Dear Dynare users and friends,
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:
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
- 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
- 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
- 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
- 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
- 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
- The console mode now implies the `nodisplay' option.
* Bugs and problems identified in version 4.3.3 and that have been fixed in
- 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
- Non-linear estimation was not skipping the specified presample when
computing the likelihood.
- IRFs and theoretical moments at order > 1 were broken for purely
- Simulated moments with constant variables was leading to crashes when
- 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
- Recursive estimation starting with the pathological case of `nobs=1' was
- 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
- The `filter_step_ahead' option was not producing any output in Bayesian
- 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
- Deterministic simulation of models without any exogenous variable was
- 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.
- 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
- Geweke, John (1999): “Using simulation methods for Bayesian econometric
models: Inference, development and communication,” Econometric Reviews,
On behalf of the Dynare Team,
Researcher in Economics