forked from albop/dynare
/
NEWS
2286 lines (1447 loc) · 81.9 KB
/
NEWS
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
306
307
308
309
310
311
312
313
314
315
316
317
318
319
320
321
322
323
324
325
326
327
328
329
330
331
332
333
334
335
336
337
338
339
340
341
342
343
344
345
346
347
348
349
350
351
352
353
354
355
356
357
358
359
360
361
362
363
364
365
366
367
368
369
370
371
372
373
374
375
376
377
378
379
380
381
382
383
384
385
386
387
388
389
390
391
392
393
394
395
396
397
398
399
400
401
402
403
404
405
406
407
408
409
410
411
412
413
414
415
416
417
418
419
420
421
422
423
424
425
426
427
428
429
430
431
432
433
434
435
436
437
438
439
440
441
442
443
444
445
446
447
448
449
450
451
452
453
454
455
456
457
458
459
460
461
462
463
464
465
466
467
468
469
470
471
472
473
474
475
476
477
478
479
480
481
482
483
484
485
486
487
488
489
490
491
492
493
494
495
496
497
498
499
500
501
502
503
504
505
506
507
508
509
510
511
512
513
514
515
516
517
518
519
520
521
522
523
524
525
526
527
528
529
530
531
532
533
534
535
536
537
538
539
540
541
542
543
544
545
546
547
548
549
550
551
552
553
554
555
556
557
558
559
560
561
562
563
564
565
566
567
568
569
570
571
572
573
574
575
576
577
578
579
580
581
582
583
584
585
586
587
588
589
590
591
592
593
594
595
596
597
598
599
600
601
602
603
604
605
606
607
608
609
610
611
612
613
614
615
616
617
618
619
620
621
622
623
624
625
626
627
628
629
630
631
632
633
634
635
636
637
638
639
640
641
642
643
644
645
646
647
648
649
650
651
652
653
654
655
656
657
658
659
660
661
662
663
664
665
666
667
668
669
670
671
672
673
674
675
676
677
678
679
680
681
682
683
684
685
686
687
688
689
690
691
692
693
694
695
696
697
698
699
700
701
702
703
704
705
706
707
708
709
710
711
712
713
714
715
716
717
718
719
720
721
722
723
724
725
726
727
728
729
730
731
732
733
734
735
736
737
738
739
740
741
742
743
744
745
746
747
748
749
750
751
752
753
754
755
756
757
758
759
760
761
762
763
764
765
766
767
768
769
770
771
772
773
774
775
776
777
778
779
780
781
782
783
784
785
786
787
788
789
790
791
792
793
794
795
796
797
798
799
800
801
802
803
804
805
806
807
808
809
810
811
812
813
814
815
816
817
818
819
820
821
822
823
824
825
826
827
828
829
830
831
832
833
834
835
836
837
838
839
840
841
842
843
844
845
846
847
848
849
850
851
852
853
854
855
856
857
858
859
860
861
862
863
864
865
866
867
868
869
870
871
872
873
874
875
876
877
878
879
880
881
882
883
884
885
886
887
888
889
890
891
892
893
894
895
896
897
898
899
900
901
902
903
904
905
906
907
908
909
910
911
912
913
914
915
916
917
918
919
920
921
922
923
924
925
926
927
928
929
930
931
932
933
934
935
936
937
938
939
940
941
942
943
944
945
946
947
948
949
950
951
952
953
954
955
956
957
958
959
960
961
962
963
964
965
966
967
968
969
970
971
972
973
974
975
976
977
978
979
980
981
982
983
984
985
986
987
988
989
990
991
992
993
994
995
996
997
998
999
1000
Announcement for Dynare 4.5.7 (on 2019-02-06)
=============================================
We are pleased to announce the release of Dynare 4.5.7.
This is a bugfix release.
The Windows packages are already available for download at:
http://www.dynare.org/download/dynare-stable
The Mac and GNU/Linux packages (for Debian and Ubuntu LTS) should follow soon.
This release is compatible with MATLAB versions 7.5 (R2007b) to 9.4 (R2018b)
and with GNU Octave versions 4.4.1.
Here is a list of the problems identified in version 4.5.6 and that have been
fixed in version 4.5.7:
- The mex-file conducting the QZ decomposition erroneously applied
the `qz_criterium` to the square absolute value of eigenvalues
instead of the absolute value itself (as done in mjdgges.m and the
AIM solver).
- In pathological cases, `mode_compute=5` (`newrat`) might enter an
infinite loop.
- `discretionary_policy` might erroneously state that the derivatives
of the objective function are non-zero if there are NaN present.
- Dynare++, when conducting the QZ decomposition, erroneously applied
the `qz_criterium` to the square absolute value of eigenvalues
instead of the absolute value itself.
- Dynare++: IRFs were incorrectly computed.
- `dynare_sensitivity` did not display the figures of
`irf_calibration`, it only stored them on the disk.
- Scatter plots generated by `dynare_sensitivity` did not correctly
display LaTeX names.
- Parameter updating via steady state files did not correctly work in
case of using [static]/[dynamic] equation tags.
- Memory leaks in `k_order_pert` (used by higher order stochastic
simulations) could lead to crashes.
- Predetermined variables were not properly set when used in model
local variables.
- Posterior moment computation did not correctly update the
covariance matrix of exogenous shocks during posterior sampling.
- Dynare was crashing with a cryptic message if a non estimated
parameter was initialized in the `estimated_params_init` block.
- The `forecast` command crashed if the model was declared as linear
and contained deterministic exogenous variables.
- Block decomposition is broken when used in conjunction with
`varexo_det`.
- The model was not correctly specified when `identification` was run
without another stochastic command in the `.mod` file
(e.g. `estimation`, `stoch_simul`, etc.).
- Realtime annualized shock decompositions added the wrong steady state
value.
- `mh_recover` option crashed when using slice sampler.
- x-axis values in plots of moment restrictions were wrong for
autocovariances.
Announcement for Dynare 4.5.6 (on 2018-07-25)
=============================================
We are pleased to announce the release of Dynare 4.5.6.
This is a bugfix release.
The Windows packages are already available for download at:
http://www.dynare.org/download/dynare-stable
The Mac and GNU/Linux packages (for Debian and Ubuntu LTS) should follow soon.
This release is compatible with MATLAB versions 7.5 (R2007b) to 9.4 (R2018a)
and with GNU Octave versions 4.4.
Here is a list of the problems identified in version 4.5.5 and that have been
fixed in version 4.5.6:
- TaRB sampler: incorrect last posterior was returned if the last draw was
rejected.
- Fixed online particle filter by drawing initial conditions in the prior
distribution.
- Fixed evaluation of the likelihood in non linear / particle filters.
- Added missing documented `montecarlo` option in Gaussian Filter and
Nonlinear Kalman Filter.
- Added back a flag to deal with errors on Cholesky decomposition in the
Conditional Particle Filter.
- Macroprocessor `length()` operator was returning 1 when applied to a
string. Macroprocessor now raises an error when `length()` operator is
called on an integer and return the number of characters when applied to a
string.
- `mode_compute=8`: the error code during mode-finding was not correctly
handled, resulting in crashes.
- Identification was not correctly displaying a message for collinear parameters
if there was no unidentified parameter present.
Announcement for Dynare 4.5.5 (on 2018-06-08)
=============================================
We are pleased to announce the release of Dynare 4.5.5.
This is a bugfix release.
The Windows packages are already available for download at:
http://www.dynare.org/download/dynare-stable
The Mac and GNU/Linux packages (for Debian and Ubuntu LTS) should follow soon.
This release is compatible with MATLAB versions 7.5 (R2007b) to 9.4 (R2018a)
and with GNU Octave versions 4.2.
Here is a list of the problems identified in version 4.5.4 and that have been
fixed in version 4.5.5:
- Identification was crashing during prior sampling if `ar` was initially too
low.
- The `align` method on `dseries` did not return a functional second `dseries`
output.
- Predetermined variables were not properly set when used in model local
variables.
- `perfect_foresight_solver` with option `stack_solve_algo=7` was not working
correctly when an exogenous variable has a lag greater than 1.
- `identification` with `prior_mc` option would crash if the number of moments
with non-zero derivative is smaller than the number of parameters.
- Calling several times `normcdf` or `normpdf` with the same arguments in a
model with block decomposition (but not bytecode) was leading to incorrect
results.
Announcement for Dynare 4.5.4 (on 2018-01-29)
=============================================
We are pleased to announce the release of Dynare 4.5.4.
This is a bugfix release.
The Windows packages are already available for download at:
http://www.dynare.org/download/dynare-stable
The Mac and GNU/Linux packages (for Debian and Ubuntu LTS) should follow soon.
This release is compatible with MATLAB versions 7.5 (R2007b) to 9.3 (R2017b)
and with GNU Octave versions 4.2.
Here is a list of the problems identified in version 4.5.3 and that have been
fixed in version 4.5.4:
- The `type` option of `plot_shock_decomposition` was always set to `qoq` regardless of what is specified.
- Bug in GSA when no parameter was detected below pvalue threshold.
- Various bug fixes in shock decompositions.
- Bug in reading in macro arrays passed on `dynare` command line via the `-D` option.
- Estimation with missing values was crashing if the `prefilter` option was used.
- Added a workaround for a difference in behaviour between Octave and Matlab regarding the creation
of function handles for functions that do not exist in the path. With Octave 4.2.1, steady state
files did not work if no auxiliary variables were created.
- The `stoch_simul` command was crashing with a cryptic message if option `order=3` was used without
setting `k_order_solver`.
- In cases where the prior bounds are infinite and the mode is estimated at exactly 0, no `mode_check`
graphs were displayed.
- Parallel execution of MCMC was broken in models without auxiliary variables.
- Reading data with column names from Excel might crash.
- The multivariate Kalman smoother was crashing in case of missing data in the observations and
`Finf` became singular.
- The `plot_shock_decomposition` command ignored various user-defined options like `fig_name`,
`use_shock_groups` or `interactive` and instead used the default options.
- Nested `@#ifdef` and `@#ifndef` statements don't work in the macroprocessor.
Announcement for Dynare 4.5.3 (on 2017-10-19)
=============================================
We are pleased to announce the release of Dynare 4.5.3.
This is a bugfix release. It comes less than 24 hours after the previous release,
because version 4.5.2 was affected by a critical bug for MATLAB older than R2016b.
The Windows packages are already available for download at:
http://www.dynare.org/download/dynare-stable
The Mac and GNU/Linux packages (for Debian and Ubuntu LTS) should follow soon.
This release is compatible with MATLAB versions 7.5 (R2007b) to 9.3 (R2017b)
and with GNU Octave versions 4.2.
Here is a list of the problems identified in version 4.5.2 and that have been
fixed in version 4.5.3:
- `isfile` routine was failing with matlab older than R2016b. This bug did not
affect Octave.
Announcement for Dynare 4.5.2 (on 2017-10-19)
=============================================
We are pleased to announce the release of Dynare 4.5.2.
This is a bugfix release.
The Windows packages are already available for download at:
http://www.dynare.org/download/dynare-stable
The Mac and GNU/Linux packages (for Debian and Ubuntu LTS) should follow soon.
This release is compatible with MATLAB versions 7.5 (R2007b) to 9.3 (R2017b)
and with GNU Octave versions 4.2.
Here is a list of the problems identified in version 4.5.1 and that have been
fixed in version 4.5.2:
- Fixed bug in perfect foresight solver:
+ If expected shocks were declared after the terminal period, as specified
by the `periods` option, Dynare was crashing.
+ Models declared with the `linear` option were crashing if exogenous
variables were present with a lead or lag.
- After ML or Bayesian estimation when the smoother option or `mh_replic=0`
were not specified, not all smoothed measurement errors were displayed.
- Fixed error in reference manual about the `conditional_forecasts` command.
- Fixed smoother behaviour, provide informative error instead of crashing when
model cannot be solved.
- The `nopathchange` preprocessor option was always triggered, regardless of
whether it was passed or not.
- When `ramsey_policy` is used, allow state variables to be set in `histval`
block.
- `histval` erroneously accepted leads, leading to cryptic crashes.
- The prior MC draws from previous runs were not deleted, potentially
resulting in loading stale files.
- `estim_params_` was being declared `global` more than once.
- Fixed crashes happening when simulating linear models with order>1.
- Make empirical moments independent of `simul_replic`, as stated in the
reference manual, by outputting moments computed with the first simulated
sample.
- The `prior_function` required a preceding `estimation`-command to properly
set up the prior.
- If the mode for a parameter was at exactly 0, `mode_check` was crashing.
- Fixed `get_posterior_parameters`-routine which should not do more than
getting parameters. As a consequense, the `shock_decomposition`-command
did not correctly set the `parameter_set` for use in subsequent function
calls if shocks are correlated or measurement error is present.
- Fixed bug in Ramsey problem with constraints both on a policy instrument and
another variable. Note that the constraint on a variable that is not an
instrument of the Ramsey problem must be written with an equation tag in the
model block.
- Fixed bug in Ramsey problem with constraints on policy instrument.
- Fixed crash with optimizer 5 when not used with DSGE model at order 1.
- Fixed mex file used for third order approximation (was crashing on
Matlab/Windows 7).
Announcement for Dynare 4.5.1 (on 2017-08-24)
=============================================
We are pleased to announce the release of Dynare 4.5.1.
This is a bugfix release.
The Windows packages are already available for download at:
http://www.dynare.org/download/dynare-stable
The Mac and GNU/Linux packages (for Debian and Ubuntu LTS) should follow soon.
This release is compatible with MATLAB versions 7.5 (R2007b) to 9.2 (R2017a)
and with GNU Octave versions 4.2.
Here is a list of the problems identified in version 4.5.0 and that have been
fixed in version 4.5.1:
- Fixed out of memory issue with simpsa optimization algorithm.
- Added missing plots for measurement errors with `generate_trace_plot`
command.
- Posterior moments after MCMC for very big models were not correctly computed
and their plotting might crash Dynare.
- Results of the posterior conditional variance decomposition after MCMC were
not correctly computed.
- Options `use_shock_groups` and `colormap` of the `shock_decomposition`
command were not working.
- Added a clean error message if sensitivity toolbox is used with recursive
estimation.
- Computation of posterior filtered variables was crashing in models with only
one variable.
- Fixed various typos and errors in the reference manual.
Announcement for Dynare 4.5.0 (on 2017-06-11)
=============================================
We are pleased to announce the release of Dynare 4.5.0.
This major release adds new features and fixes various bugs.
The Windows packages are already available for download at:
http://www.dynare.org/download/dynare-stable
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 7.5 (R2007b) to
9.2 (R2017a) and with GNU Octave version 4.2.
Here is the list of major user-visible changes:
- Ramsey policy
+ Added command `ramsey_model` that builds the expanded model with
FOC conditions for the planner's problem but doesn't perform any
computation. Usefull to compute Ramsey policy in a perfect
foresight model,
+ `ramsey_policy` accepts multipliers in its variable list and
displays results for them.
- Perfect foresight models
+ New commands `perfect_foresight_setup` (for preparing the
simulation) and `perfect_foresight_solver` (for computing it). The
old `simul` command still exist and is now an alias for
`perfect_foresight_setup` + `perfect_foresight_solver`. It is no
longer possible to manipulate by hand the contents of
`oo_.exo_simul` when using `simul`. People who want to do
it must first call `perfect_foresight_setup`, then do the
manipulations, then call `perfect_foresight_solver`,
+ By default, the perfect foresight solver will try a homotopy
method if it fails to converge at the first try. The old behavior
can be restored with the `no_homotopy` option,
+ New option `stack_solve_algo=7` that allows specifying a
`solve_algo` solver for solving the model,
+ New option `solve_algo` that allows specifying a solver for
solving the model when using `stack_solve_algo=7`,
+ New option `lmmcp` that solves the model via a Levenberg-Marquardt
mixed complementarity problem (LMMCP) solver,
+ New option `robust_lin_solve` that triggers the use of a robust
linear solver for the default `solve_algo=4`,
+ New options `tolf` and `tolx` to control termination criteria of
solvers,
+ New option `endogenous_terminal_period` to `simul`,
+ Added the possibility to set the initial condition of the
(stochastic) extended path simulations with the histval block.
- Optimal simple rules
+ Saves the optimal value of parameters to `oo_.osr.optim_params`,
+ New block `osr_params_bounds` allows specifying bounds for the
estimated parameters,
+ New option `opt_algo` allows selecting different optimizers while
the new option `optim` allows specifying the optimizer options,
+ The `osr` command now saves the names, bounds, and indices for the
estimated parameters as well as the indices and weights of the
variables entering the objective function into `M_.osr`.
- Forecasts and Smoothing
+ The smoother and forecasts take uncertainty about trends and means
into account,
+ Forecasts accounting for measurement error are now saved in fields
of the form `HPDinf_ME` and `HPDsup_ME`,
+ New fields `oo_.Smoother.Trend` and `oo_.Smoother.Constant` that
save the trend and constant parts of the smoothed variables,
+ new field `oo_.Smoother.TrendCoeffs` that stores the trend
coefficients.
+ Rolling window forecasts allowed in `estimation` command by
passing a vector to `first_obs`,
+ The `calib_smoother` command now accepts the `loglinear`,
`prefilter`, `first_obs` and `filter_decomposition` options.
- Estimation
+ New options: `logdata`, `consider_all_endogenous`,
`consider_only_observed`, `posterior_max_subsample_draws`,
`mh_conf_sig`, `diffuse_kalman_tol`, `dirname`, `nodecomposition`
+ `load_mh_file` and `mh_recover` now try to load chain's proposal density,
+ New option `load_results_after_load_mh` that allows loading some
posterior results from a previous run if no new MCMC draws are
added,
+ New option `posterior_nograph` that suppresses the generation of
graphs associated with Bayesian IRFs, posterior smoothed objects,
and posterior forecasts,
+ Saves the posterior density at the mode in
`oo_.posterior.optimization.log_density`,
+ The `filter_covariance` option now also works with posterior
sampling like Metropolis-Hastings,
+ New option `no_posterior_kernel_density` to suppress computation
of kernel density of posterior objects,
+ Recursive estimation and forecasting now provides the individual
`oo_` structures for each sample in `oo_recursive_`,
+ The `trace_plot` command can now plot the posterior density,
+ New command `generate_trace_plots` allows generating all trace
plots for one chain,
+ New commands `prior_function` and `posterior_function` that
execute a user-defined function on parameter draws from the
prior/posterior distribution,
+ New option `huge_number` for replacement of infinite bounds with
large number during `mode_compute`,
+ New option `posterior_sampling_method` allows selecting the new
posterior sampling options:
`tailored_random_block_metropolis_hastings` (Tailored randomized
block (TaRB) Metropolis-Hastings), `slice` (Slice sampler),
`independent_metropolis_hastings` (Independent
Metropolis-Hastings),
+ New option `posterior_sampler_options` that allow controlling the
options of the `posterior_sampling_method`, its `scale_file`-option
pair allows loading the `_mh_scale.mat`-file storing the tuned
scale factor from a previous run of `mode_compute=6`,
+ New option `raftery_lewis_diagnostics` that computes Raftery/Lewis
(1992) convergence diagnostics,
+ New option `fast_kalman_filter` that provides fast Kalman filter
using Chandrasekhar recursions as described in Ed Herbst (2015),
+ The `dsge_var` option now saves results at the posterior mode into
`oo_.dsge_var`,
+ New option `smoothed_state_uncertainty` to provide the uncertainty
estimate for the smoothed state estimate from the Kalman smoother,
+ New prior density: generalized Weibull distribution,
+ Option `mh_recover` now allows continuing a crashed chain at the
last save mh-file,
+ New option `nonlinear_filter_initialization` for the
`estimation` command. Controls the initial covariance matrix
of the state variables in nonlinear filters.
+ The `conditional_variance_decomposition` option now displays
output and stores it as a LaTeX-table when the `TeX` option is
invoked,
+ The `use_calibration` to `estimated_params_init` now also works
with ML,
+ Improved initial estimation checks.
- Steady state
+ The default solver for finding the steady state is now a
trust-region solver (can be triggered explicitly with option
`solve_algo=4`),
+ New options `tolf` and `tolx` to control termination criteria of
solver,
+ The debugging mode now provides the termination values in steady
state finding.
- Stochastic simulations
+ New options `nodecomposition`,
+ New option `bandpass_filter` to compute bandpass-filtered
theoretical and simulated moments,
+ New option `one_sided_hp_filter` to compute one-sided HP-filtered
simulated moments,
+ `stoch_simul` displays a simulated variance decomposition when
simulated moments are requested,
+ `stoch_simul` saves skewness and kurtosis into respective fields
of `oo_` when simulated moments have been requested,
+ `stoch_simul` saves the unconditional variance decomposition in
`oo_.variance_decomposition`,
+ New option `dr_display_tol` that governs omission of small terms
in display of decision rules,
+ The `stoch_simul` command now prints the displayed tables as LaTeX
code when the new `TeX` option is enabled,
+ The `loglinear` option now works with lagged and leaded exogenous
variables like news shocks,
+ New option `spectral_density` that allows displaying the spectral
density of (filtered) endogenous variables,
+ New option `contemporaneous_correlation` that allows saving
contemporaneous correlations in addition to the covariances.
- Identification
+ New options `diffuse_filter` and `prior_trunc`,
+ The `identification` command now supports correlations via
simulated moments,
- Sensitivity analysis
+ New blocks `irf_calibration` and `moment_calibration`,
+ Outputs LaTeX tables if the new `TeX` option is used,
+ New option `relative_irf` to `irf_calibration` block.
- Conditional forecast
+ Command `conditional_forecast` now takes into account `histval`
block if present.
- Shock decomposition
+ New option `colormap` to `shocks_decomposition` for controlling
the color map used in the shocks decomposition graphs,
+ `shocks_decomposition` now accepts the `nograph` option,
+ New command `realtime_shock_decomposition` that for each period `T= [presample,...,nobs]`
allows computing the:
* realtime historical shock decomposition `Y(t|T)`, i.e. without observing data in `[T+1,...,nobs]`
* forecast shock decomposition `Y(T+k|T)`
* realtime conditional shock decomposition `Y(T+k|T+k)-Y(T+k|T)`
+ New block `shock_groups` that allows grouping shocks for the
`shock_decomposition` and `realtime_shock_decomposition` commands,
+ New command `plot_shock_decomposition` that allows plotting the
results from `shock_decomposition` and
`realtime_shock_decomposition` for different vintages and shock
groupings.
- Macroprocessor
+ Can now pass a macro-variable to the `@#include` macro directive,
+ New preprocessor flag `-I`, macro directive `@#includepath`, and
dynare config file block `[paths]` to pass a search path to the
macroprocessor to be used for file inclusion via `@#include`.
- Command line
+ New option `onlyclearglobals` (do not clear JIT compiled functions
with recent versions of Matlab),
+ New option `minimal_workspace` to use fewer variables in the
current workspace,
+ New option `params_derivs_order` allows limiting the order of the
derivatives with respect to the parameters that are calculated by
the preprocessor,
+ New command line option `mingw` to support the MinGW-w64 C/C++
Compiler from TDM-GCC for `use_dll`.
- dates/dseries/reporting classes
+ New methods `abs`, `cumprod` and `chain`,
+ New option `tableRowIndent` to `addTable`,
+ Reporting system revamped and made more efficient, dependency on
matlab2tikz has been dropped.
- Optimization algorithms
+ `mode_compute=2` Uses the simulated annealing as described by
Corana et al. (1987),
+ `mode_compute=101` Uses SOLVEOPT as described by Kuntsevich and
Kappel (1997),
+ `mode_compute=102` Uses `simulannealbnd` from Matlab's Global
Optimization Toolbox (if available),
+ New option `silent_optimizer` to shut off output from mode
computing/optimization,
+ New options `verbosity` and `SaveFiles` to control output and
saving of files during mode computing/optimization.
- LaTeX output
+ New command `write_latex_original_model`,
+ New option `write_equation_tags` to `write_latex_dynamic_model`
that allows printing the specified equation tags to the generate
LaTeX code,
+ New command `write_latex_parameter_table` that writes the names and
values of model parameters to a LaTeX table,
+ New command `write_latex_prior_table` that writes the descriptive
statistics about the prior distribution to a LaTeX table,
+ New command `collect_latex_files` that creates one compilable LaTeX
file containing all TeX-output.
- Misc.
+ Provides 64bit preprocessor,
+ Introduces new path management to avoid conflicts with other
toolboxes,
+ Full compatibility with Matlab 2014b's new graphic interface,
+ When using `model(linear)`, Dynare automatically checks
whether the model is truly linear,
+ `usedll`, the `msvc` option now supports `normcdf`, `acosh`,
`asinh`, and `atanh`,
+ New parallel option `NumberOfThreadsPerJob` for Windows nodes that
sets the number of threads assigned to each remote MATLAB/Octave
run,
+ Improved numerical performance of
`schur_statespace_transformation` for very large models,
+ The `all_values_required` option now also works with `histval`,
+ Add missing `horizon` option to `ms_forecast`,
+ BVAR now saves the marginal data density in
`oo_.bvar.log_marginal_data_density` and stores prior and
posterior information in `oo_.bvar.prior` and
`oo_.bvar.posterior`.
* Bugs and problems identified in version 4.4.3 and that have been fixed in version 4.5.0:
- BVAR models
+ `bvar_irf` could display IRFs in an unreadable way when they moved from
negative to positive values,
+ In contrast to what is stated in the documentation, the confidence interval
size `conf_sig` was 0.6 by default instead of 0.9.
- Conditional forecasts
+ The `conditional_forecast` command produced wrong results in calibrated
models when used at initial values outside of the steady state (given with
`initval`),
+ The `plot_conditional_forecast` option could produce unreadable figures if
the areas overlap,
+ The `conditional_forecast` command after MLE crashed,
+ In contrast to what is stated in the manual, the confidence interval size
`conf_sig` was 0.6 by default instead of 0.8.
+ Conditional forecasts were wrong when the declaration of endogenous
variables was not preceeding the declaration of the exogenous
variables and parameters.
- Discretionary policy
+ Dynare allowed running models where the number of instruments did not match
the number of omitted equations,
+ Dynare could crash in some cases when trying to display the solution,
+ Parameter dependence embedded via a `steady_state` was not taken into
account, typically resulting in crashes.
- dseries class
+ When subtracting a dseries object from a number, the number was instead
subtracted from the dseries object.
- DSGE-VAR models
+ Dynare crashed when estimation encountered non-finite values in the Jacobian
at the steady state,
+ The presence of a constant was not considered for degrees of freedom
computation of the Gamma function used during the posterior computation; due
to only affecting the constant term, results should be be unaffected, except
for model_comparison when comparing models with and without.
- Estimation command
+ In contrast to what was stated in the manual, the confidence interval size
`conf_sig` for `forecast` without MCMC was 0.6 by default instead of 0.9,
+ Calling estimation after identification could lead to crashes,
+ When using recursive estimation/forecasting and setting some elements of
`nobs` to be larger than the number of observations T in the data,
`oo_recursive_` contained additional cell entries that simply repeated the
results obtained for `oo_recursive_T`,
+ Computation of Bayesian smoother could crash for larger models when
requesting `forecast` or `filtered_variables`,
+ Geweke convergence diagnostics were not computed on the full MCMC chain when
the `load_mh_file` option was used,
+ The Geweke convergence diagnostics always used the default `taper_steps` and
`geweke_interval`,
+ Bayesian IRFs (`bayesian_irfs` option) could be displayed in an unreadable
way when they move from negative to positive values,
+ If `bayesian_irfs` was requested when `mh_replic` was too low to compute
HPDIs, plotting was crashing,
+ The x-axis value in `oo_.prior_density` for the standard deviation and
correlation of measurement errors was written into a field
`mearsurement_errors_*` instead of `measurement_errors_*`,
+ Using a user-defined `mode_compute` crashed estimation,
+ Option `mode_compute=10` did not work with infinite prior bounds,
+ The posterior variances and covariances computed by `moments_varendo` were
wrong for very large models due to a matrix erroneously being filled up with
zeros,
+ Using the `forecast` option with `loglinear` erroneously added the unlogged
steady state,
+ When using the `loglinear` option the check for the presence of a constant
was erroneously based on the unlogged steady state,
+ Estimation of `observation_trends` was broken as the trends specified as a
function of deep parameters were not correctly updated during estimation,
+ When using `analytic_derivation`, the parameter values were not set before
testing whether the steady state file changes parameter values, leading to
subsequent crashes,
+ If the steady state of an initial parameterization did not solve, the
observation equation could erroneously feature no constant when the
`use_calibration` option was used,
+ When computing posterior moments, Dynare falsely displayed that moment
computations are skipped, although the computation was performed correctly,
+ If `conditional_variance_decomposition` was requested, although all
variables contain unit roots, Dynare crashed instead of providing an error
message,
+ Computation of the posterior parameter distribution was erroneously based
on more draws than specified (there was one additional draw for every Markov
chain),
+ The estimation option `lyapunov=fixed_point` was broken,
+ Computation of `filtered_vars` with only one requested step crashed Dynare,
+ Option `kalman_algo=3` was broken with non-diagonal measurement error,
+ When using the diffuse Kalman filter with missing observations, an additive
factor log(2*pi) was missing in the last iteration step,
+ Passing of the `MaxFunEvals` and `InitialSimplexSize` options to
`mode_compute=8` was broken,
+ Bayesian forecasts contained initial conditions and had the wrong length in
both plots and stored variables,
+ Filtered variables obtained with `mh_replic=0`, ML, or
`calibrated_smoother` were padded with zeros at the beginning and end and
had the wrong length in stored variables,
+ Computation of smoothed measurement errors in Bayesian estimation was broken,
+ The `selected_variables_only` option (`mh_replic=0`, ML, or
`calibrated_smoother`) returned wrong results for smoothed, updated, and
filtered variables,
+ Combining the `selected_variables_only` option with forecasts obtained
using `mh_replic=0`, ML, or `calibrated_smoother` leaded to crashes,
+ `oo_.UpdatedVariables` was only filled when the `filtered_vars` option was specified,
+ When using Bayesian estimation with `filtered_vars`, but without
`smoother`, then `oo_.FilteredVariables` erroneously also contained filtered
variables at the posterior mean as with `mh_replic=0`,
+ Running an MCMC a second time in the same folder with a different number of
iterations could result in crashes due to the loading of stale files,
+ Results displayed after Bayesian estimation when not specifying
the `smoother` option were based on the parameters at the mode
from mode finding instead of the mean parameters from the
posterior draws. This affected the smoother results displayed, but
also calls to subsequent command relying on the parameters stored
in `M_.params` like `stoch_simul`,
+ The content of `oo_.posterior_std` after Bayesian estimation was based on
the standard deviation at the posterior mode, not the one from the MCMC, this
was not consistent with the reference manual,
+ When the initialization of an MCMC run failed, the metropolis.log file was
locked, requiring a restart of Matlab to restart estimation,
+ If the posterior mode was right at the corner of the prior bounds, the
initialization of the MCMC erroneously crashed,
+ If the number of dropped draws via `mh_drop` coincided with the number of
draws in a `_mh'-file`, `oo_.posterior.metropolis.mean` and
`oo_.posterior.metropolis.Variance` were NaN.
- Estimation and calibrated smoother
+ When using `observation_trends` with the `prefilter` option, the mean shift
due to the trend was not accounted for,
+ When using `first_obs`>1, the higher trend starting point of
`observation_trends` was not taken into account, leading, among other things,
to problems in recursive forecasting,
+ The diffuse Kalman smoother was crashing if the forecast error variance
matrix becomes singular,
+ The multivariate Kalman smoother provided incorrect state estimates when
all data for one observation are missing,
+ The multivariate diffuse Kalman smoother provided incorrect state estimates
when the `Finf` matrix becomes singular,
+ The univariate diffuse Kalman filter was crashing if the initial covariance
matrix of the nonstationary state vector is singular,
- Forecats
+ In contrast to what is stated in the manual, the confidence interval size
`conf_sig` was 0.6 by default instead of 0.9.
+ Forecasting with exogenous deterministic variables provided wrong decision
rules, yielding wrong forecasts.
+ Forecasting with exogenous deterministic variables crashed when the
`periods` option was not explicitly specified,
+ Option `forecast` when used with `initval` was using the initial values in
the `initval` block and not the steady state computed from these initial
values as the starting point of forecasts.
- Global Sensitivity Analysis
+ Sensitivity with ML estimation could result in crashes,
+ Option `mc` must be forced if `neighborhood_width` is used,
+ Fixed dimension of `stock_logpo` and `stock_ys`,
+ Incomplete variable initialization could lead to crashes with `prior_range=1`.
- Indentification
+ Identification did not correctly pass the `lik_init` option,
requiring the manual setting of `options_.diffuse_filter=1` in
case of unit roots,
+ Testing identification of standard deviations as the only
parameters to be estimated with ML leaded to crashes,
+ Automatic increase of the lag number for autocovariances when the
number of parameters is bigger than the number of non-zero moments
was broken,
+ When using ML, the asymptotic Hessian was not computed,