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Release of Dynare 4.2.0
by Sébastien Villemot 15 Feb '11

15 Feb '11

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/)

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[Dynare-l] MONFISPOL workshop
by Michel Juillard 07 Feb '10

07 Feb '10

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

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[Dynare-l] DYNARE NEWS
by Michel Juillard 17 Jan '10

17 Jan '10

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

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[Dynare-l] upcoming conferences
by Michel Juillard 25 Jan '09

25 Jan '09

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

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