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Announcement for Dynare 4.4.3 (on 2014-07-31)
=============================================
We are pleased to announce the release of Dynare 4.4.3.
This is a bugfix release.
The Windows packages are already available for download at:
http://www.dynare.org/download/dynare-stable
The Mac and GNU/Linux packages (for Debian and Ubuntu LTS) should follow soon.
This release is compatible with MATLAB versions 7.3 (R2006b) to 8.2 (R2013b)
and with GNU Octave versions 3.6 to 3.8.
Here is a list of the problems identified in version 4.4.2 and that have been
fixed in version 4.4.3:
- When loading a dataset in XLS, XLSX or CSV format, the first
observation was discarded.
- Reading data in an Excel-file with only one variable wasz leading
to a crash.
- When using the k_order_perturbation option (which is implicit at
3rd order) without the use_dll option, crashes or unexpected
behavior could happen if some 2nd or 3rd derivative evaluates to
zero (while not being symbolically zero)
- When using external function, Ramsey policy could crash or return
wrong results.
- For Ramsey policy, the equation numbers associated with the
Lagrange multipliers stored in M_.aux_vars were erroneously one too
low
- When updating deep parameters in the steady state file, the changes
were not fully taken into account (this was only affecting the
Ramsey policy).
- When using external functions and the bytecode option, wrong
results were returned (if second order derivates of the external
functions were needed).
- The confidence level for computations in estimation, conf_sig could
not be changed and was fixed at 0.9. The new option mh_conf_sig is
now used to set this interval
- Conditional forecasts with non-diagonal covariance matrix used an
incorrect decomposition of the covariance matrix. A Cholesky
factorization is used.
- Option geweke_interval was not effective, Dynare always defaulted
to the standard value.
- The mode_file option lacked backward compatibility with older
Dynare versions.
- Loading an mh_mode file with the mode_file option was broken.
- Using identification with var_exo_det leaded to crashes (the
preprocessor now returns an error if they are used simultaneously)
- The identification command did not print results if the initial
parameter set was invalid and then crashed later on if the MC
sample is bigger than 1
- Inconsistencies between static and dynamic models leaded to crashes
instead of error messages (only with block option).
- The use of external functions crashed the preprocessor when the
derivatives of the external function are explicitly called in the
model block. The preprocessor now forbids the use of external
functions derivates in the model block.
- Using the block option when a variable does not appear in the
current period crashed Dynare instead of providing an error
message.
Announcement for Dynare 4.4.2 (on 2014-03-04)
=============================================
We are pleased to announce the release of Dynare 4.4.2.
This is a bugfix release.
The Windows packages are already available for download at:
http://www.dynare.org/download/dynare-stable
The Mac and GNU/Linux packages (for Debian and Ubuntu LTS) should follow soon.
This release is compatible with MATLAB versions 7.3 (R2006b) to 8.2 (R2013b)
and with GNU Octave versions 3.6 to 3.8.
Here is a list of the problems identified in version 4.4.1 and that have been
fixed in version 4.4.2:
- Geweke convergence diagnostics was computed on the wrong sample if `mh_drop'
was not equal to the default of 0.5.
- The `loglinear' option of `stoch_simul' was displaying the steady state of
the original values, not the logged ones, and was producing incorrect
simulations and simulated moments. Theoretical moments were unaffected.
- The `optim' option of `estimation (for setting options to `mode_compute')
was only working with at least MATLAB 8.1 (R2013a) or Octave 3.8.
- For unit root models, theoretical HP filtered moments were sometimes
erroneously displayed as NaN.
- Specifying an endogenous variable twice after the `estimation' command would
lead to a crash in the computation of moments.
- Deterministic simulations were crashing on some models with more than one
lead or one lag on exogenous variables.
- Homotopy in stochastic extended path with order greater than 0 was not
working correctly (during the homotopy steps the perfect foresight model
solver was called instead of the stochastic perfect foresight model solver).
- MCMC convergence diagnostics were not computed if `mh_replic' was less than
2000; the test now relies on the total number of iterations (this only makes
a difference if option `load_mh_file' is used).
Announcement for Dynare 4.4.1 (on 2014-01-17)
=============================================
We are pleased to announce the release of Dynare 4.4.1.
This release contains a few changes to the user interface and fixes various
bugs. It also adds compatibility with Octave 3.8.
The Windows packages are already available for download at:
http://www.dynare.org/download/dynare-stable
The Mac and GNU/Linux packages (for Debian and Ubuntu) should follow soon.
All users are encouraged to upgrade.
This release is compatible with MATLAB versions 7.3 (R2006b) to 8.2 (R2013b) and
with GNU Octave versions 3.6 to 3.8.
* Changes to the user interface:
- The syntax introduced in 4.4.0 for conditional forecast in a deterministic
setup was removed, and replaced by a new one that is better suited to the
task. More precisely, such deterministic forecasts are no longer done using
the `conditional_forecast' command. The latter is replaced by a group of
commands: `init_plan', `basic_plan' and `flip_plan'. See the reference
manual for more details.
- Changes to the reporting module: option `annualAverages' to `addTable' has
been removed (use option `tableDataRhs' to `addSeries' instead); option
`vlineAfter' to `addTable' now also accepts a cell array.
- Changes to the date and time series classes: implement broadcasting for
operations (+,-,* and /) between `dseries' class and scalar or vectors; add
the possibility of selecting an observation within a time series using a
formatted string containing a date.
* Bugs and problems identified in version 4.4.0 and that have been fixed in
version 4.4.1:
- In MS-SBVAR, there was a bug preventing the computation of impulse responses
on a constant regime.
- Under Octave, after modifying the MOD file, the changes were not taken into
account at the first Dynare run, but only at the second run.
Announcement for Dynare 4.4.0 (on 2013-12-16)
=============================================
We are pleased to announce the release of Dynare 4.4.0.
This major release adds new features and fixes various bugs.
The Windows packages are already available for download at:
http://www.dynare.org/download/dynare-stable
The Mac and Debian/Ubuntu packages should follow soon.
All users are strongly encouraged to upgrade.
This release is compatible with MATLAB versions ranging from 7.3 (R2006b) to
8.2 (R2013b) and with GNU Octave version 3.6.
Here is the list of major user-visible changes:
* New major algorithms:
- Extended path at order 1 and above, also known as “stochastic extended
path”. This method is triggered by setting the `order' option of the
`extended_path' command to a value greater than 0. Dynare will then use a
Gaussian quadrature to take into account the effects of future uncertainty.
The time series for the endogenous variables are generated by assuming that
the agents believe that there will no more shocks after period t+order.
- Alternative algorithms for computing decision rules of a stochastic model,
based on the cycle reduction and logarithmic reduction algorithms. These
methods are respectively triggered by giving `dr = cycle_reduction' or 'dr
= logarithmic_reduction' as an option to the `stoch_simul' command.
- Pruning now works with 3rd order approximation, along the lines of
Andreasen, Fernández-Villaverde and Rubio-Ramírez (2013).
- Computation of conditional forecast using an extended path method. This is
triggered by the new option `simulation_type = deterministic' in the
`conditional_forecast' command. In this case, the `expectation' command in
the `conditional_forecast_paths' block has to be used to indicate the nature
of expectations (whether shocks are a surprise or are perfectly
anticipated).
- Endogenous priors as in Christiano, Trabandt and Walentin (2011). Those are
triggered by the new option `endogenous_prior' of the `estimation' command.
* Other algorithmic improvements:
- New command `model_diagnostics' to perform various sanity checks on the
model. Note: in the past, some users may have used a preliminary MATLAB
function implementing this; the new command has the same syntax, except that
you shouldn't pass any argument to it.
- Terminal conditions of perfect foresight simulations can now be specified in
growth rates. More specifically, the new option `differentiate_forward_vars'
of the `model' block will create auxiliary forward looking variables
expressed in first differences or growth rates of the actual forward looking
variables defined in the model. These new variables have obvious zero
terminal conditions whatever the simulation context and this in many cases
helps convergence of simulations.
- Convergence diagnostics for single chain MCMC à la Geweke (1992, 1999).
- New optimizer for the posterior mode (triggered by `mode_compute=10'): it
uses the simpsa algorithm, based on the combination of the non-linear
simplex and simulated annealing algorithms and proposed by Cardoso, Salcedo
and Feyo de Azevedo (1996).
- The automatic detrending engine has been extended to work on models written
in logs. The corresponding trend variable type is `log_trend_var', and the
corresponding deflator type is `log_deflator'.
* New features in the user interface:
- New set of functions for easily creating PDF reports including figures and
tables. See the “Reporting” section in the reference manual for more
details.
- New MATLAB/Octave classes for handling time series. See the “Time series”
section in the reference manual for more details.
- Datafiles in CSV format can now be used for estimation.
- New macro processor `length' operator, returns the length of an array.
- New option `all_values_required' of `initval' and `endval' blocks: enforces
initialization of all endogenous and exogenous variables within the block.
- Option `ar' can now be given to the `estimation' command.
- New options `nograph', `nointeractive' and `nowarn' to the `dynare' command,
for a better control of what is displayed.
- New option `nostrict' to the `dynare' command, for allowing Dynare to
continue processing when there are more endogenous variables than equations
or when an undeclared symbol is assigned in `initval' or `endval'.
- The information on MCMC acceptance rates, seeds, last log posterior
likelihood, and last parameter draw are now saved on the disk and can
be displayed with `internals --display-mh-history' or loaded into the
workspace with `internals --load-mh-history'.
- New options `mode_check_neighbourhood_size', `mode_check_symmetric_plots'
and `mode_check_number_of_points', for a better control of the diagnostic
plots.
- New option `parallel_local_files' of `model' block, for transferring extra
files during parallel computations.
- New option `clock' of `set_dynare_seed', for setting a different seed at
each run.
- New option `qz_zero_threshold' of the `check', `stoch_simul' and
`estimation' commands, for a better control of the situation where a
generalized eigenvalue is close to 0/0.
- New `verbatim' block for inclusion of text that should pass through the
preprocessor and be placed as is in the `modfile.m' file.
- New option `mcmc_jumping_covariance' of the `estimation' command, for a
better control of the covariance matrix used for the proposal density of the
MCMC sampler.
- New option `use_calibration' of the `estimated_params_init', for using the
calibration of deep parameters and the elements of the covariance matrix
specified in the `shocks' block as starting values for the estimation.
- New option `save_draws' of the `ms_simulation' command.
- New option `irf_plot_threshold' of the `stoch_simul' and `estimation'
commands, for a better control of the display of IRFs which are almost nil.
- New option `long_name' for endogenous, exogenous and parameter declarations,
which can be used to declare a long name for variables. That long name can
be programmatically retrieved in `M_.endo_names_long'.
* Miscellaneous changes
- The deciles of some posterior moments were erroneously saved in a field
`Distribution' under `oo_'. This field is now called `deciles', for
consistency with other posterior moments and with the manual. Similarly, the
fields `Mean', `Median', `HPDsup', `HPDinf', and `Variance' are now
consistently capitalized.
- The console mode now implies the `nodisplay' option.
* Bugs and problems identified in version 4.3.3 and that have been fixed in
version 4.4.0:
- In an `endval' block, auxiliary variables were not given the right value.
This would not result in wrong results, but could prevent convergence of
the steady state computation.
- Deterministic simulations with `stack_solve_algo=0' (the default value) were
crashing if some exogenous had a lag strictly greater than 1.
- When using the `mode_file' option, the initial estimation checks were not
performed for the loaded mode, but for the original starting values. Thus,
potential prior violations by the mode only appeared during estimation,
leading to potentially cryptic crashes and error messages.
- If a shock/measurement error variance was set to 0 in calibration, the
correlation matrix featured a 0 instead of a 1 on the diagonal, leading to
wrong estimation results.
- In the presence of calibrated covariances, estimation did not enforce
positive definiteness of the covariance matrix.
- Estimation using the `diffuse_filter' option together with the univariate
Kalman filter and a diagonal measurement error matrix was broken.
- A purely backward model with `k_order_solver' was leading to crashes of
MATLAB/Octave.
- Non-linear estimation was not skipping the specified presample when
computing the likelihood.
- IRFs and theoretical moments at order > 1 were broken for purely
forward-looking models.
- Simulated moments with constant variables was leading to crashes when
displaying autocorrelations.
- The `osr' command was sometimes crashing with cryptic error messages because
of some unaccounted error codes returned from a deeper routine.
- The check for stochastic singularity during initial estimation checks was
broken.
- Recursive estimation starting with the pathological case of `nobs=1' was
crashing.
- Conditional variance decomposition within or after estimation was crashing
when at least one shock had been calibrated to zero variance.
- The `estimated_params_init' and `estimated_params_bounds' blocks were broken
for correlations.
- The `filter_step_ahead' option was not producing any output in Bayesian
estimation.
- Deterministic simulations were sometimes erroneously indicating convergence
although the residuals were actually NaN or Inf.
- Supplying a user function in the `mode_compute' option was leading to
a crash.
- Deterministic simulation of models without any exogenous variable was
crashing.
- The MS-SBVAR code was not updating files between runs on Windows. This means
that if a MOD file was updated between runs in the same folder and a
`file_tag' was not changed, then the results would not change.
- The `ramsey_policy' command was not putting in `oo_.planner_objective_value'
the value of the planner objective at the optimum.
* References:
- Andreasen, Martin M., Jesús Fernández-Villaverde, and Juan Rubio-Ramírez
(2013): “The Pruned State-Space System for Non-Linear DSGE Models: Theory
and Empirical Applications,” NBER Working Paper, 18983
- Cardoso, Margarida F., R. L. Salcedo and S. Feyo de Azevedo (1996): “The
simplex simulated annealing approach to continuous non-linear optimization,”
Computers chem. Engng, 20(9), 1065-1080
- Christiano, Lawrence J., Mathias Trabandt and Karl Walentin (2011):
“Introducing financial frictions and unemployment into a small open economy
model,” Journal of Economic Dynamics and Control, 35(12), 1999-2041
- Geweke, John (1992): “Evaluating the accuracy of sampling-based approaches
to the calculation of posterior moments,” in J.O. Berger, J.M. Bernardo,
A.P. Dawid, and A.F.M. Smith (eds.) Proceedings of the Fourth Valencia
International Meeting on Bayesian Statistics, pp. 169-194, Oxford University
Press
- Geweke, John (1999): “Using simulation methods for Bayesian econometric
models: Inference, development and communication,” Econometric Reviews,
18(1), 1-73
Announcement for Dynare 4.3.3 (on 2013-04-12)
=============================================
We are pleased to announce the release of Dynare 4.3.3.
This is a bugfix release.
The Windows packages are already available for download at:
http://www.dynare.org/download/dynare-stable
The Mac and GNU/Linux packages (for Debian and Ubuntu) should follow soon.
All users are encouraged to upgrade.
The new release is compatible with MATLAB versions ranging from 7.0 (R14) to
8.1 (R2013a) and with GNU Octave versions ranging from 3.2 to 3.6.
Here is a list of the problems identified in version 4.3.2 and that have been
fixed in version 4.3.3:
- Estimation with measurement errors was wrong if a correlation between two
measurement errors was calibrated
- Option `use_dll' was broken under Windows
- Degenerate case of purely static models (no leads/no lags) were not
correctly handled
- Deterministic simulations over a single period were not correctly done
- The sensitivity call `dynare_sensitivity(identification=1,morris=2)' was
buggy when there are no shocks estimated
- Calls to `shock_decomposition' after using `selected_variables_only' option
fail
- Sometimes, only the last open graph was saved, leading to missing and
duplicate EPS/PDF graphs
- Forecasting after maximum likelihood estimation when not forecasting at
least one observed variables (`var_obs') was leading to crashes
- Some functionalities were crashing with MATLAB 8.1/R2013a (bytecode,
MS-SBVAR)
- Sometimes only the first order autocorrelation of `moments_varendo' was
saved instead of all up to the value of `ar' option
Announcement for Dynare 4.3.2 (on 2013-01-18)
=============================================
We are pleased to announce the release of Dynare 4.3.2.
This is a bugfix release.
The Windows packages are already available for download at:
http://www.dynare.org/download/dynare-stable
The Mac and GNU/Linux packages (for Debian and Ubuntu) should follow soon.
All users are encouraged to upgrade.
The new release is compatible with MATLAB versions ranging from 7.0 (R14) to
8.0 (R2012b) and with GNU Octave versions ranging from 3.2 to 3.6.
Here is a list of the problems identified in version 4.3.1 and that have been
fixed in version 4.3.2:
- Computation of posterior distribution of unconditional variance
decomposition was sometimes crashing (only for very large models)
- Estimation with `mode_compute=6' was sometimes crashing
- Derivative of erf() function was incorrect
- The `check' command was not setting `oo_.dr.eigval' unless `stoch_simul' was
also used
- Computation of conditional forecast when the constraint is only on
one period was buggy
- Estimation with `mode_compute=3' was crashing under Octave
Announcement for Dynare 4.3.1 (on 2012-10-10)
=============================================
We are pleased to announce the release of Dynare 4.3.1. This release adds a few
minor features and fixes various bugs.
The Windows and Mac packages are already available for download at:
http://www.dynare.org/download/dynare-stable
The GNU/Linux packages (for Debian and Ubuntu) should follow soon.
All users are strongly encouraged to upgrade.
The new release is compatible with MATLAB versions ranging from 7.0 (R14) to
8.0 (R2012b) and with GNU Octave versions ranging from 3.2 to 3.6.
Here is the list of the main user-visible changes:
* New features in the user interface:
- New `@#ifndef' directive in the macro-processor
- Possibility of simultaneously specifying several output formats in the
`graph_format' option
- Support for XLSX files in `datafile' option of `estimation' and in
`initval_file'
* Bugs and problems identified in version 4.3.0 and that have been fixed in
version 4.3.1:
- Shock decomposition was broken
- The welfare computation with `ramsey_policy' was buggy when used in
conjunction with `histval'
- Estimation of models with both missing observations and measurement errors
was buggy
- The option `simul_replic' was broken
- The macro-processor directive `@#ifdef' was broken
- Identification with `max_dim_cova_group > 1' was broken for specially
degenerate models (when parameter theta has pairwise collinearity of one
with multiple other parameters, i.e. when all couples (theta,b), (theta,c),
... (theta,d) have perfect collinearity in the Jacobian of the model)
- The `parallel_test' option was broken
- Estimation with correlated shocks was broken when the correlations were
specified in terms of correlation and not in terms of co-variance
- The Windows package was broken with MATLAB 7.1 and 7.2
- When using `mode_compute=0' with a mode file generated using
`mode_compute=6', the value of option `mh_jscale' was not loaded
- Using exogenous deterministic variables at 2nd order was causing a crash
- The option `no_create_init' for the `ms_estimation' command was broken
- Loading of datafiles with explicit filename extensions was not working
- The preprocessor had a memory corruption problem which could randomly lead
to crashes
Announcement for Dynare 4.3.0 (on 2012-06-15)
=============================================
We are pleased to announce the release of Dynare 4.3.0. This major release adds
new features and fixes various bugs.
The Windows and Mac packages are already available for download at:
http://www.dynare.org/download/dynare-4.3
The GNU/Linux packages should follow soon.
All users are strongly encouraged to upgrade.
The new release is compatible with MATLAB versions ranging from 7.0 (R14) to
7.14 (R2012a) and with GNU Octave versions ranging from 3.2 to 3.6.
Here is the list of the main user-visible changes:
* New major algorithms:
- Nonlinear estimation with a particle filter based on a second order
approximation of the model, as in Fernández-Villaverde and Rubio-Ramírez
(2005); this is triggered by setting `order=2' in the `estimation' command
- Extended path solution method as in Fair and Taylor (1983); see the
`extended_path' command
- Support for Markov-Switching Structural Bayesian VARs (MS-SBVAR) along the
lines of Sims, Waggoner and Zha (2008) (see the dedicated section in the
reference manual)
- Optimal policy under discretion along the lines of Dennis (2007); see the
`discretionary_policy' command
- Identification analysis along the lines of Iskrev (2010); see the
`identification' command
- The Global Sensitivity Analysis toolbox (Ratto, 2008) is now part of the
official Dynare distribution
* Other algorithmic improvements:
- Stochastic simulation and estimation can benefit from block decomposition
(with the `block' option of `model'; only at 1st order)
- Possibility of running smoother and filter on a calibrated model; see the
`calib_smoother' command
- Possibility of doing conditional forecast on a calibrated model; see the
`parameter_set=calibration' option of the `conditional_forecast' command
- The default algorithm for deterministic simulations has changed and is now
based on sparse matrices; the historical algorithm (Laffargue, Boucekkine
and Juillard) is still available under the `stack_solve_algo=6'option of the
`simul' command
- Possibility of using an analytic gradient for the estimation; see the
`analytic_derivation' option of the `estimation' command
- Implementation of the Nelder-Mead simplex based optimization routine for
computing the posterior mode; available under the `mode_compute=8' option of
the `estimation' command
- Implementation of the CMA Evolution Strategy algorithm for computing the
posterior mode; available under the `mode_compute=9' option of the
`estimation' command
- New solvers for Lyapunov equations which can accelerate the estimation of
large models; see the `lyapunov' option of the `estimation' command
- New solvers for Sylvester equations which can accelerate the resolution of
large models with block decomposition; see the `sylvester' option of the
`stoch_simul' and `estimation' commands
- The `ramsey_policy' command now displays the planner objective value
function under Ramsey policy and stores it in `oo_.planner_objective_value'
- Theoretical autocovariances are now computed when the `block' option is
present
- The `linear' option is now compatible with the `block' and `bytecode'
options
- The `loglinear' option now works with purely backward or forward models at
first order
* New features in the user interface:
- New mathematical primitives allowed in model block: `abs()', `sign()'
- The behavior with respect to graphs has changed:
+ By default, Dynare now displays graphs and saves them to disk in EPS
format only
+ The format can be changed to PDF or FIG with the new `graph_format'
option
+ It is possible to save graphs to disk without displaying them with the
new `nodisplay' option
- New `nocheck' option to the `steady' command: tells not to check the steady
state and accept values given by the user (useful for models with unit
roots)
- A series of deterministic shocks can be passed as a pre-defined vector in
the `values' statement of a `shocks' block
- New option `sub_draws' in the `estimation' command for controlling the
number of draws used in computing the posterior distributions of various
objects
- New macroprocessor command `@#ifdef' for testing if a macro-variable is
defined
- New option `irf_shocks' of the `stoch_simul' command, to allow IRFs to be
created only for certain exogenous variables
- In the parallel engine, possibility of assigning different weights to nodes
in the cluster and of creating clusters comprised of nodes with different
operating systems (see the relevant section in the reference manual)
- It is now possible to redefine a parameter in the `steady_state_model' block
(use with caution)
- New option `maxit' in the `simul' and `steady' commands to determine the
maximum number of iterations of the nonlinear solver
- New option `homotopy_force_continue' in the `steady' command to control the
behavior when a homotopy fails
- Possibility of globally altering the defaults of options by providing a file
in the `GlobalInitFile' field of the configuration file (use with caution)
- New option `nolog' to the `dynare' command line to avoid creating a logfile
- New option `-D' to the `dynare' command line with for defining
macro-variables
* Miscellaneous changes:
- The `use_dll' option of `model' now creates a MEX file for the static model
in addition to that for the dynamic model
- The `unit_root_vars' command is now obsolete; use the `diffuse_filter'
option of the `estimation' command instead
- New option `--burn' to Dynare++ to discard initial simulation points
- New top-level MATLAB/Octave command `internals' for internal documentation
and unitary tests
* Bugs and problems identified in version 4.2.5 and that have been fixed in
version 4.3.0:
- Backward models with the `loglinear' option were incorrectly handled
- Solving for hyperparameters of inverse gamma priors was sometimes crashing
- The deterministic solver for purely forward models was broken
- When running `estimation' or `identification' on models with non-diagonal
structural error covariance matrices, while not simultaneously estimating
the correlation between shocks (i.e. calibrating the correlation), the
off-diagonal elements were incorrectly handled or crashes were occuring
- When using the `prefilter' option, smoother plots were omitting the smoothed
observables
- In the rare case of entering and expression x as x^(alpha-1) with x being 0
in steady state and alpha being a parameter equal to 2, the Jacobian was
evaluating to 0 instead of 1
- Setting the prior for shock correlations was failing if a lower bound was not
explicitly specified
* References:
- Dennis, Richard (2007): “Optimal Policy In Rational Expectations Models: New
Solution Algorithms,” Macroeconomic Dynamics, 11(1), 31–55
- Fair, Ray and John Taylor (1983): “Solution and Maximum Likelihood
Estimation of Dynamic Nonlinear Rational Expectation Models,” Econometrica,
51, 1169–1185
- Fernández-Villaverde, Jesús and Juan Rubio-Ramírez (2005): “Estimating
Dynamic Equilibrium Economies: Linear versus Nonlinear Likelihood,” Journal
of Applied Econometrics, 20, 891–910
- Iskrev, Nikolay (2010): “Local identification in DSGE models,” Journal of
Monetary Economics, 57(2), 189–202
- Ratto, Marco (2008): “Analysing DSGE models with global sensitivity
analysis'', Computational Economics, 31, 115–139
- Sims, Christopher A., Daniel F. Waggoner and Tao Zha (2008): “Methods for
inference in large multiple-equation Markov-switching models,” Journal of
Econometrics, 146, 255–274
Announcement for Dynare 4.2.5 (on 2012-03-14)
=============================================
We are pleased to announce the release of Dynare 4.2.5.
This is a bugfix release.
The Windows package for the new release is already available for download at
the official Dynare website <http://www.dynare.org>. The Mac and Linux packages
should follow soon.
All users are strongly encouraged to upgrade.
The new release is compatible with MATLAB versions ranging from 7.0 (R14) to
7.14 (R2012a) and with GNU Octave versions ranging from 3.0 to 3.6.
Note that GNU Octave users under Windows will have to upgrade to GNU Octave
version 3.6.1 (MinGW). The Octave installer can be downloaded at:
http://www.dynare.org/octave/Octave3.6.1_gcc4.6.2_20120303-setup.exe
Here is a non-exhaustive list of the problems identified in version 4.2.4 and
that have been fixed in version 4.2.5:
* The MATLAB optimization toolbox was sometimes not correctly detected even
when installed
* Using the inverse gamma distribution with extreme hyperparameter values
could lead to a crash
* Various issues in the accelerated deterministic solver with block
decomposition
* Various issues in the parallelization engine
* Compatibility issues with the Global Sensitivity Analysis toolbox
* The Dynare++ binary was broken in the Windows package because of a missing
dynamic library
Announcement for Dynare 4.2.4 (on 2011-12-02)
=============================================
We are pleased to announce the release of Dynare 4.2.4.
This is a bugfix release. It comes only a few days after the previous release,
because version 4.2.3 was affected by a critical bug (see below).
The Windows package for the new release is already available for download at
the official Dynare website <http://www.dynare.org>. The Mac and Linux packages
should follow soon.
All users are strongly encouraged to upgrade, especially those who have
installed the buggy 4.2.3 release.
The new release is compatible with MATLAB versions ranging from 7.0 (R14) to
7.13 (R2011b) and with GNU Octave versions ranging from 3.0 to 3.4.
Here is the list of the problems identified in version 4.2.3 and that have been
fixed in version 4.2.4:
* Second order approximation was broken for most models, giving incorrect
results (this problem only affects version 4.2.3, not previous versions)
* Bayesian priors with inverse gamma distribution and very small variances
were giving incorrect results in some cases
* The `model_diagnostics' command was broken
Announcement for Dynare 4.2.3 (on 2011-11-30)
=============================================
We are pleased to announce the release of Dynare 4.2.3.
This is a bugfix release.
The Windows package is already available for download at the official
Dynare website <http://www.dynare.org>. The Mac and Linux packages
should follow soon.
All users are strongly encouraged to upgrade.
This release is compatible with MATLAB versions ranging from 7.0 (R14)
to 7.13 (R2011b) and with GNU Octave versions ranging from 3.0 to 3.4.
Here is a non-exhaustive list of the problems identified in version 4.2.2 and
that have been fixed in version 4.2.3:
* `steady_state_model' was broken for lags higher than 2
* `simult_.m' was not working correctly with `order=3' if `k_order_solver' had
not been explicitly specified
* `stoch_simul' with `order=3' and without `periods' option was reporting
dummy theoretical moments
* Under Octave, option `solve_algo=0' was causing crashes in `check' and
`stoch_simul'
* Identification module was broken
* The test for singularity in the model reporting eigenvalues close to 0/0 was
sometimes reporting false positives
* The `conditional_variance_decomposition' option was not working if one
period index was 0. Now, Dynare reports an error if the periods are not
strictly positive.
* Second order approximation was buggy if one variable was not present at the
current period
Announcement for Dynare 4.2.2 (on 2011-10-04)
=============================================
We are pleased to announce the release of Dynare 4.2.2.
This is a bugfix release.
The Windows package is already available for download at the official
Dynare website <http://www.dynare.org>. The Mac and Linux packages
should follow soon.
All users are strongly encouraged to upgrade.
This release is compatible with MATLAB versions ranging from 7.0 (R14)
to 7.13 (R2011b) and with GNU Octave versions ranging from 3.0 to 3.4.
Here is a list of the problems identified in version 4.2.1 and that have
been fixed in version 4.2.2:
* The secondary rank test following the order test of the Blanchard and
Kahn condition was faulty and almost never triggered
* The variance prior for BVAR “à la Sims” with only one lag was
inconsistent. The solution implemented consists of adding one extra
observation in the presample used to compute the prior; as a
consequence, the numerical results for all estimations will be
slightly different in future releases (thanks to Marek Jarociński for
spotting this)
* The `conditional_forecast' command was buggy: it was always using the
posterior mode, whatever the value of the `parameter_set' option
* `STEADY_STATE' was not working correctly with certain types of
expressions (the priority of the addition and substraction operators
was incorrectly handled)
* With the `block' option of `model', the preprocessor was failing on
expressions of the form "a^b" (with no endogenous in "a" but an
endogenous in "b")
* Some native MATLAB statements were not correctly passed on to MATLAB
(e.g. x = { 'foo' 'bar' } )
* `external_function' was crashing in some circumstances
* The lambda parameter for HP filter was restricted to integer values
for no good reason
* The `load_mh_file' option of `estimation' was crashing under Octave
for Windows (MinGW version)
* Computation of steady state was failing on model contains auxiliary
variables created by leads or lags larger than 2 or by of the
`EXPECTATION' operator
* Compilation of MEX files for MATLAB was failing with GCC 4.6
Announcement for Dynare 4.2.1 (on 2011-05-24)
=============================================
We are pleased to announce the release of Dynare 4.2.1.
Many bugs have been fixed since the previous release. The reference
manual has also been improved: new contents has been added at various
places, the structure has been improved, an index of functions and
variables has been added, the PDF/HTML rendering has been improved.
The Windows package is already available for download at the official
Dynare website [1]. The Mac and Linux packages should follow soon.
All users are strongly encouraged to upgrade.
This release is compatible with MATLAB versions ranging from 7.0 (R14)
to 7.12 (R2011a) and with GNU Octave versions ranging from 3.0 to 3.4.
Here is a list of the main bugfixes since version 4.2.0:
* The `STEADY_STATE' operator has been fixed
* Problems with MATLAB 7.3 (R2006b) and older have been fixed
* The `partial_information' option of `stoch_simul' has been fixed
* Option `conditional_variance_decomposition' of `stoch_simul' and
`estimation' has been fixed
* Automatic detrending now works in conjunction with the `EXPECTATION'
operator
* Percentage signs inside strings in MATLAB statements (like disp('%
This is not a comment %')) now work
* Beta prior with a very small standard deviation now work even if you
do not have the MATLAB Statistical toolbox