We are pleased to announce the release of Dynare 6.0.
This major release adds new features and fixes various bugs.
The Windows, macOS, MATLAB Online and source packages are already available for download at the Dynare website.
This release is compatible with MATLAB versions ranging from 9.5 (R2018b) to 23.2 (R2023b), and with GNU Octave versions ranging from 7.1.0 to 8.4.0 (NB: the Windows package requires version 8.4.0 specifically).
Major uservisible changes

The Sequential Monte Carlo sampler as described by Herbst and Schorfheide (2014) is now available under value
hssmc
for optionposterior_sampling_method
. 
New routines for perfect foresight simulation with expectation errors. In such a scenario, agents make expectation errors in that the path they had anticipated in period 1 is not realized exactly. More precisely, in some simulation periods, they may receive new information that makes them revise their anticipation for the path of future shocks. Also, under this scenario, it is assumed that agents behave as under perfect foresight, i.e. they make their decisions as if there were no uncertainty and they knew exactly the path of future shocks; the new information that they may receive comes as a total surprise to them. Available under new
perfect_foresight_with_expectation_errors_setup
andperfect_foresight_with_expectation_errors_solver
commands, andshocks(learnt_in=â€¦)
,mshocks(learnt_in=â€¦)
andendval(learnt_in=â€¦)
blocks. 
New routines for IRF matching with stochastic simulations:

Both frequentist (as in Christiano, Eichenbaum, and Evans, 2005) and Bayesian (as in Christiano, Trabandt, and Walentin, 2010) IRF matching approaches are implemented. The core idea of IRF matching is to treat empirical impulse responses (e.g. given from an SVAR or local projection estimation) as data and select model parameters that align the modelâ€™s IRFs closely with their empirical counterparts.

Available under option
mom_method = irf_matching
option to themethod_of_moments
command. 
New blocks
matched_irfs
andmatched_irfs_weights
for specifying the values and weights of the empirical impulse response functions.


Pruning Ă la Andreasen et al. (2018) is now available at an arbitrary approximation order when performing stochastic simulations with
stoch_simul
, and at 3rd order when performing particle filtering. 
New
log
option to thevar
statement. In addition to the endogenous variable(s) thus declared, this option also triggers the creation of auxiliary variable(s) equal to the log of the corresponding endogenous variable(s). For example, given avar(log) y;
statement, two endogenous will be created (y
andLOG_y
), and an auxiliary equation linking the two will also be added (equal toy = exp(LOG_y);
). Moreover, every occurrence ofy
in the model will be replaced byexp(LOG_y)
. This option is, for example, useful for performing a loglinear approximation of some variable(s) in the context of a firstorder stochastic approximation; or for ensuring that the variable(s) stay(s) in the definition domain of the function defining the steady state or the dynamic residuals when the nonlinear solver is used. 
New model editing features

Multiple
model
blocks are now supported (this was already working but not explicitly documented). 
Multiple
estimated_params
blocks now concatenate their contents (instead of overwriting previous ones, which was the former undocumented behavior); anoverwrite
option has been added to provide the old behavior. 
New
model_options
statement to set model options in a global fashion. 
New
model_remove
command to remove equations. 
New
model_replace
block to replace equations. 
New
var_remove
command to remove variables (or parameters). 
New
estimated_params_remove
block to remove estimated parameters.


Stochastic simulations

Performance improvements for simulation of the solution under perturbation and for particle filtering at higher order (â©ľ 3).

Performance improvement for the first order perturbation solution using either cycle reduction (
dr=cycle_reduction
option) or logarithmic reduction (dr=logarithmic_reduction
). 
New
nomodelsummary
option to thestoch_simul
command, to suppress the printing of the model summary and the covariance of the exogenous shocks.


Estimation

A truncated normal distribution can now be specified as a prior, using the 3rd and 4th parameters of the
estimated_params
block as the bounds. 
New
conditional_likelihood
option to theestimation
command. When the option is set, instead of using the Kalman filter to evaluate the likelihood, Dynare will evaluate the conditional likelihood based on the firstorder reduced form of the model by assuming that the initial state vector is at its steady state. 
New
additional_optimizer_steps
option to theestimation
command to trigger the sequential execution of several optimizers when looking for the posterior mode. 
The
generate_trace_plots
command now allows comparing multiple chains. 
The Geweke and RafteryLewis convergence diagnostics will now also be displayed when
mh_nblocks>1
. 
New
robust
,TolGstep
, andTolGstepRel
options to the optimizer available undermode_compute=5
(â€śnewratâ€ť). 
New
brooks_gelman_plotrows
option to theestimation
command for controlling the number of parameters to depict along the rows of the figures depicting the Brooks and Gelman (1998) convergence diagnostics. 
New
mh_init_scale_factor
option to theestimation
command tor govern the overdispersion of the starting draws when initializing several Monte Carlo Markov Chains. This option supersedes themh_init_scale
option, which is now deprecated.


Steady state computation

Steady state computation now accounts for occasionallybinding constraints of mixedcomplementarity problems (as defined by
mcp
tags). 
New
tolx
option to thesteady
command for governing the termination based on the step tolerance. 
New
fsolve_options
option to thesteady
command for passing options tofsolve
(in conjunction with thesolve_algo=0
option). 
New option
from_initval_to_endval
option to thehomotopy_setup
block, for easily computing homotopy from initial to terminal steady state (when the former is already computed). 
New
non_zero
option toresid
command to restrict display to nonzero residuals.


Perfect foresight

Significant performance improvement of the
stack_solve_algo=1
option to theperfect_foresight_solver
command (LaffargueBoucekkineJuillard algorithm) when used in conjunction with optionsblock
and/orbytecode
of themodel
block. 
New
relative_to_initval
option to themshocks
block, to use the initial steady state as a basis for the multiplication when there is anendval
block. 
New
static_mfs
option to themodel
block (and to themodel_options
command), for controlling the minimum feedback set computation for the static model. It defaults to0
(corresponding to the behavior in Dynare version 5). 
Various improvements to homotopy

New
endval_steady
option to theperfect_foresight_setup
command for computing the terminal steady state at the same time as the transitory dynamics (and new optionssteady_solve_algo
,steady_tolf
,steady_tolx
,steady_maxit
andsteady_markowitz
for controlling the steady state nonlinear solver). 
New
homotopy_linearization_fallback
andhomotopy_marginal_linearization_fallback
options to theperfect_foresight_solver
command to get an approximate solution when homotopy fails to go to 100%. 
New
homotopy_initial_step_size
,homotopy_min_step_size
,homotopy_step_size_increase_success_count
andhomotopy_max_completion_share
options to theperfect_foresight_solver
command to fine tune the homotopy behavior. 
Purely backward, forward and static models are now supported by the homotopy procedure.


The
stack_solve_algo=1
andstack_solve_algo=6
options of theperfect_foresight_solver
command were merged and are now synonymous. They both provide the LaffargueBoucekkineJuillard algorithm and work with and without theblock
andbytecode
options of themodel
block. Usingstack_solve_algo=1
is now recommended, butstack_solve_algo=6
is kept for backward compatibility.


OccBin

New
simul_reset_check_ahead_periods
option to theoccbin_setup
andoccbin_solver
commands, for resettingcheck_ahead_periods
in each simulation period. 
new
simul_max_check_ahead_periods
,likelihood_max_check_ahead_periods
, andsmoother_max_check_ahead_periods
options to theoccbin_setup
command, for truncating the number of periods for which agents check ahead which regime is present.


Optimal policy

The
osr
command now accepts theanalytic_derivation
andanalytic_derivation_mode
options. 
The
evaluate_planner_objective
command now computes the unconditional welfare for higherorder approximations (â©ľ 3). 
New
periods
anddrop
options to theevaluate_planner_objective
command.


Semistructural models

New
pac_target_info
block for decomposing the PAC target into an arbitrary number of components. Furthermore, in the presence of such a block, the newpac_target_nonstationary
operator can be used to select the non stationary part of the target (typically useful in the error correction term of the PAC equation). 
New
kind
option to thepac_model
command. This option allows the user to select the formula used to compute the weights on the VAR companion matrix variables that are used to form PAC expectations. 
Performance improvement to
solve_algo=12
andsolve_algo=14
, which significantly accelerates the simulation of purely backward, forward and static models with theperfect_foresight_solver
command and the routines for semistructural models.


dseries classes

The
remove
andremove_
methods now accept a list of variables (they would previously only accept a single variable). 
New MATLAB/Octave command
dplot
to plot mathematical expressions generated from variables fetched from (different) dseries objects.


Misc

New
display_parameter_values
command to print the parameter values in the command window. 
New
collapse_figures_in_tabgroup
command to dock all figures. 
Performance improvement for the
use_dll
option of themodel
block. The preprocessor now takes advantage of parallelization when compiling the MEX files. 
New mathematical primitives available: complementary error function (
erfc
), hyperbolic functions (cosh
,sinh
,tanh
,acosh
,asinh
,atanh
). 
New
last_simulation_period
option to theinitval_file
command. 
The
calib_smoother
command now accepts thenobs
andheteroskedastic_filter
options. 
Under the MATLAB Desktop, autocompletion is now available for the
dynare
command and other CLI commands (thanks to Eduard Benet Cerda from MathWorks). 
Model debugging: The preprocessor now creates files for evaluating the left and righthand sides of model equations separately. For a model file called
ramst.mod
, you can call[lhs,rhs]=ramst.debug.static_resid(y,x,params);
(for the static model) and[lhs,rhs]=ramst.debug.dynamic_resid(y,x,params,steady_state);
(for the dynamic model), wherey
are the endogenous,x
the exogenous,params
the parameters, andsteady_state
is selfexplanatory. NB: In the dynamic case, the vectory
of endogenous must have 3n elements where n is the number of endogenous (including auxiliary ones); the first n elements correspond to the lagged values, the middle n elements to the contemporaneous values, and the last n elements to the lead values. 
New interactive MATLAB/Octave command
search
for listing the equations in which given variable(s) appear (requiresjson
command line option). 
The
model_info
command allows to print the block decomposition even if theblock
option of themodel
block has not been used, by specifying the new optionsblock_static
andblock_dynamic
. 
There is now a default value for the global initialization file (
GlobalInitFile
option of the configuration file): theglobal_init.m
in the Dynare configuration directory (typically$HOME/.config/dynare/global_init.m
under Linux and macOS, andc:\Users\USERNAME\AppData\Roaming\dynare\global_init.m
under Windows). 
For those compiling Dynare from source, the build system has been entirely rewritten and now uses Meson; as a consequence, it is now faster and easier to understand.


References:
 Andreasen, Martin M., JesĂşs FernĂˇndezVillaverde, and Juan RubioRamĂrez (2018): â€śThe Pruned StateSpace System for NonLinear DSGE Models: Theory and Empirical Applications,â€ť Review of Economic Studies, 85(1), 149.
 Brooks, Stephen P., and Andrew Gelman (1998): â€śGeneral methods for monitoring convergence of iterative simulations,â€ť Journal of Computational and Graphical Statistics, 7, pp. 434â€“455.
 Christiano, Eichenbaum and Charles L. Evans (2005): â€śNominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy,â€ť Journal of Political Economy, 113(1), 1â€“45.
 Christiano, Lawrence J., Mathias Trabandt, and Karl Walentin (2010): â€śDSGE Models for Monetary Policy Analysis,â€ť In: Handbook of Monetary Economics 3, 285â€“367.
 Herbst, Edward and Schorfheide, Frank (2014): â€śSequential Monte Carlo Sampling for DSGE Models,â€ť Journal of Applied Econometrics, 29, 10731098.
Incompatible changes

The default value of the
mode_compute
option of theestimation
command has been changed to5
(it was previously4
). 
When using block decomposition (with the
block
option of themodel
block), the optionmfs
now defaults to1
. This setting should deliver better performance in perfect foresight simulation on most models. 
The default location for the configuration file has changed. On Linux and macOS, the configuration file is now searched by default under
dynare/dynare.ini
in the configuration directories defined by the XDG specification (typically$HOME/.config/dynare/dynare.ini
for the userspecific configuration and/etc/xdg/dynare/dynare.ini
for the systemwide configuration, the former having precedence over the latter). Under Windows, the configuration file is now searched by default in%APPDATA%\dynare\dynare.ini
(typicallyc:\Users\USERNAME\AppData\Roaming\dynare\dynare.ini
). 
The information stored in
oo_.endo_simul, oo_.exo_simul
, andoo_.irfs
is no longer duplicated in the base workspace. New helper functionssend_endogenous_variables_to_workspace
,send_exogenous_variables_to_workspace
, andsend_irfs_to_workspace
have been introduced to explicitly request these outputs and to mimic the old behavior. 
The
dynare_sensitivity
command has been renamedsensitivity
. The old name is still accepted but triggers a warning. 
The syntax
resid(1)
is no longer supported. 
The
mode_compute=6
option to theestimation
command now recursively updates the covariance matrix across theNumberOfMh
MetropolisHastings runs, starting with theInitialCovarianceMatrix
in the first run, instead of computing it from scratch in every MetropolisHastings run. 
The
periods
command has been removed. 
The
Sigma_e
command has been removed. 
The
block
option of themodel
block no longer has an effect when used in conjunction withstoch_simul
orestimation
commands. 
The Dynare++ executable is no longer distributed since almost all of its functionalities have been integrated inside Dynare for MATLAB/Octave.

A macroprocessor variable defined without a value (such as
@#define var
in the.mod
file or alternativelyDvar
on thedynare
command line) is now assigned thetrue
logical value (it was previously assigned1
). 
The
parallel_slave_open_mode
option of thedynare
command has been renamedparallel_follower_open_mode
. 
The
static
option of themodel_info
command is now deprecated and is replaced by theblock_static
option.
Bugs that were present in 5.5 and that have been fixed in 6.0
 The
mh_initialize_from_previous_mcmc
option of theestimation
command would not work if estimation was conducted with a different prior and the last draw in the previous MCMC fell outside the new prior bounds  When specifying a generalized inverse Gamma prior, the hyperparameter computation would erroneously ignore the resulting mean shift
 When using the
mh_recover
option of theestimation
command, the status bar always started at zero instead of showing the overall progress of the recovered chain  The
model_diagnostics
command would fail to check the correctness of userdefined steady state files  GSA: LaTeX output was not working as expected
 Forecasts and filtered variables could not be retrieved with the
heteroskedastic_shocks
block  The OccBin smoother would potentially not display all smoothed shocks with
heteroskedastic_filter
option  The OccBin smoother would crash if the number of requested periods was smaller than the data length
 The multivariate OccBin smoother would return wrong results if the constraint was binding in the first period
 The
plot_shock_decomposition
command would fail with theinit2shocks
block if theinitial_condition_decomposition
was not run before  LaTeX output under Windows failed to compile for
plot_priors=1
option of theestimation
command and Brooks and Gelman (1998) convergence diagnostics  The plot produced by the
shock_decomposition
command was too big, making the close button inaccessible  Monthly dates for October, November and December (i.e. with a 2digit month number) were not properly interpreted by the preprocessor
 Theoretical moments computed by
stoch_simul
atorder=2
withpruning
would not contain unconditional and conditional variance decomposition