v0.1.38

MacroModelling v0.1.38

Diff since v0.1.37

Major internal rework focused on nonlinear estimation. Codes are more flexible, faster, and more thoroughly tested.

Solution:

• Fast and robust QME, Sylvester, Lyapunov solutions
• Solution cache (starting point) for NSSS, QME, and Sylvester equations
• Expose solution algorithms for Lyapunov, Sylvester, and QME equations
• Improved NSSS solver: added Newton solver for speed
• Automatic homotopy continuation once NSSS solution was found
• Speedups thanks to custom sparse kronecker products
• Higher order solutions, stochastic steady states and log likelihood are reverse and forward mode AD compatible

Plotting:

• Improved model estimate plots
• More plotting options and possibility to add any plot attributes

Estimation:

• Added Cauchy prior
• Added nonlinear shock decomposition
• Corrected inversion filter for higher order solutions

Other:

• Completely overhauled testing: test all possible parameter combinations
• Improved model parsing
• verbose shows more internal calculations
• Redid internal derivatives
• Parameter derivatives are now always calculated and warning is thrown if they are expensive to calculate
• Added shock_size argument for IRFs
• dropped compatibility with Julia versions 1.8 and 1.9

Merged pull requests:

• Update plotting.jl (#80) (@LucaMingarelli)
• nonlinear estimation (#87) (@thorek1)

Closed issues:

• Macromodelling package issue (#95)
• Installation error (#96)

v0.1.37

MacroModelling v0.1.37

Diff since v0.1.36

• custom derivatives for reverse mode AD inversion and kalman filter (1st order solution)
• non linear shock decomposition
• fast linear Kalman and inversion filter (less allocations)
• simplify keyword for parameters macro triggering symbolic equation solves
• input custom plot attributes (overriding defaults)
• improved plots

0.1.37 docfix

v0.1.37+docfix

up todos

v0.1.36

MacroModelling v0.1.36

Diff since v0.1.35

• major improvements of steady state solver:
  • initial steady state guess can be passed on to @parameters
  • auto-tuning of solver parameters (as a last resort to solver for the steady state)
  • additional steady state problem definition where parameters can deviate during optimisation
  • partial symbolic solve of smaller systems of nonlinear equations (<6 equations) if possible
  • fastest (measured by solution time) solver parameters are selected for each model and used for analysis thereafter
• improved printing of model steady state solution
• translate_mod_file now returns output from dynare preprocessor if it fails
• add function to check the residuals of the non stochastic steady state equations and calibration equations for given values (see get_non_stochastic_steady_state_residuals)
• custom rrule for first order solution - speeding up reverse mode autodiff

Merged pull requests:

• SS_solver (#70) (@thorek1)

v0.1.35

MacroModelling v0.1.35

Diff since v0.1.34

• fix compatibility issues due to breaking dependency updates

Merged pull requests:

• Bump actions/cache from 3 to 4 (#69) (@dependabot[bot])
• Bump codecov/codecov-action from 3 to 4 (#72) (@dependabot[bot])

Closed issues:

• handling occasionally constraint (#71)
• Load Error: Bounds Error (#73)

v0.1.34

MacroModelling v0.1.34

Diff since v0.1.33

• bugfix release: improved docs, more informative errors

Merged pull requests:

• fixdocs (#66) (@thorek1)
• error if duplicate equations occur (#68) (@thorek1)

Closed issues:

• Solution issue (#67)

v0.1.33

MacroModelling v0.1.33

Diff since v0.1.32

• implemented inversion filter to allow estimation of nonlinear models, filter shocks and variables
• nonlinear conditional forecasting
• occasionally binding constraints (OBC) in nonlinear models
• plot_solution of OBC models
• more extensive testing (of estimation codes) across versions and OSs
• better errors when solving a model
• more type stable code
• get_loglikelihood supersedes calculate_kalman_filter_loglikelihood
• more robust translation to and from dynare mod files

Merged pull requests:

• Nonlinear_obc (#60) (@thorek1)
• nonlinear conditional forecasting (#61) (@thorek1)
• Nonlinear-estimation (#63) (@thorek1)

Closed issues:

• Installation error at the latest Juila 1.10 (#62)
• plot_irf gives unexpected results (#65)

v0.1.32

MacroModelling v0.1.32

Diff since v0.1.31

• allow to plot/get obc shocks without constraint being enforced
• fix constraint writing for lagged variables
• improved docs/tests

v0.1.31

MacroModelling v0.1.31

Diff since v0.1.30

• new feature: models with occasionally binding constraints
• added QUEST3 model, SW03 and Gali 2015 Chapter 3 with effective lower bound
• more robust and extensive tests

v0.1.30

MacroModelling v0.1.30

Diff since v0.1.29

• faster higher order solution (optimised Sylvester, Lyapunov algorithms and avoid Kronecker realisations)
• no longer computes redundant higher order derivatives
• improved calibration tutorial
• output to dynare mod file translates unicode properly

Merged pull requests:

• Matrixequations (#54) (@thorek1)
• update documenter (#55) (@thorek1)