimation DLL, k-order DLL and Dynare++)
- [SLICOT](http://www.slicot.org) (if you want to compile the Kalman steady state DLL)
- [GSL library](http://www.gnu.org/software/gsl/) (if you want to compile Markov-Switching code)
- [GSL library](https://www.gnu.org/software/gsl/) (if you want to compile Markov-Switching code)
- A decent LaTeX distribution (if you want to compile PDF documentation),
ideally with Beamer
- For building the reference manual:
- [Sphinx](http://www.sphinx-doc.org/)
- [Sphinx](https://www.sphinx-doc.org/)
- [MathJax](https://www.mathjax.org/)
- [Doxygen](http://www.stack.nl/%7Edimitri/doxygen/) (if you want to build Dynare preprocessor source documentation)
- [X-13ARIMA-SEATS Seasonal Adjustment Program](https://www.census.gov/srd/www/x13as/)
- [Doxygen](https://www.doxygen.nl) (if you want to build Dynare preprocessor source documentation)
- [X-13ARIMA-SEATS Seasonal Adjustment Program](https://www.census.gov/data/software/x13as.html)
### Preparing the sources
If you have downloaded the sources from an official source archive or the source snapshot, just unpack it.
If you want to use Git, do the following from a terminal:
If you want to use Git, do the following from a terminal (note that you must
have the [Git LFS](https://git-lfs.github.com/) extension installed):
```sh
git clone --recurse-submodules https://git.dynare.org/Dynare/dynare.git
cd dynare
autoreconf -si
```
The last line runs Autoconf and Automake in order to prepare the build environment (this is not necessary if you got the sources from an official source archive or the source snapshot). If you want a certain version (e.g. 4.6) , then add `--single-branch --branch 4.6` to the git clone command.
The last line runs Autoconf and Automake in order to prepare the build environment (this is not necessary if you got the sources from an official source archive or the source snapshot). If you want a certain version (e.g. 5.x) , then add `--single-branch --branch 5.x` to the git clone command.
### Configuring the build tree
......@@ -206,7 +206,7 @@ All the prerequisites are packaged:
- `libmatio-dev`
- `libslicot-dev` and `libslicot-pic`
- `libsuitesparse-dev`
- `flex`
- `flex` and `libfl-dev`
- `bison`
- `autoconf`
- `automake`
......@@ -219,6 +219,7 @@ All the prerequisites are packaged:
- `texlive-plain-generic`
- `lmodern` (for macroprocessor PDF)
- `python3-sphinx`
- `tex-gyre`
- `latexmk`
- `libjs-mathjax`
- `doxygen`
......@@ -226,12 +227,13 @@ All the prerequisites are packaged:
You can install them all at once with:
```sh
apt install build-essential gfortran liboctave-dev libboost-graph-dev libgsl-dev libmatio-dev libslicot-dev libslicot-pic libsuitesparse-dev flex bison autoconf automake texlive texlive-publishers texlive-latex-extra texlive-fonts-extra texlive-latex-recommended texlive-science texlive-plain-generic lmodern python3-sphinx latexmk libjs-mathjax doxygen x13as
apt install build-essential gfortran liboctave-dev libboost-graph-dev libgsl-dev libmatio-dev libslicot-dev libslicot-pic libsuitesparse-dev flex libfl-dev bison autoconf automake texlive texlive-publishers texlive-latex-extra texlive-fonts-extra texlive-latex-recommended texlive-science texlive-plain-generic lmodern python3-sphinx tex-gyre latexmk libjs-mathjax doxygen x13as
```
If you use MATLAB, we strongly advise to also `apt install matlab-support` and confirm to rename the GCC libraries shipped with MATLAB to avoid possible conflicts with GCC libraries shipped by your distribution.
Tested on
- Debian 10
- Debian “Buster” 10
- Debian “Bullseye” 11
- Ubuntu 20.04
- Ubuntu 20.10
......@@ -296,8 +298,8 @@ cp slicot.a /home/$USER/dynare/slicot/lib/libslicot_pic.a #for octave
# compile x13as from source and put it into /usr/bin/
mkdir -p /home/$USER/dynare/x13as
cd /home/$USER/dynare/x13as
wget https://www.census.gov/ts/x13as/unix/x13assrc_V1.1_B39.tar.gz
tar xf x13assrc_V1.1_B39.tar.gz
wget https://www2.census.gov/software/x-13arima-seats/x13as/unix-linux/program-archives/x13as_asciisrc-v1-1-b60.tar.gz
tar xf x13as_asciisrc-v1-1-b60.tar.gz
sed -i "s|-static| |" makefile.gf # this removes '-static' in the makefile.gf
make -f makefile.gf FFLAGS="-O2 -std=legacy" PROGRAM=x13as
sudo cp x13as /usr/bin/
......@@ -311,7 +313,7 @@ cd /home/$USER/dynare
git clone --recurse-submodules https://git.dynare.org/dynare/dynare.git unstable
cd unstable
autoreconf -si
./configure --with-slicot=/home/$USER/dynare/slicot --with-matlab=/usr/local/MATLAB/R2020b
./configure --with-slicot=/home/$USER/dynare/slicot --with-matlab=/usr/local/MATLAB/R2023b
make -j$(($(nproc)+1)) #rule of thumb: one more than CPUs as shown by e.g. lscpu
```
......@@ -339,8 +341,7 @@ Tested on
## Windows
- Install [MSYS2](http://www.msys2.org) (pick the 64-bit version, unless you
have a 32-bit Windows, in which case see below)
- Install [MSYS2](http://www.msys2.org)
- Run a MSYS MinGW 64-bit shell
- Update the system:
```sh
......@@ -400,54 +401,155 @@ adapted to a 32-bit MATLAB with the following modifications:
currently not supported.
## macOS
Dynare supports both Intel and Apple Silicon chips and is compiled from source
using a [Homebrew](https://brew.sh/) toolchain. If you have an Apple silicon processor
(*M1/M2 PRO/MAX/ULTRA*), you can compile Dynare both for Intel's `x86_64` (using Rosetta 2)
as well as Apple's native `arm64` platform by using the corresponding Homebrew packages.
If you have an Intel chip you can only compile for `x86_64`.
You can check the platform of your current Homebrew installation by e.g. running
`which brew` which should point to `/opt/homebrew/bin/brew` for `arm64` and to
`/usr/local/bin/brew` for `x86_64` systems. In the steps below, we
create a temporary environment variable `BREWDIR` to ensure that the correct packages are used.
The following commands install all requirements and Dynare from source.
They should be entered at the command prompt in Terminal.app.
Preparatory work:
- Install the Xcode Command Line Tools. Open Terminal.app and type:
### Preparatory work
- Install the Xcode Command Line Tools:
```sh
xcode-select --install
```
- Install [Homebrew](https://brew.sh/) by following the instructions on their website
- Install [MacTeX](http://www.tug.org/mactex/index.html). Alternatively, if you
don’t want to install MacTeX, you should pass the `--disable-doc` flag to the
`configure` command below.
- Install required Homebrew packages. Open Terminal.app and type:
- Install Rosetta 2 (Apple Silicon only):
```sh
softwareupdate --install-rosetta --agree-to-license
```
- Install [Homebrew](https://brew.sh/):
Create environment variables for which platform you want to compile for, i.e. either `arm64` or `x86_64`:
For `arm64` run the following commands:
```sh
brew install automake bison flex boost gcc gsl libmatio veclibfort octave sphinx-doc wget
brew link --force sphinx-doc
export ARCH=arm64
export BREWDIR=/opt/homebrew
```
- Compile and install SLICOT, needed for the `kalman_steady_state` MEX file.
Still from Terminal.app:
For `x86_64` run the following commands:
```sh
wget https://deb.debian.org/debian/pool/main/s/slicot/slicot_5.0+20101122.orig.tar.gz
export ARCH=x86_64
export BREWDIR=/usr/local
```
Install Homebrew using the environment variables:
```sh
arch -$ARCH /bin/bash -c "$(curl -fsSL https://raw.githubusercontent.com/Homebrew/install/HEAD/install.sh)"
```
The prefix `arch -arm64` or `arch -x86_64` makes sure that you are installing the correct packages.
Don't forget to run the displayed commands (**Next steps**) in the terminal to add Homebrew to your PATH.
If you have both Homebrew installations installed, make sure that you are accessing the correct packages by temporarily (!) prepending it to the path:
```sh
export PATH="$BREWDIR/bin:$PATH"
```
- Install required Homebrew packages:
```sh
arch -$ARCH $BREWDIR/bin/brew install automake bison flex boost gcc gsl libmatio veclibfort octave sphinx-doc wget git-lfs
```
If you are installing `git-lfs` for the first time, you need to run `git lfs install` once after installing it.
- Link the sphinx-doc package to be able to compile the documentation:
```sh
arch -$ARCH $BREWDIR/bin/brew link --force sphinx-doc
```
- Install [MacTeX](http://www.tug.org/mactex/index.html) using the universal installer, if you want to build the documentation. MacTeX runs natively on both ARM and Intel machines. On Apple Silicon, it is advised to symlink `pdflatex`, `bibtex` and `latexmk` into `/usr/local/bin`:
```sh
sudo ln -s /Library/TeX/texbin/pdflatex /usr/local/bin/pdflatex
sudo ln -s /Library/TeX/texbin/bibtex /usr/local/bin/bibtex
sudo ln -s /Library/TeX/texbin/latexmk /usr/local/bin/latexmk
```
If you don't have admin privileges, then you can also symlink them into `$HOME/.local/bin` and add this folder to your PATH.
If you don’t want to install MacTeX, you should pass the `--disable-doc` flag to the `configure` command below.
- Install MATLAB and additional toolboxes.
We recommend, but don't require, the following: Optimization, Global Optimization, Statistics and Machine Learning, Econometrics, and Control System.
For Apple Silicon: MATLAB offers a native Apple silicon version (arm64) as of version R2023b, see [the official instructions](https://de.mathworks.com/support/requirements/apple-silicon.html) how to install it.
You can also run the Intel version (x86_64) under Rosetta 2.
Don't forget to run MATLAB at least once to make sure you have a valid license.
- Create a folder for Dynare and its dependencies
```sh
export DYNAREDIR=$HOME/dynare
```
- Compile and install SLICOT
```sh
mkdir -p $DYNAREDIR/slicot/lib
cd $DYNAREDIR/slicot
curl -O https://deb.debian.org/debian/pool/main/s/slicot/slicot_5.0+20101122.orig.tar.gz
tar xf slicot_5.0+20101122.orig.tar.gz
cd slicot-5.0+20101122
make -j$(nproc) FORTRAN=gfortran OPTS="-O2" LOADER=gfortran lib
cp slicot.a /usr/local/lib/libslicot_pic.a
make -j$(sysctl -n hw.ncpu) FORTRAN=$BREWDIR/bin/gfortran OPTS="-O2" LOADER=gfortran lib
cp slicot.a $DYNAREDIR/slicot/lib/libslicot_pic.a
make clean
make -j$(nproc) FORTRAN=gfortran OPTS="-O2 -fdefault-integer-8" LOADER=gfortran lib
cp slicot.a /usr/local/lib/libslicot64_pic.a
cd ..
make -j$(sysctl -n hw.ncpu) FORTRAN=$BREWDIR/bin/gfortran OPTS="-O2 -fdefault-integer-8" LOADER=gfortran lib
cp slicot.a $DYNAREDIR/slicot/lib/libslicot64_pic.a
```
- Compile and install the X-13ARIMA-SEATS Seasonal Adjustment Program
```sh
mkdir -p $DYNAREDIR/x13as
cd $DYNAREDIR/x13as
curl -O https://www2.census.gov/software/x-13arima-seats/x13as/unix-linux/program-archives/x13as_asciisrc-v1-1-b60.tar.gz
tar xf x13as_asciisrc-v1-1-b60.tar.gz
sed -i '' 's/-static//g' makefile.gf
make -j$(sysctl -n hw.ncpu) -f makefile.gf FC=$BREWDIR/bin/gfortran LINKER=$BREWDIR/bin/gcc-13 FFLAGS="-O2 -std=legacy" LDFLAGS=-static-libgcc LIBS="$BREWDIR/lib/gcc/current/libgfortran.a /$BREWDIR/lib/gcc/current/libquadmath.a" PROGRAM=x13as
sudo cp $DYNAREDIR/x13as/x13as /usr/local/bin/x13as
cd $DYNAREDIR
x13as
```
Alternatively, if you don't have admin privileges you can install it into `$HOME/.local/bin` and add this folder to your PATH.
### Compile Dynare from source
The following commands will download the Dynare source code and compile
it. They should be entered at the command prompt in Terminal.app from the
folder where you want Dynare installed.
- Prepare the Dynare sources:
- Prepare the Dynare sources for the unstable version:
```sh
git clone --recurse-submodules https://git.dynare.org/Dynare/dynare.git
cd dynare
autoreconf -si
git clone --recurse-submodules https://git.dynare.org/Dynare/dynare.git $DYNAREDIR/unstable
cd $DYNAREDIR/unstable
arch -$ARCH autoreconf -si
```
If you want a certain version (e.g. 5.x) , then add `--single-branch --branch 5.x` to the git clone command.
- Configure Dynare from the source directory:
```sh
./configure --with-matlab=<…> CC=gcc-11 CXX=g++-11 CPPFLAGS=-I/usr/local/include LDFLAGS=-L/usr/local/lib LEX=/usr/local/opt/flex/bin/flex YACC=/usr/local/opt/bison/bin/bison
arch -$ARCH ./configure CC=gcc-13 CXX=g++-13 CPPFLAGS=-I$BREWDIR/include LDFLAGS=-L$BREWDIR/lib LEX=$BREWDIR/opt/flex/bin/flex YACC=$BREWDIR/opt/bison/bin/bison --with-slicot=$DYNAREDIR/slicot --with-matlab=/Applications/MATLAB_R2023b.app
```
where the path to MATLAB is specified, typically of the form
`/Applications/MATLAB_R2020b.app`. If you don’t have MATLAB, simply replace
`--with-matlab=<…>` in the above command by `--disable-matlab`.
where you need to adapt the path to MATLAB. If you don’t have MATLAB, simply replace `--with-matlab=<…>` by `--disable-matlab`. Check the output of the command whether Dynare is configured for building everything except the internal docs of Dynare, Dynare++ and M2HTML.
- Compile:
```sh
make -j$(nproc)
arch -$ARCH make -j$(sysctl -n hw.ncpu)
```
If no errors occured, you are done. Dynare is now ready to use.
- If you additionally want to compile the documentation run:
```sh
arch -$ARCH make pdf html
```
### Optional: pass the full PATH to MATLAB to run system commands
If you start MATLAB from a terminal, you will get the PATH inherited from the shell.
However, when you click on the application icon in macOS, you are not running at the terminal level:
the program is run by launcher, which does not go through a shell login session.
In other words, you get the system default PATH which includes `/usr/bin:/bin:/usr/sbin:/sbin`, but not `/usr/local/bin` or `$HOME/.local/bin`.
So if you want to use system commands like `pdflatex`, `latexmk` or `x13as` you should either call them by their full path (e.g `/Library/TeX/texbin/pdflatex`)
or append the PATH by running `setenv('PATH', [getenv('PATH') ':/usr/local/bin:$HOME/.local/bin:/Library/TeX/texbin']);` in your MATLAB command line once,
e.g. by adding this to your mod file. Alternatively, you can create a `startup.m` file or change the system default PATH in the `/etc/paths` file.
\ No newline at end of file
configure.ac
View file @ 2ddfa086
dnl Process this file with autoconf to produce a configure script.
dnl Copyright © 2009-2019 Dynare Team
dnl Copyright © 2009-2022 Dynare Team
dnl
dnl This file is part of Dynare.
dnl
......@@ -18,7 +18,7 @@ dnl You should have received a copy of the GNU General Public License
dnl along with Dynare. If not, see <https://www.gnu.org/licenses/>.
AC_PREREQ([2.62])
AC_INIT([dynare], [4.7-unstable])
AC_INIT([dynare], [5.6])
AC_CONFIG_SRCDIR([preprocessor/src/DynareMain.cc])
AM_INIT_AUTOMAKE([1.11 -Wall -Wno-portability foreign no-dist-gzip dist-xz tar-pax])
......
dmm @ ea7846fd
Compare ea7846fd...ea7846fd
Subproject commit ea7846fd71d32851877cf60008ac5046b51a7a51
doc/bvar-a-la-sims.tex
View file @ 2ddfa086
......@@ -21,12 +21,12 @@
at: \url{https://www.gnu.org/licenses/fdl.txt}
\newline
\indent Many thanks to Christopher Sims for providing his BVAR
MATLAB\textregistered~routines, to St\'ephane Adjemian and Michel Juillard
MATLAB\textsuperscript{\textregistered}~routines, to St\'ephane Adjemian and Michel Juillard
for their helpful support, and to Marek Jaroci\'nski for reporting a bug.
}}
\author{S\'ebastien Villemot\thanks{Paris School of Economics and
CEPREMAP.} \and Johannes Pfeifer\thanks{Universität der Bundeswehr München. E-mail: \href{mailto:johannes.pfeifer@unibw.de}{\texttt{johannes.pfeifer@unibw.de}}.}}
CEPREMAP.} \and Johannes Pfeifer\thanks{University of the Bundeswehr Munich. E-mail: \href{mailto:johannes.pfeifer@unibw.de}{\texttt{johannes.pfeifer@unibw.de}}.}}
\date{First version: September 2007 \hspace{1cm} This version: May 2017}
\maketitle
......
doc/dr.bib
View file @ 2ddfa086
% Encoding: UTF-8
@techreport{adjemian/al:2011,
author = {Adjemian, St\'ephane and Bastani, Houtan and Juillard, Michel and Mihoubi, Ferhat and Perendia, George and Ratto, Marco and Villemot, S\'ebastien},
title = {Dynare: Reference Manual, Version 4},
@TechReport{adjemian/al:2011,
author = {Adjemian, St\'ephane and Bastani, Houtan and Juillard, Michel and Karam\'e, Fr\'ederic and Maih, Junior and Mihoubi, Ferhat and Mutschler, Willi and Perendia, George and Pfeifer, Johannes and Ratto, Marco and Villemot, S\'ebastien},
institution = {CEPREMAP},
title = {Dynare: Reference Manual Version 4},
year = {2011},
number = {1},
type = {Dynare Working Papers},
number = {1}
}
@article{blanchard/kahn:1980,
@Article{blanchard/kahn:1980,
author = {Blanchard, Olivier Jean and Kahn, Charles M.},
title = {The Solution of Linear Difference Models under Rational Expectations},
journal = {Econometrica},
year = 1980,
volume = {48},
title = {The Solution of Linear Difference Models under Rational Expectations},
year = {1980},
month = {7},
number = {5},
pages = {1305-11},
month = {July},
keywords = { Macromodels Yield curve Persistence},
volume = {48},
abstract = {Many have questioned the empirical relevance of the Calvo-Yun model. This paper adds a term structure to three widely studied macroeconomic models (Calvo-Yun, hybrid and Svensson). We back out from observations on the yield curve the underlying macroeconomic model that most closely matches the level, slope and curvature of the yield curve. With each model we trace the response of the yield curve to macroeconomic shocks. We assess the fit of each model against the observed behaviour of interest rates and find limited support for the Calvo-Yun model in terms of fit with the observed yield curve, we find some support for the hybrid model but the Svensson model performs best.},
url = {http://ideas.repec.org/a/ecm/emetrp/v48y1980i5p1305-11.html}
doi = {10.2307/1912186},
keywords = {Macromodels Yield curve Persistence},
}
@article{klein:2000,
@Article{klein:2000,
author = {Klein, Paul},
title = {Using the generalized Schur form to solve a multivariate linear rational expectations model},
journal = {Journal of Economic Dynamics and Control},
year = 2000,
volume = {24},
title = {Using the generalized {Schur} form to solve a multivariate linear rational expectations model},
year = {2000},
month = {September},
number = {10},
pages = {1405-1423},
month = {September},
keywords = {},
abstract = {},
url = {http://ideas.repec.org/a/eee/dyncon/v24y2000i10p1405-1423.html}
volume = {24},
doi = {10.1016/s0165-1889(99)00045-7},
}
@article{schmitt-grohe/uribe:2004,
@Article{schmitt-grohe/uribe:2004,
author = {Schmitt-Groh\'{e}, Stephanie and Ur\'{i}be, Martin},
title = {Solving dynamic general equilibrium models using a second-order approximation to the policy function},
journal = {Journal of Economic Dynamics and Control},
year = 2004,
volume = {28},
title = {Solving dynamic general equilibrium models using a second-order approximation to the policy function},
year = {2004},
month = {January},
number = {4},
pages = {755-775},
month = {January},
keywords = {},
url = {http://ideas.repec.org/a/eee/dyncon/v28y2004i4p755-775.html}
volume = {28},
doi = {10.1016/s0165-1889(03)00043-5},
}
@article{sims:2001,
@Article{sims:2001,
author = {Sims, Christopher A},
title = {Solving Linear Rational Expectations Models},
journal = {Computational Economics},
year = 2002,
volume = {20},
title = {Solving Linear Rational Expectations Models},
year = {2002},
month = {October},
number = {1-2},
pages = {1-20},
month = {October},
keywords = {},
abstract = {},
url = {http://ideas.repec.org/a/kap/compec/v20y2002i1-2p1-20.html}
volume = {20},
doi = {10.1023/A:1020517101123},
}
@incollection{uhlig:1999,
@InCollection{uhlig:1999,
author = {Uhlig, Harald},
title = {A toolkit for analysing nonlinear dynamic stochastic models easily},
booktitle = {Computational Methods for the Study of Dynamic Economics},
booktitle = {Computational Methods for the Study of Dynamic Economies},
publisher = {Oxford University Press},
address = {Oxford},
title = {A toolkit for analysing nonlinear dynamic stochastic models easily},
year = {1999},
editor = {Marimon, Ramon and Scott, Androw},
pages = {30-61}
editor = {Marimon, Ramon and Scott, Andrew},
pages = {30-61},
}
@techreport{kamenik:2003,
@techreport{kamenik:2004,
author = {Kamenik, Ondra},
title = {Solution of Specialized Sylvester Equation},
institution = {Manuscript},
year = {2003}
year = {2004}
}
@article{collard/juillard:2001:compecon,
@Article{collard/juillard:2001:compecon,
author = {Collard, Fabrice and Juillard, Michel},
title = {A Higher-Order Taylor Expansion Approach to Simulation of Stochastic Forward-Looking Models with an Application to a Nonlinear Phillips Curve Model},
journal = {Computational Economics},
title = {A Higher-Order {Taylor} Expansion Approach to Simulation of Stochastic Forward-Looking Models with an Application to a Nonlinear {Phillips} Curve Model},
year = {2001},
volume = {17},
month = {6},
number = {2-3},
pages = {125-39},
month = {June},
keywords = {},
url = {http://ideas.repec.org/a/kap/compec/v17y2001i2-3p125-39.html}
pages = {125-139},
volume = {17},
doi = {10.1023/A:1011624124377},
}
@book{golub/van-loan:1996,
@Book{golub/van-loan:1996,
author = {Golub, Gene H. and Van Loan, Charles F.},
title = {Matrix Computations},
publisher = {The John Hopkins University Press},
year = {1996},
edition = {third}
title = {Matrix Computations},
year = {2013},
address = {Baltimore},
edition = {4},
}
@Comment{jabref-meta: databaseType:bibtex;}
doc/dr.tex
View file @ 2ddfa086
......@@ -3,7 +3,7 @@
\usepackage{amssymb}
\usepackage{amsmath}
\usepackage{hyperref}
\hypersetup{breaklinks=true,pagecolor=white,colorlinks=true,linkcolor=blue,citecolor=blue,urlcolor=blue}
\hypersetup{breaklinks=true,colorlinks=true,linkcolor=blue,citecolor=blue,urlcolor=blue}
\usepackage{natbib}
\usepackage{fullpage}
......@@ -36,7 +36,7 @@
computing the first order approximated solution of a nonlinear rational
expectations model. The core of the algorithm is a generalized Schur
decomposition (also known as the QZ decomposition), as advocated by several
authors in the litterature. The contribution of the present paper is to focus
authors in the literature. The contribution of the present paper is to focus
on implementation details that make the algorithm more generic and more
efficient, especially for large models.
......@@ -62,12 +62,8 @@ detail the algorithm implemented in Dynare for computing the first order
approximated solution of nonlinear rational expectations models.\footnote{This
algorithm is available using the \texttt{stoch\_simul} command of Dynare. The
original implementation of this algorithm was done by Michel Juillard, using
MATLAB, and is available in the \texttt{matlab/dr1.m} file which is
distributed with Dynare. Another implementation was done by the author, in
C++, in the \texttt{DecisionRules} class, in the
\texttt{mex/sources/estimation} directory of the source tree. The notations
used in the present paper are closer to the C++ implementation than to the
MATLAB implementation.}
MATLAB, and is available in the \texttt{matlab/dyn\_first\_order\_solver.m} file which is
distributed with Dynare.}
This algorithm is based on a generalized Schur decomposition---also known as
the QZ decomposition---and is therefore essentially a variation on the
......@@ -653,8 +649,8 @@ equation is:
\end{equation*}
In the general case, this equation is a specialized Sylvester equation, which
can be solved using the algorithm proposed by
\citet{kamenik:2003}\footnote{This paper is distributed with Dynare, in the
\texttt{sylvester.pdf} file under the documentation directory.}.
\citet{kamenik:2004}\footnote{This paper is distributed with Dynare, in the
\texttt{sylvester.pdf} file under the Dynare++ documentation directory.}.
\bibliographystyle{elsarticle-harv}
\bibliography{dr}
......
doc/gsa/gsa.tex
View file @ 2ddfa086
......@@ -4,15 +4,15 @@
\documentclass[12pt,a4paper]{article}
\usepackage{amssymb,amsmath}
\usepackage[dvips]{graphicx}
\usepackage{natbib}
\usepackage{psfrag}
\usepackage{setspace}
\usepackage{rotating}
\usepackage{hyperref}
\hypersetup{breaklinks=true,pagecolor=white,colorlinks=true,linkcolor=blue,citecolor=blue,urlcolor=blue}
\hypersetup{breaklinks=true,colorlinks=true,linkcolor=blue,citecolor=blue,urlcolor=blue}
%\singlespacing (interlinea singola)
%\onehalfspacing (interlinea 1,5)
%\doublespacing (interlinea doppia)
\usepackage{doi,natbib}
%\bibpunct{(}{)}{;}{a}{,}{,}
......
doc/gsa/marco.bib
View file @ 2ddfa086
@ARTICLE{Ratto_CompEcon_2008,
author = {Ratto, M.},
title = {Analysing DSGE Models with Global Sensitivity Analysis},
% Encoding: UTF-8
@Article{Ratto_CompEcon_2008,
author = {Ratto, Marco},
journal = {Computational Economics},
title = {Analysing {DSGE} models with global sensitivity analysis},
year = {2008},
volume = {31},
pages = {115--139},
volume = {31},
doi = {10.1007/s10614-007-9110-6},
}
@ARTICLE{Iskrev2010,
@Article{Iskrev2010,
author = {Nikolay Iskrev},
title = {Local Identification in {DSGE} Models},
journal = {Journal of Monetary Economics},
title = {Local Identification in {DSGE} Models},
year = {2010},
number = {2},
pages = {189-202},
volume = {57},
pages = {189-202}
doi = {10.1016/j.jmoneco.2009.12.007},
}
@UNPUBLISHED{Iskrev2011,
......@@ -23,3 +28,5 @@
note = {mimeo},
year = {2011}
}
@Comment{jabref-meta: databaseType:bibtex;}
doc/guide.tex
View file @ 2ddfa086
\documentclass[11pt,a4paper]{article}
\usepackage{bibmad,graphicx,latexsym,amssymb,times}
\usepackage[cp850]{inputenc}
\usepackage{graphicx,latexsym,amssymb,times}
\usepackage[utf8]{inputenc}
\begin{document}
\title{Stochastic simulations with {\sc Dynare}. \\ A practical guide.}
\author{Fabrice Collard (GREMAQ, University of Toulouse)\\Adapted for Dynare 4.1\\ by Michel Juillard and S\'ebastien Villemot (CEPREMAP)}
\author{Fabrice Collard (GREMAQ, University of Toulouse)\\Adapted for Dynare 4.x\\ by Michel Juillard and S\'ebastien Villemot (CEPREMAP)}
\date{First draft: February 2001\hspace{10mm}This draft: December 2009.}
\maketitle
This document describes a model involving both endogenous and exogenous state variable. We first describe the theoretical model, before showing how the perturbation method is implemented in {\sc Dynare}.
......@@ -324,8 +324,8 @@ end;
stoch_simul(periods=2000, drop=200);
\end{verbatim}
\bibliographystyle{Usmad}
\bibliography{/papers/biblio/michel}
%\bibliographystyle{Usmad}
%\bibliography{/papers/biblio/michel}
\end{document}
......
doc/manual/source/_static/dlogo.svg
View file @ 2ddfa086
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doc/manual/source/bibliography.rst
View file @ 2ddfa086
......@@ -8,11 +8,15 @@ Bibliography
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doc/manual/source/conf.py
View file @ 2ddfa086
# -*- coding: utf-8 -*-
# Copyright (C) 2018-2020 Dynare Team
# Copyright (C) 2018-2022 Dynare Team
#
# This file is part of Dynare.
#
......@@ -36,7 +36,7 @@ mathjax_path = 'mathjax/MathJax.js?config=TeX-AMS-MML_HTMLorMML'
master_doc = 'index'
project = u'Dynare'
copyright = u'2020, Dynare Team'
copyright = u'1996–2022 Dynare Team'
author = u'Dynare Team'
add_function_parentheses = False
......@@ -93,5 +93,5 @@ man_pages = [
def setup(app):
from dynare_dom import DynareDomain
from dynare_lex import DynareLexer
app.add_lexer("dynare", DynareLexer())
app.add_lexer("dynare", DynareLexer)
app.add_domain(DynareDomain)
doc/manual/source/dynare-misc-commands.rst
View file @ 2ddfa086
......@@ -167,7 +167,7 @@ Dynare misc commands
A ``1*Nblck`` array of doubles. Current acceptance ratios.
.. matcomm:: prior [OPTIONS[, ...]];
.. matcomm:: prior [OPTIONS[ ...]];
Prints information about the prior distribution given the provided
options. If no options are provided, the command returns the list of
......