Dear all,
The Dynare team is pleased to announce the creation of the Dynare
Working Papers series [1]. The Dynare Working Papers series is intended
for the following kind of contributions:
* methodological papers related to current or forthcoming Dynare
functionality;
* papers in quantitative macroeconomics whose results (or portion
thereof) have been obtained with the help of Dynare.
Authors are encouraged to submit papers falling into one of the two
aforementioned categories, even if they have already been published in
another working papers series. Note that contributions not directly
related to Dynare, but still pertaining to the fields of numerical
methods or of quantitative macroeconomics, are also welcome.
Submissions should be sent by e-mail to: wp(a)dynare.org. We commit
ourselves to giving a fast and fair editorial decision, but please
forgive us if you do not receive a full-fledged referee report in
return.
The goal of this series being state of the art dissemination, the source
code of computer programs used in the paper should also be included in
the submission (this covers Dynare MOD files and/or any other program,
whether written in MATLAB, Octave, Fortran, C, C++, etc). If the
submission is accepted, the source code will be made publicly available
on our website.
Papers and codes published in the series are automatically added to the
RePEc [2] database.
We are waiting for your contributions!
Stéphane and Sébastien.
[1] http://www.dynare.org/wp
[2] http://ideas.repec.org/s/cpm/dynare.html
Dear Dynare users,
We are pleased to announce that the Dynare Summer School will be organized in Paris from June 20 to June 24, 2011.
Location:
Holiday Inn Express
68 quai de la seine,
75019 Paris
France
Details are given on Dynare's website:
http://www.dynare.org/events/dynare-summer-school-2011
Best, Stéphane.
--
Stéphane Adjemian
Université du Maine, GAINS & CEPREMAP
http://www.dynare.org/stepan
Dear Dynare users,
We are pleased to announce the release of Dynare 4.2.0.
This major release adds new features and fixes various bugs.
The Windows package is already available for download. The Mac and Linux
packages should follow soon.
All users are strongly encouraged to upgrade.
This release is compatible with MATLAB versions ranging from 6.5 (R13) to 7.11
(R2010b) and with GNU Octave versions 3.0.x and 3.2.x (support for GNU Octave
3.4.x is not complete and will be added in the next minor release).
Here is the list of major user-visible changes:
* New solution algorithms:
- Pruning for second order simulations has been added, as described in Kim,
Kim, Schaumburg and Sims (2008) [1,2]
- Models under partial information can be solved, as in Pearlman, Currie and
Levine (1986) [3,4]
- New nonlinear solvers for faster deterministic simulations and steady state
computation [5]
* Dynare can now use the power of multi-core computers or of a cluster of
computer using parallelization [6]
* 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 new "steady_state_model" command [7]
- For non-stationary models, Dynare is now able of automatically removing
trends 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
[8]
- It is now possible to use arbitrary functions in the model block [9]
* Other minor changes to the user interface:
- New primitives allowed in model block: normpdf(), erf()
- New syntax for DSGE-VAR [10]
- 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)
- "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)
- It is possibile to choose the parameter set for shock decomposition [11]
- 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 auxiliary variables; exogenous variables
are left as is [12]
[1] Kim, J., S. Kim, E. Schaumburg and C.A. Sims (2008), "Calculating and using
second-order accurate solutions of discrete time dynamic equilibrium
models", Journal of Economic Dynamics and Control, 32(11), 3397-3414
[2] It is triggered by option "pruning" of "stoch_simul" (only 2nd order, not
available at 3rd order)
[3] Pearlman J., D. Currie and P. Levine (1986), "Rational expectations models
with partial information", Economic Modelling, 3(2), 90-105
[4] http://www.dynare.org/DynareWiki/PartialInformation
[5] http://www.dynare.org/DynareWiki/FastDeterministicSimulationAndSteadyStateC…
[6] http://www.dynare.org/DynareWiki/ParallelDynare
[7] See the entry for "steady_state_model" in the reference manual for more
details and an example
[8] http://www.dynare.org/DynareWiki/RemovingTrends
[9] http://www.dynare.org/DynareWiki/ExternalFunctions
[10] http://www.dynare.org/DynareWiki/DsgeVar
[11] http://www.dynare.org/DynareWiki/ShockDecomposition
[12] http://www.dynare.org/DynareWiki/AuxiliaryVariables
On behalf of the Dynare team,
--
Sébastien Villemot
CEPREMAP - Paris School of Economics
Homepage: http://www.dynare.org/sebastien
Landline phone: +33 1 40 77 49 90
SIP phone: sebastien.villemot(a)ekiga.net
PGP Key: 0xA6C029B9D06B2913D71C105EBE37E801FB6EFF8B (http://pgp.mit.edu/)
The European Research (FP7) project MONFISPOL (www.monfispol.eu), to
which Dynare is associated, is organizing a workshop on Optimal Monetary
and Fiscal Policy in Stresa, Italy, on March 11 and 12, 2010.
The program includes:
* E. Faia and R. Winkler "Fiscal policy with Search and Matching
Frictions"
* A. Marcet TBA
* N. Iskrev and M. Ratto "Identification in DSGE models"
* P. Levine and J. Pearlman "Endogenous Persistence in an Estimated
DSGE model under Imperfect Information"
* S. Schmidt "A New Comparative Approach to Macroeconomic Modeling
and Policy Analysis: Current State"
* M. Juillard " Computing Optimal Policy with Dynare"
Location:
Grand Hotel des Iles Borromees
Corso Umberto I, 67
28838 Stresa
Italy
Transportation from Malpensa Airport will be arranged.
People interested in participating to the workshop should contact
hanane.bahala(a)ens.fr
with kind regards,
Michel
Dear Friends,
the Dynare team wishes you a very happy new year! Here are some news:
* the 6th DYNARE CONFERENCE will be hosted by the Bank of Finland
in Helsinki, June 3-4, 2010. Plenary speakers will be Fabio Canova
and Tom Sargent. The call for paper is available at
http://www.dynare.org/events/6th-dynare-conference. Deadline for
submission: February 15, 2010.
* the DYNARE SUMMER SCHOOL will take place in Paris, June 28-July2,
2010. Roger Farmer will be guest lecturer. Details are available
at http://www.dynare.org/events/dynare-summer-school-2010.
Deadline for application: March 31, 2010.
* the 16th International Conference on Computing in Economics and
Finance, will take place at the City University of London, July
15-18, 2010. As previous year, we will organize DSGE modeling
sessions. If you want to participate assign your submission to
Michel Juillard. Details for the Conference are available at
http://www.city.ac.uk/economics/SCE/ Deadline for submissions:
January 31, 2010
* We have released Dynare 4.1.0.The most noticeable new features are:
* Third order approximation of stochastic models
* Faster computation of deterministic simulations and steady state
on big models (using block decomposition)
* Support of estimation with missing observations (/i.e./ some
variables may not have observable data at all periods)
* Incorporation of the Anderson-Moore Algorithm (AIM)
<http://www.federalreserve.gov/Pubs/oss/oss4/aimindex.html> to
compute the decision rules, as an option
* Leads and lags are now allowed on exogenous variables
* New operator to specify steady state value of a variable inside
the model
* New operator to take the expectancy of a variable at another date
than the current one
* Possibility of creating a LaTeX output file containing the model
equations
All users are therefore strongly encouraged to upgrade to this new
version. More details at http://www.dynare.org/news/release-of-dynare-4.1.0
* During 2009, we have migrated the server to http://www.dynare.org.
Notice that the download section has changed and that "News" and
"Events" are now in two separate sections of the web site.
Cheers,
Michel
1) The 15th International Conference on Computing in Economics and
Finance takes place in Sydney, Jul 15--17, 2009. See
http://www.cef.uts.edu.au/
We will organize sessions on DSGE models and Dynare modeling. Please
submit you abstract with a description of the computational content of
your paper BEFORE January 31st at
https://editorialexpress.com/cgi-bin/conference/conference.cgi?action=login…
On the eve of the conference, on July 13th, there will be a one day
Dynare workshop (free of charge for conference participants)
2) Computational Management Science Conference, Geneva, May 1-3, 2009.
http://www.cms2009.unige.ch/
We will try to organize one or two session on DSGE modeling. If you are
interested in participating, please send me an abstract.
All the best,
Michel