Quick search. The Dynare Reference Manual, version 4. Introduction 1. What is Dynare? Documentation sources 1. Citing Dynare in your research 2.

Author:Shaktitilar Kegrel
Language:English (Spanish)
Published (Last):22 April 2007
PDF File Size:6.83 Mb
ePub File Size:5.47 Mb
Price:Free* [*Free Regsitration Required]

List of FiguresviiBibliography 93List of Figures1. Work in Progress! This is the second version of the Dynare User Guide which is still work inprogress! This means two things. First, please read this with a critical eyeand send me comments! Are some areas unclear? Is anything plain wrong?

Are some sections too wordy, are there enough examples, are these clear? Onthe contrary, are there certain parts that just click particularly well? How canothers be improved?

The second thing that a work in progress manuscript comes with is a fewinternal notes. These are mostly placeholders for future work, notes to myselfor others of the Dynare development team, or at times notes to you - our readers- to highlight a feature not yet fully stable.

Thanks very much for your patience and good ideas. Please write eitherdireclty to myself: tommaso. Anderson, F. Collard, L. Ingber, O. Kamenik, P. Sakata, F. Schorfheide, C. Sims, P. Soederlind and R. Finally, the development of Dynare could not have come such a long wayswithough an active community of users who continually pose questions, reportbugs and suggest new features. The help of this community is gratefullyacknowledged. The email addresses above are provided in case you wish to contact anyone of the authors of Dynare directly.

We nonetheless encourage you to firstuse the Dynare forums to ask your questions so that other users can benefitfrom them as well; remember, almost no question is specific enough to interestjust one person, and yours is not the exception!

Chapter 1IntroductionWelcome to Dynare! To do so, this Guide is structured around examples and offers practical advice. This Guide will focus on the most common or useful features of the program,thus emphasizing depth over breadth. This Guide is written mainly for an advanced economist - like a professor,graduate student or central banker - needing a powerful and flexibleprogram to support and facilitate his or her research activities in a varietyof fields.

The sophisticated computer programmer, on the one hand, or thespecialist of computational economics, on the other, may not find this Guide sufficiently detailed. This Guide is written to accommodate both. To do1. At thatpoint, though, you will probably find yourself coming back to the User Guide to skim over some of the content in the advanced chapters to iron out detailsand potential complications you may run into.

These chapters covermore advanced features of Dynare and more complicated usage scenarios. Thepresumption is that you would skip around these chapters to focus on the topicsmost applicable to your needs and curiosity.

Examples are therefore moreconcise and specific to each feature; these chapters read a bit more like a referencemanual. We also recognize that you probably have had repeated if not active exposureto programming and are likely to have a strong economic background.

Thus, a black box solution to your needs is inadequate. To hopefully addressthis issue, the User Guide goes into some depth in covering the theoreticalunderpinnings and methodologies that Dynare follows to solveand estimate DSGE models. These chapters can also serve as a basic primerif you are new to the practice of DSGE model solving and Bayesian estimation. Dynare is a powerful and highly customizable engine, with anintuitive front-end interface, to solve, simulate and estimate DSGEmodels.

In slightly less flowery words, it is a pre-processor and a collection of Matlabroutines that has the great advantages of reading DSGE model equationswritten almost as in an academic paper. This not only facilitates the inputtingof a model, but also enables you to easily share your code as it is straightforwardto read by anyone.

Figure 1. Basically, themodel and its related attributes, like a shock structure for instance, is writtenequation by equation in an editor of your choice. The resulting file willbe called the. That file is then called from Matlab. This initiatesthe Dynare pre-processor which translates the. Finally, results are presented in Matlab. Some more details on theinternal files generated by Dynare is given in section 4. Each of these steps will become clear as you read through the User Guide ,but for now it may be helpful to summarize what Dynare is able to do:.

The User Guide will often introduce you to a command in a rather loose manner mainlythrough examples ; so reading corresponding command descriptions inthe Reference Manual is a good idea to cover all relevant details. Besidesallowing you to stay up to date with the most recent papers and possiblymake new contacts, it conveniently lists conferences, workshops andseminars that may be of interest. Many of these are shared with theReference Manual. The following syntaxesare valid: 1.

These must startwith an alphabetical character and can only contain other alphabeticalcharacters and digits, as well as underscores. All other characters,including accents, and spaces, are forbidden. Notethat Matlab requires that names of files or functions start with alphabeticalcharacters; this concerns your Dynare. If, for instance, the option mustbe specified in parenthesis in Dynare, it will show up in the Guide as[ option ].

With respect to version 3, this new version introduces several importantfeatures, as well as improvements, optimizations of routines and bug fixes. This increases computational speedsignificantly. The drawback is that Dynare can now handle only a limitedset of functions, although in nearly all economic applications thisshould not be a constraint.

Recallthat in version 3, variables and parameters where at times in their orderof declaration and at times in alphabetical order. This maycause some problems of backward compatibility if you wrote programsto run off Dynare v3 output. These are enumerated in details in the relevantchapters. The names of the files internally generated by Dynare havealso changed. This is coveredin more details in chapter 3, in section 3.

You willunfortunately have to slightly amend any old steady state files you mayhave written. Several large-scale improvements have been implemented tospeed up Dynare. This should be most noticeable when solving deterministicmodels, but also apparent in other functionality.

Chapter 2Installing Dynare2. There used to be versions of Dynare for Scilab and Gauss. Developmentof the Scilab version stopped after Dynare version 3. This User Guide will exclusively focus on Dynare version 4. If you have questions about thesupport of a particular platform, please ask your question on Dynare forums. Depending onthe type of computations required, like the very processor intensive MetropolisHastings algorithm, you may need up to 1GB of RAM to obtain acceptablecomputational times.

In fact, no additional toolbox is necessary for running most ofDynare, except maybe for optimal simple rules see chapter 9 , but even thenremedies exist see the Dynare forums for discussions on this, or to ask yourparticular question. You may be interested insimply finding the solution functions to a set of first order conditions stemmingfrom your model, but you may also want to go a bit further. Typically, youmay be interested in how this system behaves in response to shocks, whethertemporary or permanent.

Likewise, you may want to explore how the systemcomes back to its steady state or moves to a new one. This chapter covers allthese topics. But instead of skipping to the topic closest to your needs, werecommend that you read this chapter chronologically, to learn basic Dynarecommands and the process of writing a proper.

This distinction will appear throughout the chapter; in fact, it is sofundamental, that we considered writing separate chapters altogether. Butthe amount of common material - Dynare commands and syntax - is notableand writing two chapters would have been overly repetitive. Enough suspense;here is the important question: is your model stochastic or deterministic?

The distinction hinges on whether future shocks are known. In stochastic models, instead,only the distribution of future shocks is known. In a deterministic context, agents willtake their decisions knowing that future values of the innovations will be zeroin all periods to come. In a stochastic context, agents will take their decisions9.

Of course, ifyou consider only a first order linear approximation of the stochastic model,or a linear model, the two cases become practically the same, due to certaintyequivalence.

A second order approximation will instead lead to very differentresults, as the variance of shocks will matter. The solution method for each of these model types differs significantly. Indeterministic models, a highly accurate solution can be found by numericalmethods. The solution is nothing more than a series of numbers that matcha given set of equations.

Intuitively, if an agent has perfect foresight, she canspecify today - at the time of making her decision - what each of her preciseactions will be in the future. In a stochastic environment, instead, the bestthe agent can do is specify a decision, policy or feedback rule for the future:what will her optimal actions be contingent on each possible realization ofshocks.

To complicate things, this function may be non-linearand thus needs to be approximated. Because this distinction will resurface again and again throughout thechapter, but also because it has been a source of significant confusion in thepast, the following gives some additional details.


DYNARE User Guide




Related Articles