Table of Contents
Dynare is a pre-processor and a collection of Matlab, Scilab or Gauss routines which solve, simulate and estimate non-linear models with forward looking variables. It is the result of research carried at CEPREMAP by several people (see Laffargue, 1990, Boucekkine, 1995, and Juillard, 1996, Collard and Juillard 2001a and 2001b).
When the framework is deterministic, Dynare can be used for models with the assumption of perfect foresight. Typically, the system is supposed to be in a state of equilibrium before a period ``1'' when the news of a contemporaneous or of a future shock is learned by the agents in the model. The purpose of the simulation is to describe the reaction in anticipation of, then in reaction to the shock, until the system returns to the old or to a new state of equilibrium. In most models, this return to equilibrium is only an asymptotic phenomenon, which one must approximate by an horizon of simulation far enough in the future. Another exercise for which Dynare is well suited is to study the transition path to a new equilibrium following a permanent shock.
For deterministic simulations, Dynare uses a Newton-type algorithm, first proposed by Laffargue (1990), instead of a first order technique like the one proposed by Fair and Taylor (1983), and used in earlier generation simulation programs. We believe this approach to be in general both faster and more robust. The details of the algorithm used in Dynare can be found in Juillard (1996).
In a stochastic context, Dynare computes one or several simulations corresponding to a random draw of the shocks. Starting with version 2.3 (not available for Gauss), Dynare uses a second order Taylor approximation of the expectation functions (see Judd, 1996, Collard and Juillard, 2001a, 2001b, and Schmitt-Grohe and Uribe, 2002).
Starting with version 3.0, it is possible to use Dynare to estimate model parameters either by maximum likelihood as in Ireland (2004) or using a Bayesian approach as in Rabanal and Rubio-Ramirez (2002), Schorfheide (2000) or Smets and Wouters (2002).
Currently the development team of Dynare is composed of S. Adjemian, M. Juillard and O. Kamenik. Several parts of Dynare use or have strongly benefited from publicly available programs by F. Collard, L. Ingber, P. Klein, S. Sakata, F. Schorfheide, C. Sims, P. Soederlind and R. Wouters.
December 30, 2005
added details about parameter transformation in model and in estimated_params
added conditional compilation commands @define and @if ... @elseif ... @else ... @end
enhanced output section of command estimation
added exogenous deterministic shocks in stochastic models. See varexo_det, forecast, shocks, stoch_simul
added a forecast command for calibrated models. See forecast.
October 14, 2005
added syntax for computing optimal policy. See olr, olr_inst, optim_weights, osr, osr_params.
added syntax for estimating correlation between two shocks or two measurment errors in estimated_params, estimated_params_bounds and estimated_params_init
July 20, 2005
Expanded description of unit_root_vars statement
changed the default for nonlinear solver in steady
added a mention of the possibility to write explicitly a steady state function in steady, stoch_simul, estimation and unit_root_vars
added a brief Ouput section in estimation
corrected misleading description of option prefilter in estimation
added variance decomposition among the statistics computed with option moments_varendo in estimation
tex option in estimation isn't yet implemented
May 3, 2005
added option noprint in stoch_simul
modified option irf in stoch_simul
modified option simul_seed in stoch_simul
March 6, 2005
corrected typos in equations for 1st and 2nd order approximation formulas in stoch_simul.
temporarily removed description of output variables in estimation as old content was outdated and the new one isn't ready yet.
added cross-references