This page documents new or previously undocumented features.

New in Dynare 4.1

• Dynare now accepts leads and lags on exogenous variables

• Dynare can now compute third order approximations with stoch_simul(order=3). Note that you need to ConfigureMatlabWindowsForMexCompilation in order to be able to use that option; under Linux with Octave, you need to install utilities for compiling MEX files (under Ubuntu or Debian, in a package called octave3.2-headers).

• Dynare++ is now distributed along with Dynare

• FastDeterministicSimulationAndSteadyStateComputation

• Shock decomposition

• Dynare can now handle missing observations in estimation

• PredeterminedVariables

• New operators in model equations:

  • steady state operator: STEADY_STATE(EXPRESSION). This operator is used to take the value of the enclosed expression at the steady state. A typical usage is in the Taylor rule, where you may want to use the value of GDP at steady state to compute the output gap

  • expectation operator: EXPECTATION(INTEGER)(EXPRESSION). This operator is used to take the expectation of some expression using a different information set than the information available at current period. For example, EXPECTATION(-1)(x(+1)) is equal to the expected value of variable x at next period, using the information set available at the previous period. In practice, Dynare solves this by creating an auxiliary variable equal to AUX = x(+2), and by replacing the expectation operator by AUX(-1). Note that a value of 0 for the time shift component is reserved for partial information models (not yet fully implemented).

• Creating a LaTeX file containing the model equations

• The type of a symbol can now be changed after the symbol declaration. In the following example, alpha will be considered as a parameter, and beta as an endogenous.

var alpha;
parameters beta;
...
change_type(parameters) alpha;
change_type(var) beta;

Note that the type (parameters, var or varexo) change applies to the whole MOD file. This command is mainly useful when symbol declarations are taken from an included file, and you want to change the types of some variables (for example for "variable flipping"). This feature should not be used for dynamic simulations.

• The macro-language accepts a new operator in, which tests memberships of an element inside an array. In the following example, the body of the if statement will be evaluated:

@#define x = [ 1 3 5 ]
@#if 3 in x
...
@#endif

• The Dynare command line accepts three new options:

  • onlymacro: only do the macro-processing step and stop there

  • nolinemacro: do not include original line numbers in the macro-expanded MOD file

  • savemacro=filename: save the macro-expanded file in filename (if no filename is specified, a default value is computed: it is obtained by adding -macroexp to the name of the MOD file)

• Possibility of using the Anderson-Moore Algorithm (AIM) to compute the decision rules, instead of using Dynare's default method based on a generalized Schur decomposition. Use option aim_solver in stoch_simul or estimation. This option is only valid for first order approximation.

New in Dynare 4.0

Preprocessor

• MacroLanguage

• List of mathematical functions known to Dynare:

Dynare functions

• HomoTopy (using homotopy type methods to compute the steady state)

• MonteCarloOptimization (using a Metropolis Hastings to get an estimate of the posterior mode and a good covariance matrix for the jumping distribution)

• Matrix of variance-covariance of estimated parameters

• ConditionalForecast (how to condition the future path of a subset of endogenous variables).

• OptimalPolicy

• DsgeVar

• TracePlots

Octave support (free alternative to Matlab)

• DynareOctave

New in Dynare unstable (to be released as version 4.2)

• ParallelDynare

• The HP filter works for empirical moments (previously it was only available for theoretical moments)

• ExternalFunctions

• New primitive in model block: normpdf(), erf()