Dynare with Octave

Dynare is now able to run on GNU Octave, which is basically a free clone of Matlab.

Octave versions greater or equal to 3.0.0 are supported.

About Octave

GNU Octave is a free clone of Matlab, running under Linux, Windows and MacOS.

It normally runs in a command window, and displays graphics in separate windows (using Gnuplot).

Some ressources:

• Octave official site

• Octave Forge: a set of extensions for Octave

• Official Octave manual online

• On the compatibility between Octave and Matlab:

  • List of differences between Octave and Matlab

  • List of missing Matlab functions in Octave

  • More on Matlab/Octave compatibility

• Octave Programming Tutorial on WikiBooks

Installing Dynare with Octave

Windows

The recommended Octave distribution is the Octave/Windows VC++ 3.0.3 precompiled binaries from Octave Forge.

During installation, you will be asked which graphical backend to use. Neither of them works perfectly with Dynare at this time:

• GNUplot gives better-looking results when several graphics are plotted in the same window, but window titles will not show up
• JHandles properly displays windows titles, but gives ugly results when several plots are displayed in the same window

Also note that this distribution contains a nice text editor, which you can invoke with edit as you would under Matlab.

Warning: the Octave/Windows distribution has a bug which makes Octave crash everytime one types clear all (and therefore everytime one runs Dynare!). A simple workaround is to type the following command the first time you run Octave:

pkg rebuild -noauto ftp ann database

Then download Dynare from http://www.dynare.org (pick the most recent release of version 4 for Windows in the download section). The archive contains DLLs compiled for Octave.

Note: Cygwin now contains an Octave 3.0 package. However this package is slower than the standalone one, and is therefore not recommended for the moment. If you really want to use it, you will have to recompile the MEX files (see BuildingDlls).

GNU/Linux

For Debian "Lenny" or Ubuntu "Hardy Heron" or "Intrepid Ibex", see InstallOnDebianOrUbuntu.

For other distributions:

• install the package for Octave 3.0 from your distribution

• download and uncompress Dynare version 4 sources from http://www.dynare.org (download section)

• compile the preprocessor (see BuildingPreprocessor)

• compile the dynamic libaries (see BuildingDlls)

Running Dynare with Octave

First, you should run Octave.

Under Linux, at the prompt, just type:

octave

Under Windows, you should have a shortcut already installed in your Start menu.

It is also possible to run Octave under Emacs.

Then, from Octave, add the path to Dynare with the addpath command, as you would under Matlab:

addpath REPLACE_WITH_INSTALL_PATH/matlab

It is possible to autoexecute this command at each Octave start by adding it to the .octaverc startup file (under Linux, this file should be put in the home directory; under Windows, it should be put at the root of the user home under Documents and Settings).

Unless you tell it to do otherwise, Octave won't accept the short syntax when typing dynare command. In other words, to run Dynare on ramst.mod, you need to type:

dynare('ramst')

rather than:

dynare ramst

However, you can force Octave to accept the short syntax by typing the following (or by adding it to your .octaverc):

mark_as_command dynare

Current status of Dynare with Octave

• Deterministic simulation works (tested on ramst.mod)

• Stochastic simulation works (tested on example1.mod)

• Bayesian estimation works (tested on arima/mod1a.mod).

  • However:
  • Excel data files are not supported by Octave. A workaround is to convert the file to a text format (more details to come shortly)

  • Diffuse Kalman filter doesn't work (no ordschur function in Octave)

• Ramsey policy works

• Results are saved in .mat files which can be read from Matlab 6, 7 and from Octave

• Graphics display:
  • basically works
  • however window titles ("Priors", ...) don't show up (with GNUplot backend)
  • the scale is sometimes ugly (overlapping characters) (with GNUplot backend)
  • warnings about missing font file show up (with GNUplot backend)
  • graphics are vertically shrinked when several plots are on the same window (with JHandles backend)
  • graphics saving on filesystem works for EPS, but not for PDF and FIG formats
  • currently, Dynare crashes when Octave is run without graphical capabilities; a workaround is to use option "nograph"
• MEX files:

  • can be compiled using mex/sources/build_octave.m

  • successfully tested under Linux
  • under Windows, since the Octave-Forge pre-compiled binary is build using Microsoft Visual C++ 2008, one need this compiler to create MEX files

Main differences between Matlab and Octave which are dealt with by Dynare

• Generalized eigenvalues: eig(A,B) doesn't exist in Octave. A call to lambda = qz(A,B) does the same job, except that it doesn't return infinite eigenvalues, so we can't use it. Implied a change in dr1.m

• QZ decomposition: [AA,BB,Q,Z] = qz(A,B) works under Octave, but the convention for Q is different. We have AA = Q*A*Z under Matlab and AA = Q'*A*Z under Octave. Implied changes in gensylv/sylvester3.m and qz/mjdgges.m

• Reciprocal condition number: rcond(A) doesn't exist under Octave. For the moment, the workaround is to create a rcond.m M-file which does 1/(norm(A,1)*norm(inv(A), 1)). The rcond() function should be available in the next major release of Octave, see this post and its reply.

• Saving data on the filesystem:

  • Octave can read and write Matlab's MAT format. A call to default_save_options('-mat') was added in dynare.m to make Dynare for Octave create MAT files

  • But save() and load() under Octave don't assume the .mat extension. Need to explicitly add them

• Saving graphics on the filesystem:

  • Saving graphics with saveas() don't work, since it uses a Matlab specific format

  • Creation of PDF files is not supported (through print -dpdf). This comes from the fact that PDF support in GNUPlot is non-free, and therefore not available under Debian/Ubuntu or Windows package. See Debian bug #248426

  • Creation of EPS files works (though file extension is not automatically added by Octave, contrary to Matlab)

• Warning handling is different between Matlab and Octave, and necessitated some adjustments

• Adjustments were obviously necessary where version() function is called

• The operator & under Matlab is buggy: it doesn't execute its second argument if the first is false, when used in an if statement. This behaviour should be restricted to &&. This also applies to | and ||. Implied a change in mh_optimal_bandwith.m, since this file expects the buggy behaviour

• waitbar() exists under Octave, but is text-only and is not very flexible. Replaced by calls to printf() in random_walk_metropolis_hastings.m

• mkdir() works slightly differently under Octave: it won't simultaneously create several depths of subdirectories. Implied a change in CheckPath.m

• setdiff() doesn't return a second argument under Octave. Implied a workaround in dynare_estimation.m and dynare_estimation_init.m

• ordeig() doesn't exist under Octave (nor on Matlab < 7.0.1). Use my_ordeig() instead.

• Case sensitivity : under Linux, calls to Octave functions and variables are case sensitive. So non preprocessed instructions at the end of modfiles should be written with lowercase.