This page documents new or previously undocumented features.

New in Dynare unstable (to be released as version 4.3)

• Support for Markov-Switching SBVARs, along the lines of Sims, Waggoner and Zha (2008) (see the dedicated section in the reference manual)

• New command for computing optimal policy under discretion: discretionary_policy

• New command for identification analysis: identification

• Block kalman filter available when using the block option with estimation (still needs to be polished and documented)

• Global Sensitivity Analysis toolbox now part of official Dynare distribution

• ParallelDynare: possibility of assigning different weights to nodes in the cluster and creating clusters comprised of nodes with different operating systems

• Dynare++: new option --burn to discard initial simulation points

• New option IRF_SHOCKS to allow irfs to be created only for certain exogenous variables

• New optimizers for the mode:

  • mode_compute=8. This is a Dynare implementation of the Nelder-Mead simplex based optimization routine (generally more efficient than the MATLAB or Octave implementation available with mode_compute=7)

  • mode_compute=9: CMA Evolution Strategy algorithm

• unit_root_vars is now obsolete; use diffuse_filter option of estimation instead

• New option nocheck to steady: tells not to check the steady state and accept values given by the user, useful for models with unit roots

• ramsey_policy now displays the planner objective value function under Ramsey policy and stores it in oo_.planner_objective_value (not fully working yet)

• New option value parameter_set=calibration to the conditional_forecast option: to be used for calibrated models (previously, conditional forecast was only possible for estimated models)

• Theoretical autocovariances are now computed when block option is present

• The linear option is now compatible with block and bytecode options

• New primitives allowed in model block: abs(), sign()

• use_dll now creates a mex file for the static model in addition to that for the dynamic model

• New option maxit in simul and steady commands to determines the maximum number of iterations of the non-linear solver. The default value of maxit is 10. The maxit option is shared with the simul and steady commands. So a change in maxit option will be considered in both simul and steady commands.

• New top-level MATLAB/Octave command internals for internal documentation and unitary tests

• steady_state_model lets you redefine a parameter

• shocks: a series of deterministic shocks can be passed as a pre-defined vector in the values sub-command

• New option sub_draws in estimation for controlling the number of draws used in computing the posterior distributions of various objects

• New macroprocessor command: @#ifdef

New in Dynare 4.2

• New solution algorithms:

  • Pruning for second order simulations has been added, as described in Kim, Kim, Schaumburg and Sims (JEDC, 2008). It is triggered by option pruning of stoch_simul (only 2nd order, not available at 3rd order)

  • Models under PartialInformation can be solved, as in Pearlman, Currie and Levine (Economic Modeling, 1986)

  • New nonlinear solvers for FastDeterministicSimulationAndSteadyStateComputation

• Dynare can now use the power of multi-core computers or of a cluster of computer using parallelization. See ParallelDynare for the list of tasks which can be parallelized and for configuration instructions

• New features in the user interface:

  • 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 and an example)

  • For non-stationary models, Dynare is now able of automatically RemovingTrends in all the equations: 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

  • It is now possible to use arbitrary functions in the model block: see ExternalFunctions

• Other minor changes to the user interface:

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

  • New syntax for DsgeVar

  • 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)

• Various improvements:
  • Third order simulations now work without the USE_DLL option: installing a C++ compiler is no longer necessary for 3rd order
  • The HP filter works for empirical moments (previously it was only available for theoretical moments)

  • 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)

  • It is possibile to choose the parameter set for ShockDecomposition

  • 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

• For Emacs users:
  • New Dynare mode for Emacs editor (contributed by Yannick Kalantzis)
  • Reference manual now available in Info format (distributed with Debian/Ubuntu packages)
• Miscellaneous:

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

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

• Macro-processing of mod files

• 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