Dear Dynare friends,
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. 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 ECB. 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 (usinganalytic_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, via the 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
On behalf of the Dynare Team,
--
Sébastien Villemot
Economist at CEPREMAP
Dynare developer
https://sebastien.villemot.name
