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Release of Dynare 4.3.0
by Sébastien Villemot 15 Jun '12

15 Jun '12

Dear Dynare friends, 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 -- Sébastien Villemot Researcher in Economics & Debian Maintainer http://www.dynare.org/sebastien Phone: +33-1-40-77-84-04 - GPG Key: 4096R/381A7594

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[Trac] #102: forecast graphs in manual
by Trac Dynare 15 Jun '12

15 Jun '12

#102: forecast graphs in manual ---------------------------+------------------------------------------------ Reporter: michel | Owner: michel Type: bug | Status: new Priority: minor | Milestone: Component: Documentation | Version: Keywords: | ---------------------------+------------------------------------------------ The graphs of forecasts with uncertainty about the parameters have changed but we didn't modify the user manual and the user guide -- Ticket URL: <https://www.dynare.org/trac/ticket/102> Dynare <http://www.dynare.org> The Dynare project

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[Trac] #149: Block decomposed version of Kalman filter
by Trac Dynare 15 Jun '12

15 Jun '12

#149: Block decomposed version of Kalman filter --------------------------+------------------------------------------------- Reporter: sebastien | Owner: ferhat Type: feature | Status: new Priority: major | Milestone: 4.3 Component: Core M-files | Version: Keywords: | --------------------------+------------------------------------------------- -- Ticket URL: <https://www.dynare.org/trac/ticket/149> Dynare <http://www.dynare.org> The Dynare project

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[Trac] #163: Finish first version of internal documentation
by Trac Dynare 15 Jun '12

15 Jun '12

#163: Finish first version of internal documentation ---------------------------+------------------------------------------------ Reporter: sebastien | Owner: Type: enhancement | Status: new Priority: major | Milestone: 4.3 Component: Documentation | Version: Keywords: | ---------------------------+------------------------------------------------ See doc/internals/dynare-internals.org for the first draft. For the IMF. -- Ticket URL: <https://www.dynare.org/trac/ticket/163> Dynare <http://www.dynare.org> The Dynare project

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[Trac] #133: datafile option in simul
by Trac Dynare 15 Jun '12

15 Jun '12

#133: datafile option in simul --------------------------+------------------------------------------------- Reporter: michel | Owner: ferhat Type: enhancement | Status: new Priority: major | Milestone: 4.3 Component: Core M-files | Version: Keywords: | --------------------------+------------------------------------------------- this option is very similar to initval_file but it requires two different files for endogenous and exogenous variables. The entry in the manual doesn't describe the required files. It may be interesting to use it for loading only trajectories for the exogenous variables. -- Ticket URL: <https://www.dynare.org/trac/ticket/133> Dynare <http://www.dynare.org> The Dynare project

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[Trac] #106: Document prior distributions
by Trac Dynare 15 Jun '12

15 Jun '12

#106: Document prior distributions ---------------------------+------------------------------------------------ Reporter: sebastien | Owner: stepan Type: enhancement | Status: new Priority: major | Milestone: 4.2 Component: Documentation | Version: Keywords: | ---------------------------+------------------------------------------------ The document from Stéphane is probably the one to use. It should be added to the doc/ subdirectory, then to the build-system and to the packaging. -- Ticket URL: <https://www.dynare.org/trac/ticket/106> Dynare <http://www.dynare.org> The Dynare project

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[Trac] #259: Shock decomposition on calibrated models fails
by Trac Dynare 15 Jun '12

15 Jun '12

#259: Shock decomposition on calibrated models fails -----------------------+---------------------------------------------------- Reporter: sebastien | Owner: michel Type: bug | Status: new Priority: major | Milestone: 4.3 Component: General | Version: Keywords: | -----------------------+---------------------------------------------------- The bayestopt_ structure is uninitialized. -- Ticket URL: <https://www.dynare.org/trac/ticket/259> Dynare <http://www.dynare.org> The Dynare project

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Status of testsuite in master branch
by Sébastien Villemot 15 Jun '12

15 Jun '12

*************************************** * DYNARE TEST RESULTS * * for make check-matlab * *************************************** 184 tests PASSED out of 184 tests run *************************************** *************************************** * DYNARE TEST RESULTS * * for make check-octave * *************************************** 182 tests PASSED out of 182 tests run *************************************** A full log can be found on karaba in '/var/tmp/dynare-master-check-rnZt8INskl.log'.

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Status of testsuite in 4.3 branch
by Sébastien Villemot 15 Jun '12

15 Jun '12

*************************************** * DYNARE TEST RESULTS * * for make check-matlab * *************************************** 184 tests PASSED out of 184 tests run *************************************** *************************************** * DYNARE TEST RESULTS * * for make check-octave * *************************************** 181 tests PASSED out of 182 tests run *************************************** List of 1 tests FAILED: * gsa/ls2003.mod *************************************** A full log can be found on karaba in '/var/tmp/dynare-4.3-check-LbMJR5anvQ.log'.

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[Trac] #59: add errors to print_info.m
by Trac Dynare 14 Jun '12

14 Jun '12

#59: add errors to print_info.m --------------------------+------------------------------------------------- Reporter: michel | Owner: Type: bug | Status: new Priority: critical | Milestone: Component: Core M-files | Version: Keywords: | --------------------------+------------------------------------------------- info(1) == 43 (covariance matrix of shocks is not positive definite) should be added to print_info.m We need to check that all error numbers that can be present in info(1) are taken care of. We need to check with grep info *.m -- Ticket URL: <https://www.dynare.org/trac/ticket/59> Dynare <http://www.dynare.org> The Dynare project

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