Dynare Reference Manual

1 Dynare Reference ManualRelease teamMar 22, 2023 CONTENTS1 is Dynare ? .. sources .. Dynare in your research ..42 Installation and requirements .. of Dynare .. Windows .. GNU/Linux .. macOS .. MATLAB .. Octave .. FreeBSD .. other systems .. installation .. on Windows .. on GNU/Linux .. on macOS .. MATLAB .. Octave .. MATLAB .. Octave .. words of warning ..93 Running invocation .. hooks .. Preprocessor Error Messages ..184 The model .. declarations .. Model Variable Declaration .. and variables .. the model .. the model .. functions.

2 Functions .. few words of warning in stochastic context .. initialization .. declaration .. variables .. and terminal conditions .. on exogenous variables .. general declarations .. Steady state .. Finding the steady state with Dynare nonlinear solver .. Providing the steady state to Dynare .. Replace some equations during steady state computations .. Getting information about the model .. Deterministic simulation .. Stochastic solution and simulation .. Computing the stochastic solution .. Typology and ordering of variables .. First-order approximation .. Second-order approximation.

3 Third-order approximation .. Higher-order approximation .. Occasionally binding constraints (OCCBIN) .. Estimation based on likelihood .. Estimation based on moments .. Model Comparison .. Shock Decomposition .. Calibrated Smoother .. Forecasting .. Optimal policy .. Optimal policy under commitment (Ramsey) .. Optimal policy under discretion .. Optimal Simple Rules (OSR) .. Sensitivity and identification analysis .. Performing sensitivity analysis .. IRF/Moment calibration .. Performing identification analysis.

4 Types of analysis and output files .. Sampling .. Stability Mapping .. IRF/Moment restrictions .. Reduced Form Mapping .. RMSE .. Screening Analysis .. Identification Analysis .. Markov-switching SBVAR .. Epilogue Variables .. Semi-structural models .. Auxiliary models .. VAR expectations .. PAC equation .. Estimation of a PAC equation .. Displaying and saving results .. Macro processing language .. Macro expressions .. Macro directives .. Typical usages .. Modularization .. Indexed sums of products.

5 Multi-country models .. Endogeneizing parameters .. MATLAB/Octave loops versus macro processor loops .. Verbatim inclusion .. Misc commands .. 1865 The configuration Configuration .. Configuration .. Step-by-Step Guide .. 1936 Time .. in a mod file .. dates class .. dseries class .. ARIMA-SEATS interface .. aggregation .. time series with a univariate model .. 2347 Reporting2378 Examples2499 Dynare misc commands25110 Bibliography255 Index259iiiivDynare Reference Manual , Release the development team of Dynare is composed of: St phane Adjemian (Le Mans Universit , Gains) Houtan Bastani Michel Juillard (Banque de France) Sumudu Kankanamge (Toulouse School of Economics and CEPREMAP) Fr d ric Karam (Le Mans Universit , Gains and CEPREMAP) Junior Maih (Norges Bank) Ferhat Mihoubi (Universit Paris-Est Cr teil, rudite) Willi Mutschler (University of T bingen) Johannes Pfeifer (Universit t der Bundeswehr M nchen) Marco Ratto (European Commission, Joint Research Centre - JRC) Normann Rion (CY Cergy Paris Universit and CEPREMAP) S bastien Villemot (CEPREMAP)The following people used to be members of the team.

6 Abdeljabar Benzougar Alejandro Buesa Fabrice Collard Assia Ezzeroug D ra Kocsis St phane Lhuissier George PerendiaCopyright 1996-2023, Dynare is granted to copy, distribute and/or modify this document under the terms of the GNU Free Docu-mentation License, Version or any later version published by the Free Software Foundation; with no InvariantSections, no Front-Cover Texts, and no Back-Cover copy of the license can be found at Reference Manual , Release What is Dynare ? Dynare is a software platform for handling a wide class of economic models, in particular dynamic stochastic gen-eral equilibrium (DSGE) and overlapping generations (OLG) models.

7 The models solved by Dynare include thoserelying on therational expectationshypothesis, wherein agents form their expectations about the future in a wayconsistent with the model. But Dynare is also able to handle models where expectations are formed differently: onone extreme, models where agents perfectly anticipate the future; on the other extreme, models where agents havelimited rationality or imperfect knowledge of the state of the economy and, hence, form their expectations througha learning process. In terms of types of agents, models solved by Dynare can incorporate consumers, productivefirms, governments, monetary authorities, investors and financial intermediaries.

8 Some degree of heterogeneitycan be achieved by including several distinct classes of agents in each of the aforementioned agent offers a user-friendly and intuitive way of describing these models. It is able to perform simulations of themodel given a calibration of the model parameters and is also able to estimate these parameters given a dataset. Inpractice, the user will write a text file containing the list of model variables, the dynamic equations linking thesevariables together, the computing tasks to be performed and the desired graphical or numerical large panel of applied mathematics and computer science techniques are internally employed by Dynare : mul-tivariate nonlinear solving and optimization, matrix factorizations, local functional approximation, Kalman filtersand smoothers, MCMC techniques for Bayesian estimation, graph algorithms, optimal control.

9 Various public bodies (central banks, ministries of economy and finance, international organisations) and someprivate financial institutions use Dynare for performing policy analysis exercises and as a support tool for fore-casting exercises. In the academic world, Dynare is used for research and teaching purposes in postgraduatemacroeconomics is a free software, which means that it can be downloaded free of charge, that its source code is freelyavailable, and that it can be used for both non-profit and for-profit purposes. Most of the source files are covered bythe GNU General Public Licence (GPL) version 3 or later (there are some exceptions to this, see the file Dynare distribution).

10 It is available for the Windows, macOS, and Linux platforms and is fully documentedthrough a Reference Manual . Part of Dynare is programmed in C++, while the rest is written using the MATLAB programming language. The latter implies that commercially-available MATLAB software is required in order torun Dynare . However, as an alternative to MATLAB, Dynare is also able to run on top of GNU Octave (basicallya free clone of MATLAB): this possibility is particularly interesting for students or institutions who cannot afford,or do not want to pay for, MATLAB and are willing to bear the concomitant performance development of Dynare is mainly done at CEPREMAP by a core team of researchers who devote part of theirtime to software development.