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Dynare-Reference Manual.pdf

Dynare-Reference Manual.pdf

上传者: laoxu 2012-07-04 评分 5 0 106 14 481 暂无简介 简介 举报

简介:本文档为《Dynare-Reference Manualpdf》,可适用于高等教育领域,主题内容包含DynareWorkingPapersSerieshttp:wwwdynareorgwpDynare:ReferenceManualVersionS符等。

DynareWorkingPapersSerieshttp:wwwdynareorgwpDynare:ReferenceManualVersionStephaneAdjemianHoutanBastaniFredericKarameMichelJuillardJuniorMaihFerhatMihoubiGeorgePerendiaMarcoRattoSebastienVillemotWorkingPapernoInitialrevision:AprilThisrevision:June,rueduChevaleretParisFrancehttp:wwwcepremapensfrDynareReferenceManual,versionStephaneAdjemianHoutanBastaniMichelJuillardJuniorMaihFerhatMihoubiGeorgePerendiaMarcoRattoSebastienVillemotCopyrightc,DynareTeamPermissionisgrantedtocopy,distributeandormodifythisdocumentunderthetermsoftheGNUFreeDocumentationLicense,VersionoranylaterversionpublishedbytheFreeSoftwareFoundationwithnoInvariantSections,noFrontCoverTexts,andnoBackCoverTextsAcopyofthelicensecanbefoundathttp:wwwgnuorglicensesfdltxtiTableofContentsIntroductionWhatisDynareDocumentationsourcesCitingDynareinyourresearchInstallationandconfigurationSoftwarerequirementsInstallationofDynareOnWindowsOnDebianGNULinuxandUbuntuOnMacOSXForothersystemsConfigurationForMATLABForGNUOctaveSomewordsofwarningDynareinvocationTheModelfileConventionsVariabledeclarationsExpressionsParametersandvariablesInsidethemodelOutsidethemodelOperatorsFunctionsBuiltinFunctionsExternalFunctionsParameterinitializationModeldeclarationAuxiliaryvariablesInitialandterminalconditionsShocksonexogenousvariablesOthergeneraldeclarationsSteadystateFindingthesteadystatewithDynarenonlinearsolverUsingasteadystatefileGettinginformationaboutthemodelDeterministicsimulationStochasticsolutionandsimulationComputingthestochasticsolutionTypologyandorderingofvariablesFirstorderapproximationSecondorderapproximationThirdorderapproximationEstimationiiForecastingOptimalpolicySensitivityandidentificationanalysisSamplingStabilityMappingReducedFormMappingRMSEScreeningAnalysisIdentificationAnalysisPerformingSensitivityandIdentificationAnalysisMarkovswitchingSBVARDisplayingandsavingresultsMacroprocessinglanguageMacroexpressionsMacrodirectivesTypicalusagesModularizationIndexedsumsorproductsMulticountrymodelsEndogeneizingparametersMATLABOctaveloopsversusmacroprocessorloopsMisccommandsTheConfigurationFileDynareConfigurationParallelConfigurationExamplesDynareinternaldocumentationandunitarytestsBibliographyCommandandFunctionIndexVariableIndexChapter:IntroductionIntroductionWhatisDynareDynareisasoftwareplatformforhandlingawideclassofeconomicmodels,inparticulardynamicstochasticgeneralequilibrium(DSGE)andoverlappinggenerations(OLG)modelsThemodelssolvedbyDynareincludethoserelyingontherationalexpectationshypothesis,whereinagentsformtheirexpectationsaboutthefutureinawayconsistentwiththemodelButDynareisalsoabletohandlemodelswhereexpectationsareformeddifferently:ononeextreme,modelswhereagentsperfectlyanticipatethefutureontheotherextreme,modelswhereagentshavelimitedrationalityorimperfectknowledgeofthestateoftheeconomyand,hence,formtheirexpectationsthroughalearningprocessIntermsoftypesofagents,modelssolvedbyDynarecanincorporateconsumers,productivefirms,governments,monetaryauthorities,investorsandfinancialintermediariesSomedegreeofheterogeneitycanbeachievedbyincludingseveraldistinctclassesofagentsineachoftheaforementionedagentcategoriesDynareoffersauserfriendlyandintuitivewayofdescribingthesemodelsItisabletoperformsimulationsofthemodelgivenacalibrationofthemodelparametersandisalsoabletoestimatetheseparametersgivenadatasetInpractice,theuserwillwriteatextfilecontainingthelistofmodelvariables,thedynamicequationslinkingthesevariablestogether,thecomputingtaskstobeperformedandthedesiredgraphicalornumericaloutputsAlargepanelofappliedmathematicsandcomputersciencetechniquesareinternallyemployedbyDynare:multivariatenonlinearsolvingandoptimization,matrixfactorizations,localfunctionalapproximation,Kalmanfiltersandsmoothers,MCMCtechniquesforBayesianestimation,graphalgorithms,optimalcontrol,Variouspublicbodies(centralbanks,ministriesofeconomyandfinance,internationalorganisations)andsomeprivatefinancialinstitutionsuseDynareforperformingpolicyanalysisexercisesandasasupporttoolforforecastingexercisesIntheacademicworld,DynareisusedforresearchandteachingpurposesinpostgraduatemacroeconomicscoursesDynareisafreesoftware,whichmeansthatitcanbedownloadedfreeofcharge,thatitssourcecodeisfreelyavailable,andthatitcanbeusedforbothnonprofitandforprofitpurposesMostofthesourcefilesarecoveredbytheGNUGeneralPublicLicence(GPL)versionorlater(therearesomeexceptionstothis,seethefile‘licensetxt’inDynaredistribution)ItisavailablefortheWindows,MacandLinuxplatformsandisfullydocumentedthroughauserguideandareferencemanualPartofDynareisprogrammedinC,whiletherestiswrittenusingtheMATLABprogramminglanguageThelatterimpliesthatcommerciallyavailableMATLABsoftwareisrequiredinordertorunDynareHowever,asanalternativetoMATLAB,DynareisalsoabletorunontopofGNUOctave(basicallyafreecloneofMATLAB):thispossibilityisparticularlyinterestingforstudentsorinstitutionswhocannotafford,ordonotwanttopayfor,MATLABandarewillingtobeartheconcomitantperformancelossThedevelopmentofDynareismainlydoneatCepremapbyacoreteamofresearcherswhodevotepartoftheirtimetosoftwaredevelopmentCurrentlythedevelopmentteamofDynareiscomposedofStephaneAdjemian(UniversiteduMaine,GainsandCepremap),HoutanBastani(Cepremap),MichelJuillard(BanquedeFrance),FredericKarame(Universited’Evry,EpeeandCepremap),JuniorMaih(NorgesBank),FerhatMihoubi(Universited’Evry,EpeeandCepremap),GeorgePerendia,JohannesPfeifer,MarcoRatto(JRC)andSebastienVillemot(CepremapandParisSchoolofEconomics)Increasingly,thedeveloperbaseisexpanding,astoolsdevelopedbyresearchersoutsideofCepremapareintegratedintoDynareFinancialsupportisprovidedbyCepremap,BanquedeFranceandDSGEnet(aninternationalresearchnetworkforDSGEmodeling)TheDynareprojectalsoreceivedfundingthroughtheSeventhFrameworkProgrammeforResearch(FP)oftheEuropeanCommission’sSocioeconomicSciencesandHumanities(SSH)ProgramfromOctobertoSeptemberundergrantagreementSSHCTAdministrator高亮Administrator高亮Administrator高亮Administrator高亮Administrator线条Administrator线条Administrator线条Administrator高亮Administrator高亮Administrator高亮Administrator高亮Administrator高亮Administrator高亮Administrator高亮Administrator高亮Administrator高亮Administrator高亮Administrator高亮Administrator高亮Administrator线条Administrator线条Administrator线条Administrator线条Administrator线条Chapter:IntroductionInteractionbetweendevelopersandusersofDynareiscentraltotheprojectAwebforumisavailableforuserswhohavequestionsabouttheusageofDynareorwhowanttoreportbugsTrainingsessionsaregiventhroughtheDynareSummerSchool,whichisorganizedeveryyearandisattendedbyaboutpeopleFinally,prioritiesintermsoffuturedevelopmentsandfeaturestobeaddedaredecidedincooperationwiththeinstitutionsprovidingfinancialsupportDocumentationsourcesThepresentdocumentisthereferencemanualforDynareItdocumentsallcommandsandfeaturesinasystematicfashionNewusersshouldratherbeginwithDynareUserGuide(Mancini()),distributedwithDynareandalsoavailablefromtheofficialDynarewebsiteOtherusefulsourcesofinformationincludetheDynarewikiandtheDynareforumsCitingDynareinyourresearchIfyouwouldliketorefertoDynareinaresearcharticle,therecommendedwayistocitethepresentmanual,asfollows:StephaneAdjemian,HoutanBastani,MichelJuillard,FerhatMihoubi,GeorgePerendia,MarcoRattoandSebastienVillemot(),“Dynare:ReferenceManual,Version,”DynareWorkingPapers,,CEPREMAPNotethatcitingtheDynareReferenceManualinyourresearchisagoodwaytohelptheDynareprojectIfyouwanttogiveaURL,usetheaddressoftheDynarewebsite:http:wwwdynareorgAdministrator高亮Administrator高亮Administrator高亮Administrator线条Administrator线条Administrator线条Administrator线条Administrator线条Administrator线条Chapter:InstallationandconfigurationInstallationandconfigurationSoftwarerequirementsPackagedversionsofDynareareavailableforWindowsXPVistaSeven,DebianGNULinux,UbuntuandMacOSXLeopardSnowLeopardDynareshouldworkonothersystems,butsomecompilationstepsarenecessaryinthatcaseInordertorunDynare,youneedoneofthefollowing:•MATLABversion(R)orabove•GNUOctaveversionoraboveSomeinstallationinstructionsforGNUOctavecanbefoundontheDynareWikiThefollowingoptionalextensionsarealsousefultobenefitfromextrafeatures,butareinnowayrequired:•IfunderMATLAB:theoptimizationtoolbox,thestatisticstoolbox,thecontrolsystemtoolbox•IfunderGNUOctave,thefollowingOctaveForgepackages:optim,io,java,statistics,controlIfyouplantousetheusedlloptionofthemodelcommand,youwillneedtoinstallthenecessaryrequirementsforcompilingMEXfilesonyourmachineIfyouareusingMATLABunderWindows,installaCcompileronyourmachineandconfigureitwithMATLAB:seeinstructionsontheDynarewikiUsersofOctaveunderLinuxshouldinstallthepackageforMEXfilecompilation(underDebianorUbuntu,itiscalled‘liboctavedev’or‘octaveheaders’)IfyouareusingOctaveorMATLABunderMacOSX,youshouldinstallthelatestversionofXCode:seeinstructionsontheDynarewikiMacOSXOctaveuserswillalsoneedtoinstallgnuplotiftheywantgraphingcapabilitiesUsersofMATLABunderLinuxandMacOSX,andusersofOctaveunderWindows,normallyneedtodonothing,sinceaworkingcompilationenvironmentisavailablebydefaultInstallationofDynareAfterinstallation,DynarecanbeusedinanydirectoryonyourcomputerItisbestpracticetokeepy

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