This page documents new or previously undocumented features.

New in Dynare 4.1

• Dynare now accepts leads and lags on exogenous variables (internally it uses AuxiliaryVariables for that purpose)

• 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 AuxiliaryVariables 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)

• Pruning for second order simulations has been added, using option pruning in stoch_simul. Note that this options is not available if the reduced form of the model is obtained with dynare++ routines (ie when option k_order_solver is used or at 3rd order).

• A steady state file can now be automatically generated, provided that the model can be solved analytically, and that the steady state as a function of the parameters is declared with the steady_state_model command (see the entry in the reference manual for more details)

• ParallelDynare

• Dynare is now able of automatically RemovingTrends in a model: the user writes the equations in non-stationary form and declares the deflator of each variable. Then Dynare perform a check to determine if the proposed deflators are compatible with balanced growth path, and, if yes, then it computes the detrended equations

• Third order simulations now work without the USE_DLL option

• Dynare can solve models under PartialInformation

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

• ExternalFunctions

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

• ramsey_policy now displays the planner objective value function under Ramsey policy and stores it in oo_.planner_objective_value

• Estimation: if the selected_variables_only option is present, then the smoother will only be run on variables listed just after the estimation command

• Estimation: in the shocks block, it is now possible to calibrate measurement errors on endogenous variables (using the same keywords than for calibrating variance/covariance matrix of exogenous shocks)

• New syntax for DsgeVar

• New algorithms for FastDeterministicSimulationAndSteadyStateComputation

• Deterministic models: leads and lags of two or more on endogenous variables are now substituted by AuxiliaryVariables; exogenous variables are left as is

• New Dynare mode for Emacs editor (contributed by Yannick Kalantzis)
• The diffuse filter now works under Octave

• New option console on the Dynare command-line: use it when running Dynare from the console, it will replace graphical waitbars by text waitbars for long computations

• Steady option solve_algo=0 (uses fsolve()) now works under Octave

• Syntax of deterministic shocks has changed: after the values keyword, arbitrary expressions must be enclosed within parentheses (but numeric constants are still accepted as is)