- Info - dynare.org

2nd Dynare workshop for advanced users
by Stéphane Adjemian 22 Mar '23

22 Mar '23

Dear friends, We will organise a workshop for advanced Dynare users (second edition). The event will be hosted by the Joint Research Center (Ispra, Italy) from Wednesday to Friday November 6-8 2023. More information on our website: https://www.dynare.org/events/dynare-workshop-for-advanced-users-2023-open Deadline for submissions is 30 April 2023. Best regards, Stéphane

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Dynare Summer School 2023
by Stéphane Adjemian 22 Jan '23

22 Jan '23

Dear Friends, This year the Dynare Summer School will be hosted, from May 22 to May 26, 2023, by École Normale Supérieure (Campus Jourdan). The courses will focus on simulation and estimation of DSGE models with Dynare, and Marco Del Negro (Federal Reserve Bank of New York) will be the invited speaker. More information is available on our website: https://www.dynare.org/events/dynare-summer-school-2023-applications-open Applications should be sent to school(a)dynare.org (with a CV and a recent research paper attached as PDFs) no later than March 3, 2023. Best regards, Stéphane.

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Release of Dynare 5.3
by Sébastien Villemot 21 Nov '22

21 Nov '22

Dear Dynare friends, We are pleased to announce the release of Dynare 5.3. This maintenance release fixes various bugs. The Windows, macOS and source packages are already available for download atthe Dynare website. All users are strongly encouraged to upgrade. This release is compatible with MATLAB versions ranging from 8.3 (R2014a) to 9.13 (R2022b), and with GNU Octave version 7.3.0 (under Windows). Note for macOS users with an Apple Silicon processor, and who are also MATLAB users: the official MATLAB version for use on those processors is still the Intel version (running through Rosetta 2), so the official Dynare package for download on our website is built for Intel only. However, since Mathworks has released a beta version of MATLAB for Apple Silicon, we created a beta package of Dynare that you can try with it. See this forum thread for more details:https://forum.dynare.org/t/testers-wanted-release-of-dynare-5-x-bet… Here is a list of the problems identified in version 5.2 and that have been fixed in version 5.3: * Problems with the steady_state operator: if a steady_state operator contained an algebraic expression appearing multiple times in the model and sufficiently complex to trigger the creation of a temporary term, then the result of the operator would be wrong (the operator was essentially ignored)if a steady_state operator contained a call to an external function, then the result of the operator would be wrong (the operator was essentially ignored). A proper fix to this problem would require substantial architectural changes, so for now it is forbidden to use an external function inside a steady_state operator * Pruning in particle filtering at order 2 was not using the exact same formula as the original Kim et al. (2008) paper. A second-order term entered the cross-product between states and shocks, where it should have been a first-order term. This however would not lead to explosive trajectories in practice * The simul_replic option of the stoch_simul command would not store the binary file in the Output folder * Problems with Ramsey policy (ramsey_model/ramsey_policy commands): steady state files would not work when auxiliary variables included Lagrange multipliersfor linear competitive equilibrium laws of motion, welfare evaluated at higher order was erroneously equated to steady state welfare * The discretionary_policy command would not always correctly infer the number of instruments and equations, leading to spurious error messages * Perfect foresight simulations of purely forward or backward models would crash if complex numbers were encountered * When using both block and bytecode options of the model block, if the model was such that a sufficiently complex algebraic expression appeared both in the residuals and in the derivatives, leading to the creation of a temporary term, then the results could be incorrect under some circumstances * When using the bytecode option of the model block, leads of more than +127 or lags of less than -128 were not correctly handled * Problems with the solver under occasionally binding constraints (occbin_solver command): when solving the baseline regime, it would not properly handle errors like Blanchard-Kahn violationsthe piecewise linear Kalman filter (PKF) would crash if the model solution could not be computed for a parameter drawthe oo_.FilteredVariablesKStepAhead and oo_.UpdatedVariables MATLAB/Octave variables would contain the steady state twicethe inversion filter would crash if the filter_step_ahead or state_uncertainty options were requestedthe PKF would crash if filter_step_ahead=1 was specifiedthe PKF would crash if the state_uncertainty option was specified together with the smoother_redux optionthe last regime before the system is back to normal times in the two-constraints case could be wrongly set, possibly leading to wrong simulations, lack of convergence or crashes * Problems with identification (identification command): with prior_mc>1 specified, it would incorrectly display the share of rank deficient Jacobiansit would crash during plotting or displaying identification strength when the necessary identification criteria based on moments could not be computed * The plot_shock_decomposition command would crash if invalid field names were encountered * The shock_decomposition command would not pass specified initial dates to generated plots * Various pathological cases encountered in steady state finding could lead to a crash * The solve_algo=0 option of the steady command would not honor tolx * In the dynare_sensitivity command, stability mapping would not correctly honor the prior bounds As a reminder, the list of new features introduced in versions 5.x can be found in the release notes for 5.0. On behalf of the Dynare Team, -- Sébastien Villemot Economist at CEPREMAP Dynare developer https://sebastien.villemot.name

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Release of Dynare 5.2
by Sébastien Villemot 28 Jul '22

28 Jul '22

Dear Dynare friends, We are pleased to announce the release of Dynare 5.2. This maintenance release fixes various bugs. The Windows, macOS and source packages are already available for download atthe Dynare website. All users are strongly encouraged to upgrade. This release is compatible with MATLAB versions ranging from 8.3 (R2014a) to 9.12 (R2022a), and with GNU Octave version 6.4.0 (under Windows). Note for macOS users with an Apple Silicon processor, and who are also MATLAB users: the official MATLAB version for use on those processors is still the Intel version (running through Rosetta 2), so the official Dynare package for download on our website is built for Intel only. However, since Mathworks has released a beta version of MATLAB for Apple Silicon, we created a beta package of Dynare that you can try with it. See this forum thread for more details:https://forum.dynare.org/t/testers-wanted-release-of-dynare-5-x-bet… Here is a list of the problems identified in version 5.1 and that have been fixed in version 5.2: * Problems with the steady_state operator: if a steady_state operator contained an algebraic expression appearing multiple times in the model and sufficiently complex to trigger the creation of a temporary term, then the result of the operator would be wrong (the operator was essentially ignored)if a steady_state operator contained a call to an external function, then the result of the operator would be wrong (the operator was essentially ignored). A proper fix to this problem would require substantial architectural changes, so for now it is forbidden to use an external function inside a steady_state operator * Pruning in particle filtering at order 2 was not using the exact same formula as the original Kim et al. (2008) paper. A second-order term entered the cross-product between states and shocks, where it should have been a first-order term. This however would not lead to explosive trajectories in practice * The simul_replic option of the stoch_simul command would not store the binary file in the Output folder * Problems with Ramsey policy (ramsey_model/ramsey_policy commands): steady state files would not work when auxiliary variables included Lagrange multipliersfor linear competitive equilibrium laws of motion, welfare evaluated at higher order was erroneously equated to steady state welfare * The discretionary_policy command would not always correctly infer the number of instruments and equations, leading to spurious error messages * Perfect foresight simulations of purely forward or backward models would crash if complex numbers were encountered * When using both block and bytecode options of the model block, if the model was such that a sufficiently complex algebraic expression appeared both in the residuals and in the derivatives, leading to the creation of a temporary term, then the results could be incorrect under some circumstances * When using the bytecode option of the model block, leads of more than +127 or lags of less than -128 were not correctly handled * Problems with the solver under occasionally binding constraints (occbin_solver command): when solving the baseline regime, it would not properly handle errors like Blanchard-Kahn violationsthe piecewise linear Kalman filter (PKF) would crash if the model solution could not be computed for a parameter drawthe oo_.FilteredVariablesKStepAhead and oo_.UpdatedVariables MATLAB/Octave variables would contain the steady state twicethe inversion filter would crash if the filter_step_ahead or state_uncertainty options were requestedthe PKF would crash if filter_step_ahead=1 was specifiedthe PKF would crash if the state_uncertainty option was specified together with the smoother_redux optionthe last regime before the system is back to normal times in the two-constraints case could be wrongly set, possibly leading to wrong simulations, lack of convergence or crashes * Problems with identification (identification command): with prior_mc>1 specified, it would incorrectly display the share of rank deficient Jacobiansit would crash during plotting or displaying identification strength when the necessary identification criteria based on moments could not be computed * The plot_shock_decomposition command would crash if invalid field names were encountered * The shock_decomposition command would not pass specified initial dates to generated plots * Various pathological cases encountered in steady state finding could lead to a crash * The solve_algo=0 option of the steady command would not honor tolx * In the dynare_sensitivity command, stability mapping would not correctly honor the prior bounds As a reminder, the list of new features introduced in versions 5.x can be found in the release notes for 5.0. On behalf of the Dynare Team, -- Sébastien Villemot Economist at CEPREMAP Dynare developer https://sebastien.villemot.name

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Release of Dynare 5.1
by Sébastien Villemot 07 Apr '22

07 Apr '22

Dear Dynare friends, We are pleased to announce the release of Dynare 5.1. This maintenance release fixes various bugs. The Windows, macOS and source packages are already available for download atthe Dynare website. All users are strongly encouraged to upgrade. This release is compatible with MATLAB versions ranging from 8.3 (R2014a) to 9.12 (R2022a), and with GNU Octave version 6.4.0 (under Windows). Here is a list of the problems identified in version 5.0 and that have been fixed in version 5.1: * Various problems with perfect foresight simulations in combination with block and/or bytecode options of the model block: Simulation with bytecode and stack_solve_algo=4 could give incorrect results if the model has a linear block of type “Solve two boundaries simple/complete”Simulation with bytecode and stack_solve_algo=1 could fail to convergeSimulation with block (but without bytecode) and stack_solve_algo=1 gave wrong results in the last simulation period if the model has a block of type “Solve two boundaries simple/complete”Simulation with bytecode and block would give incorrect results if the model has a linear block of type “Solve forward simple/complete”Simulation with block (but without bytecode) would crash or give incorrect results if the model has a block of type “Solve forward/backward simple/complete”Simulation with bytecode, block and stack_solve_algo={0,1,4} would crash or give incorrect results if the model has a block of type “Solve forward/backward complete”Simulation with block (but without bytecode) gave incorrect results if the model has a block of type “Solve backward simple/complete”Simulation with block (with or without bytecode) could give incorrect results if the model has a nonlinear block of type “Solve forward/backward simple/complete”Simulation with bytecode, block and stack_solve_algo=4 could give incorrect results if the model has a block of type “Solve backward/forward simple/complete” that follows a block of type “Solve two boundaries” (in the sense of the dependency graph)The convergence criterion in simulations with block (but without bytecode) was incorrect: the value of the tolf option from the steady command was used instead of the value of tolf option from the perfect_foresight_solver command * Various problems with steady state computation in combination with block and/or bytecode options of the model block: Steady state computation with bytecode and block could fail if some equations are marked [static]Steady state computation with bytecode, block and solve_algo ⩽ 4 or ⩾ 9 could failSteady state computation with bytecode, block and solve_algo=6 would crash or give incorrect results if the model has a block of type “Solve forward/backward complete” * The check command would crash or give incorrect results when using the block option of the model block and if the model has a block of type “Solve backward complete” * The static and incidence options of the model_info command did not work as documented in the reference manual * Various problems with the method_of_moments command: It would crash if no matched_moments block is presentIt would always load the full range of the first Excel sheet instead of the xls_range of the specified xls_sheetSMM would crash if a parameter draw triggers an error during additional_optimizer_steps = 13The debug option could not be passed to the command * In the estimation command, the scale_file field of the posterior_sampler_options option did not correctly load the scale * The moments_varendo option of the estimation command could crash for large models * The resid command would not show name tags when used in conjunction with the ramsey_model command * Simulations with the occbin_solver command would not work if there is only a surprise shock in the first period * The Liu & West auxiliary particle filter could enter infinite loops As a reminder, the list of new features introduced in versions 5.x can be found in the release notes for 5.0. On behalf of the Dynare Team, -- Sébastien Villemot Economist at CEPREMAP Dynare developer https://sebastien.villemot.name

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Dynare Summer School 2022
by Stéphane Adjemian 14 Feb '22

14 Feb '22

Dear Friends, This year the Dynare Summer School will be hosted, from May 30 to June 3, 2022, by École Normale Supérieure (Campus Jourdan). The courses will focus on simulation and estimation of DSGE models with Dynare. More information is available on our website: https://www.dynare.org/events/dynare-summer-school-2022-applications-open Applications should be sent to school(a)dynare.org (with a CV and a recent research paper attached as PDFs) no later than March 27, 2022. Best regards, Stéphane.

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Fwd: Re: 16th annual Dynare Conference, Lancaster University, UK - 30th June-1st July 2022
by stepan＠adjemian.eu 02 Feb '22

02 Feb '22

Dear all, The 16th annual Dynare Conference will be held in person at the Lancaster University, (https://www.lancaster.ac.uk/) UK from 30th June to 1st July 2022. The conference is organized by the Department of Economics of Lancaster University Management School (LUMS), together with Banque de France, DSGE-net, and the Dynare project at CEPREMAP. Keynote speakers of this conference edition will be Jan Eeckhout (https://eur02.safelinks.protection.outlook.com/?url=https%3A%2F%2Fbse.eu%2F…) (University of Pompeu Fabra) and Silvana Tenreyro (https://eur02.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwww.banko…) (London School of Economics, Bank of England). Both the Keynote speakers will hold plenary sessions. All papers should be submitted electronically using our submission form (https://eur02.safelinks.protection.outlook.com/?url=https%3A%2F%2Fdocs.goog…) no later than midnight UK time on 6th March 2022. Important dates: * 6th March 2022: deadline for paper submissions * 15th April 2022: authors of accepted papers will be informed The Dynare conference will feature the work of leading scholars in dynamic macroeconomic modeling and provide an excellent opportunity to present your research results. Topics of this conference edition will focus on: * Heterogeneity in households, firms, information, expectations, banks, housing, and financial intermediaries * Structural Changes due to Market Power, Automation, Digitalization, Productivity * Monetary and Fiscal Policies in models with Disaster Shocks, Covid Shock, Uncertainty Shocks. Inequality, Non-linearities, and Asymmetries. * Submissions of papers dealing with different aspects of General Equilibrium modeling and computational methods are also welcomed. Papers using software tools other than Dynare and theoretical contributions are also encouraged. Accepted papers will be automatically considered for publication in the Dynare Working Paper series (https://eur02.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwww.dynar…) conditional on the agreement of the submitter. Note that publication in the Dynare Working Paper series does not prohibit submission to another working paper series. More information is available on the conference website (https://wp.lancs.ac.uk/dynare2022/) For any requests please contact dynare2022(a)lancaster.ac.uk (mailto:dynare2022@lancaster.ac.uk) Previous Conference: * Dynare Conference, University of Lausanne, Switzerland 2019 (https://eur02.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwww.dynar…) Scientific Commitee: * Stéphane Adjemian, (https://eur02.safelinks.protection.outlook.com/?url=https%3A%2F%2Fstephane-…) Université du Maine * Stefano Fasani, (https://www.lancaster.ac.uk/lums/people/stefano-fasani) Lancaster University Management School * Michel Juillard, (https://eur02.safelinks.protection.outlook.com/?url=https%3A%2F%2Feconpaper…) Banque de France, * Giorgio Motta, (https://www.lancaster.ac.uk/lums/people/giorgio-motta) Lancaster University Management School * Willi Mutschler, (https://eur02.safelinks.protection.outlook.com/?url=https%3A%2F%2Fmutschler…) University of Tuebingen * Efthymios Pavlidis, (https://www.lancaster.ac.uk/lums/people/efthymios-pavlidis) Lancaster University Management School * Johannes Pfeifer, (https://eur02.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwww.unibw…) Universität der Bundeswehr München * Lorenza Rossi, (https://www.lancaster.ac.uk/lums/people/lorenza-rossi) Lancaster University Management School Local Organizers at LUMS: Teresa Aldren, Stefano Fasani, Giorgio Motta, Efthymios Pavlidis, Lorenza Rossi, Caren Wareing

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Release of Dynare 5.0
by Sébastien Villemot 07 Jan '22

07 Jan '22

Dear Dynare friends, We are pleased to announce the release of Dynare 5.0. This major release adds new features and fixes various bugs. The Windows, macOS and source packages are already available for download at the Dynare website. All users are strongly encouraged to upgrade. This release is compatible with MATLAB versions ranging from 8.3 (R2014a) to 9.11 (R2021b), and with GNU Octave version 6.4.0 (under Windows). The new tools for semi-structural models and the improvements on the nonlinear solvers were funded by the ECB. Special thanks to Nikola Bokan (ECB) for his contributions and numerous bug reports and fixes. Major user-visible changes * New routines for simulating semi-structural (backward) models where some equations incorporate expectations based on future values of a VAR or trend component model. See the var_model, trend_component_model and var_expectation_model commands, and the var_expectation operator. * New routines for simulating semi-structural models where some equations are specified using the polynomial adjustment costs (PAC) approach, as in the FRB/US model (see Brayton et al., 2014 and Brayton et al., 2000) and the ECB-BASE model (see Angelini et al., 2019). The forward-looking terms of the PAC equations can be computed either using a satellite VAR model, or using full model- consistent expectations. See the pac_model command and the pac_expectation operator. * New Method of Moments toolbox that provides functionality to estimate parameters by (i) Generalized Method of Moments (GMM) up to 3rd-order pruned perturbation approximation or (ii) Simulated Method of Moments (SMM) up to any perturbation approximation order. The toolbox is inspired by replication codes accompanying Andreasen et al. (2018), Born and Pfeifer (2014), and Mutschler (2018). It is accessible via the new method_of_moments command and the new matched_moments block. Moreover, by default, a new non-linear least squares optimizer based on lsqnonlin is used for minimizing the method of moments objective function (available under mode_compute=13). GMM can further benefit from using gradient-based optimizers (usinganalytic_standard_errors option and/or passing 'Jacobian','on' to the optimization options) as the Jacobian of the moment conditions can be computed analytically. * Implementation of the Occbin algorithm by Guerrieri and Iacoviello (2015), together with the inversion filter of Cuba-Borda, Guerrieri, Iacoviello, and Zhong (2019) and the piecewise Kalman filter of Giovannini, Pfeiffer, and Ratto (2021). It is available via the new block occbin_constraints and the new commands occbin_setup, occbin_solver, occbin_graph, and occbin_write_regimes. * Stochastic simulations stoch_simul now supports theoretical moments at order=3 with pruning.stoch_simul now reports second moments based on the pruned state space if the pruning option is set (in previous Dynare releases it would report a second-order accurate result based on the linear solution). * Estimation Performance optimization to pruned state space systems and Lyapunov solvers.New option mh_posterior_mode_estimation to estimation to perform mode-finding by running the MCMC.New heteroskedastic filter and smoother, where shock standard errors may unexpectedly change in every period. Triggered by the heteroskedastic_filter option of the estimation command, and configured via the heteroskedastic_shocks block.New option mh_tune_guess for setting the initial value for mh_tune_jscale.New option smoother_redux to estimation and calib_smoother to trigger computing the Kalman smoother on a restricted state space instead of the full one.New block filter_initial_state for setting the initial condition of the Kalman filter/smoother.New option mh_initialize_from_previous_mcmc to the estimation command that allows to pick initial values for a new MCMC from a previous one.The xls_sheet option of the estimation command now takes a quoted string as value. The former unquoted syntax is still accepted, but no longer recommended.New option particle_filter_options to set various particle filter options. * Perfect foresight and extended path New specialized algorithm in perfect_foresight_solver to deal with purely static problems.The debug option of perfect_foresight_solver provides debugging information if the Jacobian is singular.In deterministic models (perfect foresight or extended path), exogenous variables with lead/lags are now replaced by auxiliary variables. This brings those models in line with the transformation done on stochastic models. However, note that the transformation is still not exactly the same between the two classes of models, because there is no need to take into account the Jensen inequality for the latter. In deterministic models, there is a one-to-one mapping between exogenous with lead/lags and auxiliaries, while in stochastic models, an auxiliary endogenous may correspond to a more complex nonlinear expression. * Optimal policy Several improvements to evaluate_planner_objective: it now applies a consistent approximation order when doing the computation;in addition to the conditional welfare, it now also provides the unconditional welfare;in a stochastic context, it now works with higher order approximation (only the conditional welfare is available for order ⩾ 3);it now also works in a perfect foresight context.discretionary_policy is now able to solve nonlinear models (it will then use their first-order approximation, and the analytical steady state must be provided). * Identification New option schur_vec_tol to the identification command, for setting the tolerance level used to find nonstationary variables in the Schur decomposition of the transition matrix.The identification command now supports optimal policy. * Shock decomposition The fast_realtime option of the realtime_shock_decomposition command now accepts a vector of integers, which runs the smoother for all the specified data vintages. * Macro processor Macroprocessor variables can be defined without a value (they are assigned integer 1). * LaTeX and JSON outputs New nocommutativity option to the dynare command. This option tells the preprocessor not to use the commutativity of addition and multiplication when looking for common subexpressions. As a consequence, when using this option, equations in various outputs (LaTeX, JSON…) will appear as the user entered them (without terms or factors swapped). Note that using this option may have a performance impact on the preprocessing stage, though it is likely to be small.Model-local variables are now substituted out as part of the various model transformations. This means that they will no longer appear in LaTeX or in JSON files (for the latter, they are still visible with json=parse or json=check). * Compilation of the model (use_dll option) Block decomposition (option block of model) can now be used in conjunction with the use_dll option.The use_dll option can now directly be given to the dynare command. * dseries classes Routines for converting between time series frequencies (e.g. daily to monthly) have been added.dseries now supports bi-annual and daily frequency data.dseries can now import data from DBnomics, via the mdbnomics plugin. Note that this does not yet work under Octave. For the time being, the DBnomics plugin must be installed separately. * Misc improvements The histval_file and initval_file commands have been made more flexible and now have functionalities similar to the datafile option of the estimation command.When using the loglinear option, the output from Dynare now clearly shows that the results reported concern the log of the original variable.Options block and bytecode of model can now be used in conjunction with model-local variables (variables declared with a pound-sign #).The model_info command now prints the typology of endogenous variables for non- block decomposed models.The total computing time of a run (in seconds) is now saved to oo_.time.New notime option to the dynare command, to disable the printing and the saving of the total computing time.New parallel_use_psexec command-line Windows-specific option for parallel local clusters: when true (the default), use psexec to spawn processes; when false, use start.When compiling from source, it is no longer necessary to pass the MATLAB_VERSION version to the configure script; the version is now automatically detected. Incompatible changes * Dynare will now generally save its output in the MODFILENAME/Output folder (or the DIRNAME/Output folder if the dirname option was specified) instead of the main directory. Most importantly, this concerns the_results.mat and the _mode.mat files. * The structure of the oo_.planner_objective field has been changed, in relation to the improvements to evaluate_planner_objective. * The preprocessor binary has been renamed to dynare-preprocessor, and is now located in a dedicated preprocessor subdirectory. * The dynare command no longer accepts output=dynamic and output=first(these options actually had no effect). * The minimal required MATLAB version is now R2014a (8.3). * The 32-bit support has been dropped for Windows. Bugs that were present in 4.6.4 and that have been fixed in 5.0 * Equations marked with static-tags were not detrended when a deflator was specified * Parallel execution of dsge_var estimation was broken * The preprocessor would incorrectly simplify forward-looking constant equations of the form x(+1)=0 to imply x=0 * Under some circumstances, the use of the model_local_variable statement would lead to a crash of the preprocessor * When using the block-option without bytecode the residuals of the static model were incorrectly displayed * When using k_order_solver, the simult_ function ignored requested approximation orders that differed from the one used to compute the decision rules * Stochastic simulations of the k_order_solver without pruning iterated on the policy function with a zero shock vector for the first (non-endogenous) period * estimation would ignore the mean of non-zero observables if the mean was 0 for the initial parameter vector * mode_check would crash if a parameter was estimated to be exactly 0 * load_mh_file would not be able to load the proposal density if the previous run was done in parallel * load_mh_file would not work with MCMC runs from Dynare versions before 4.6.2 * ramsey_model would not correctly work with lmmcp * ramsey_model would crash if a non-scalar error code was encountered during steady state finding. * Using undefined objects in the planner_objective function would yield an erroneous error message about the objective containing exogenous variables * model_diagnostics did not correctly handle a previous loglinear option * solve_algo=3 (csolve) would ignore user-set maxit and tolf options * The planner_objective values were not based on the correct initialization of auxiliary variables (if any were present) * The nostrict command line option was not ignoring unused endogenous variables in initval, endval, and histval * prior_posterior_statistics_core could crash for models with eigenvalues very close to 1 * The display of the equation numbers in debug mode related to issues in the Jacobian would not correctly take auxiliary equations into account * The resid command was not correctly taking auxiliary and missing equations related to optimal policy (ramsey_model, discretionary_policy) into account * bytecode would lock the dynamic.bin file upon encountering an exception, requiring a restart of MATLAB to be able to rerun the file * Estimation with the block model option would crash when calling the block Kalman filter * The block model option would crash if no initval statement was present * Having a variable with the same name as the mod-file present in the base workspace would result in a crash * oo_.FilteredVariablesKStepAheadVariances was wrongly computed in the Kalman smoother based on the previous period forecast error variance * Forecasts after estimation would not work if there were lagged exogenous variables present * Forecasts after estimation with MC would crash if measurement errors were present * Smoother results would be infinity for auxiliary variables associated with lagged exogenous variables * In rare cases, the posterior Kalman smoother could crash due to previously accepted draws violating the Blanchard-Kahn conditions when using an unrestricted state space * perfect_foresight_solver would crash for purely static problems * Monte Carlo sampling in identification would crash if the minimal state space for the Komunjer and Ng test could not be computed * Monte Carlo sampling in identification would skip the computation of identification statistics for all subsequent parameter draws if an error was triggered by one draw * The --steps-option of Dynare++ was broken * smoother2histval would crash if variable names were too similar * smoother2histval was not keeping track of whether previously stored results were generated with loglinear * The initval_file option was not supporting Dynare’s translation of a model into a one lead/lag-model via auxiliary variables References * Andreasen et al. (2018): “The pruned state-space system for non- linear DSGE models: Theory and empirical applications,” Review of Economic Studies, 85(1), 1–49 * Angelini, Bokan, Christoffel, Ciccarelli and Zimic (2019): “Introducing ECB-BASE: The blueprint the new ECB semi-structural model for the euro area,” ECB Working Paper no. 2315 * Born and Pfeifer (2014): “Policy risk and the business cycle,” Journal of Monetary Economics, 68, 68–85 * Brayton, Davis and Tulip (2000): “Polynomial adjustment costs in FRB/US,” Unpublished manuscript * Brayton, Laubach, and Reifschneider (2014): “The FRB/US Model: A tool for macroeconomic policy analysis,” FEDS Notes. Washington: Board of Governors of the Federal Reserve System, https://doi.org/10.17016/2380-7172.0012 * Cuba-Borda, Guerrieri, Iacoviello, and Zhong (2019): “Likelihood evaluation of models with occasionally binding constraints,” Journal of Applied Econometrics, 34(7), 1073–1085 * Giovannini, Pfeiffer, and Ratto (2021): “Efficient and robust inference of models with occasionally binding constraints,” Working Paper 2021-03, Joint Research Centre, European Commission * Guerrieri and Iacoviello (2015): “OccBin: A toolkit for solving dynamic models with occasionally binding constraints easily,” Journal of Monetary Economics, 70, 22–38 * Mutschler (2018): “Higher-order statistics for DSGE models,” Econometrics and Statistics, 6(C), 44–56 On behalf of the Dynare Team, -- Sébastien Villemot Economist at CEPREMAP Dynare developer https://sebastien.villemot.name

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Dynare Summer School 2021
by Stéphane Adjemian 25 Mar '21

25 Mar '21

Dear Friends, This year the Dynare Summer School will take place from June 21-25, 2021. Due to the coronavirus outbreak the school will take place online. The courses will focus on the simulation and estimation of DSGE models with Dynare. More information is available on our website: https://www.dynare.org/events/dynare-summer-school-2021-applications-open If interested, you can apply by sending a CV and a recent research paper (PDFs only) to school(a)dynare.org no later than May 15, 2021. Best, Stéphane On behalf of the Dynare Team

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Release of Dynare 4.6.4
by Sébastien Villemot 18 Mar '21

18 Mar '21

Dear Dynare friends, We are pleased to announce the release of Dynare 4.6.4. This maintenance release fixes various bugs. The Windows, macOS and source packages are already available for download at the Dynare website. All users are strongly encouraged to upgrade. This release is compatible with MATLAB versions ranging from 7.9 (R2009b) to 9.10 (R2021a), and with GNU Octave version 6.2.0 (under Windows). Here is a list of the problems identified in version 4.6.3 and that have been fixed in version 4.6.4: Passing multiple shock values through a MATLAB/Octave vector in a mshocks block would not work The mode_compute=12 option was broken The use_mh_covariance_matrix option was ignored The load_mh_file option together with mh_replic=0 would not allow computing moments_varendo for a different list of variables The forecast option was ignored when using mode_compute=0 without a mode-file to execute the smoother The discretionary_policy command would crash in the presence of news shocks The ramsey_constraints block would crash if the constraints contained defined parameters Identification would display a wrong error message if a unit root was present and diffuse_filter had been set Particle filter estimation would crash if the initial state covariance became singular for a draw Particle filter estimation would crash if k_order_solver option was specified with options_.particle.pruning The initial state covariance in particle filter estimation could be NaN when using nonlinear_filter_initialization=2 despite options_.particles.pruning=1 Output of smoother results when using particle filters would be based on order=1 Output of moments_varendo results when using particle filters would be based on order=1 When decreasing the order in .mod files, oo_.dr could contain stale results from higher orders Estimation results using the particle filter at order=3 would be incorrect if the restricted state space differed from the unrestricted one The mode_compute=102 option (SOLVEOPT) could return with Inf instead of the last feasible value Using analytic_derivation for Bayesian estimation would result in wrong results when the multivariate Kalman filter entered the steady state stage Using analytic_derivation for maximum likelihood estimation would result in a crash When using the Bayesian smoother with filtered_vars, the field for Filtered_Variables_X_step_ahead used the length of vector instead of the actual steps in filter_step_ahead mode_compute=1,3 crashed when analytic_derivation was specified mode_compute=1,3,102 did only allow for post-MATLAB 2016a option names The cova_compute=0 option was not working with user- defined MCMC_jumping_covariance The mode_compute=1 option was not working with analytic_derivation Not all commands were honouring the M_.dname folder when saving LaTeX output of the simulated variance decomposition for observables with measurement error could have a wrong variable label As a reminder, the list of new features introduced in versions 4.6.x can be found in the release notes for 4.6.0. On behalf of the Dynare Team, -- Sébastien Villemot Economist at CEPREMAP Dynare developer https://sebastien.villemot.name

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