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A Julia rewrite of Dynare: solving, simulating and estimating DSGE models.

Home Page: https://www.dynare.org

License: Other

Julia 81.50% AMPL 16.89% MATLAB 1.61%

dsge-models rational-expectations-equilibrium perturbations bayesian-inference

dynare.jl's People

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rohitrathore1 satyabade12 louisponet wjgatt fredericreynes dawievlill felixordonez omar-elrefaei shizelong1985 wuvist floswald ruben-poghosyan scottpjones jdebacker marstesla econsolider ellie-cothren dkanngie

dynare.jl's Issues

Dynare does not precompile on linux(ubuntu) with julia version 1.6.7

ERROR: LoadError: please run Pkg.build("Pardiso") before loading the package Stacktrace: [1] error(s::String) @ Base ./error.jl:33 [2] top-level scope @ ~/.julia/packages/Pardiso/rrIt7/src/Pardiso.jl:6 [3] include @ ./Base.jl:384 [inlined] [4] include_package_for_output(pkg::Base.PkgId, input::String, depot_path::Vector{String}, dl_load_path::Vector{String}, load_path::Vector{String}, concrete_deps::Vector{Pair{Base.PkgId, UInt64}}, source::String) @ Base ./loading.jl:1235 [5] top-level scope @ none:1 [6] eval @ ./boot.jl:360 [inlined] [7] eval(x::Expr) @ Base.MainInclude ./client.jl:446 [8] top-level scope @ none:1

Add solution for purely backward nonlinear models

See request in #57

one implementation for linear models and one for nonlinear models.

Not working with Julia v 1.10

At last for Windows, do not upgrade to lastest version of Julia, as advised below. Stay at Julia v. 1.9.
I found thisout the hard way. Apparently Dynare uses another package called MUMPS. MUMPS is no longer working in Julia v. 1.10 and above. So we cannot use dynare with this version of Julia.

request for accessor functions for estimation results

As a low priority feature request, it would be nice to have functions to access estimation results: posterior mode and quantiles, raw MCMC chains, acceptance rate, etc.

multiple MCMC chains trigger an error

The error is the following

julia> @time dynare("nk_est_a","stoponerror");
Dynare version: 0.9.1
2024-01-23T15:35:35.551: Starting @dynare nk_est_a
["nk_est_a.mod", "language=julia", "json=compute"]
Dynare preprocessor version: 6.4.0+0
Starting preprocessing of the model file ...
Found 8 equation(s).
Evaluating expressions...
Computing static model derivatives (order 1).
Normalizing the static model...
Finding the optimal block decomposition of the static model...
5 block(s) found:
  4 recursive block(s) and 1 simultaneous block(s).
  the largest simultaneous block has 3 equation(s)
                                 and 3 feedback variable(s).
Computing dynamic model derivatives (order 2).
Normalizing the dynamic model...
Finding the optimal block decomposition of the dynamic model...
3 block(s) found:
  2 recursive block(s) and 1 simultaneous block(s).
  the largest simultaneous block has 3 equation(s)
                                 and 3 feedback variable(s).
JSON written after Computing step.
Preprocessing completed.

2024-01-23T15:35:35.643: End of preprocessing
2024-01-23T15:35:37.696: Start parse_statements!
ERROR: Unrecognized statement native rwmh_compute!(datafile="dsge1_data.csv", mcmc_replic=100000, mcmc_jscale=0.03, mcmc_chains=2, transformed_parameters=false, initial_values=context.work.estimated_parameters.initialvalue);
Stacktrace:
 [1] error(s::String)
   @ Base ./error.jl:35
 [2] parse_statements!(context::Context, statements::Vector{Any})
   @ Dynare ~/projects/DynareJulia/Dynare.jl/src/DynareParser.jl:287
 [3] parser(modfilename::String, commandlineoptions::Dynare.CommandLineOptions)
   @ Dynare ~/projects/DynareJulia/Dynare.jl/src/DynareParser.jl:224
 [4] dynare(modfile_arg::String, args::String)
   @ Dynare ~/projects/DynareJulia/Dynare.jl/src/Dynare.jl:103
 [5] macro expansion
   @ ./timing.jl:279 [inlined]
 [6] top-level scope
   @ ./REPL[5]:1

caused by: TaskFailedException

    nested task error: TaskFailedException
    
        nested task error: MethodError: no method matching MCMCChains.Chains(::Vector{…}, ::Vector{…}, ::@NamedTuple{…}; start::Int64, thin::Int64)
        
        Closest candidates are:
          MCMCChains.Chains(::AbstractArray{<:Union{Missing, Real}, 3}, ::AbstractVector{Symbol}, ::Any; start, thin, iterations, evidence, info)
           @ MCMCChains ~/.julia/packages/MCMCChains/AQENn/src/chains.jl:28
          MCMCChains.Chains(::AbstractVector{<:AbstractVector{<:Union{Missing, Real}}}, ::Any...; kwargs...)
           @ MCMCChains ~/.julia/packages/MCMCChains/AQENn/src/chains.jl:6
          MCMCChains.Chains(::AbstractVector{<:Union{Missing, Real}}, ::Any...; kwargs...)
           @ MCMCChains ~/.julia/packages/MCMCChains/AQENn/src/chains.jl:10
          ...
        
        Stacktrace:
         [1] bundle_samples(ts::Vector{…}, model::AbstractMCMC.LogDensityModel{…}, sampler::AdvancedMH.MetropolisHastings{…}, state::AdvancedMH.Transition{…}, chain_type::Type{…}; discard_initial::Int64, thinning::Int64, param_names::Vector{…}, kwargs::@Kwargs{…})
           @ AdvancedMHMCMCChainsExt ~/.julia/packages/AdvancedMH/Yiy0x/ext/AdvancedMHMCMCChainsExt.jl:35
         [2] mcmcsample(rng::Random.TaskLocalRNG, model::AbstractMCMC.LogDensityModel{…}, sampler::AdvancedMH.MetropolisHastings{…}, N::Int64; progress::Bool, progressname::String, callback::Nothing, discard_initial::Int64, thinning::Int64, chain_type::Type, initial_state::Nothing, kwargs::@Kwargs{…})
           @ AbstractMCMC ~/.julia/packages/AbstractMCMC/Es490/src/sample.jl:195
         [3] mcmcsample
           @ ~/.julia/packages/AbstractMCMC/Es490/src/sample.jl:95 [inlined]
         [4] #sample#17
           @ ~/.julia/packages/AbstractMCMC/Es490/src/sample.jl:51 [inlined]
         [5] sample
           @ ~/.julia/packages/AbstractMCMC/Es490/src/sample.jl:44 [inlined]
         [6] (::AbstractMCMC.var"#32#45"{…})()
           @ AbstractMCMC ~/.julia/packages/AbstractMCMC/Es490/src/sample.jl:387
    
    ...and 1 more exception.
    
    Stacktrace:
     [1] sync_end(c::Channel{Any})
       @ Base ./task.jl:448
     [2] macro expansion
       @ ./task.jl:480 [inlined]
     [3] (::AbstractMCMC.var"#31#44"{…})()
       @ AbstractMCMC ~/.julia/packages/AbstractMCMC/Es490/src/sample.jl:361
Stacktrace:
  [1] sync_end(c::Channel{Any})
    @ Base ./task.jl:448
  [2] macro expansion
    @ ./task.jl:480 [inlined]
  [3] macro expansion
    @ ~/.julia/packages/AbstractMCMC/Es490/src/sample.jl:339 [inlined]
  [4] macro expansion
    @ ~/.julia/packages/ProgressLogging/6KXlp/src/ProgressLogging.jl:328 [inlined]
  [5] macro expansion
    @ ~/.julia/packages/AbstractMCMC/Es490/src/logging.jl:9 [inlined]
  [6] mcmcsample(rng::Random.TaskLocalRNG, model::AbstractMCMC.LogDensityModel{…}, sampler::AdvancedMH.MetropolisHastings{…}, ::AbstractMCMC.MCMCThreads, N::Int64, nchains::Int64; progress::Bool, progressname::String, initial_params::FillArrays.Fill{…}, initial_state::Nothing, kwargs::@Kwargs{…})
    @ AbstractMCMC ~/.julia/packages/AbstractMCMC/Es490/src/sample.jl:333
  [7] mcmcsample
    @ AbstractMCMC ~/.julia/packages/AbstractMCMC/Es490/src/sample.jl:292 [inlined]
  [8] #sample#19
    @ AbstractMCMC ~/.julia/packages/AbstractMCMC/Es490/src/sample.jl:90 [inlined]
  [9] sample
    @ AbstractMCMC ~/.julia/packages/AbstractMCMC/Es490/src/sample.jl:81 [inlined]
 [10] #sample#86
    @ AbstractMCMC ~/.julia/packages/AbstractMCMC/Es490/src/logdensityproblems.jl:73 [inlined]
 [11] sample
    @ AbstractMCMC ~/.julia/packages/AbstractMCMC/Es490/src/logdensityproblems.jl:64 [inlined]
 [12] #sample#18
    @ AbstractMCMC ~/.julia/packages/AbstractMCMC/Es490/src/sample.jl:62 [inlined]
 [13] run_mcmc(posterior_density::Dynare.DSGELogPosteriorDensity{…}, initial_values::Vector{…}, proposal_covariance::Matrix{…}, param_names::Vector{…}, mcmc_replic::Int64, mcmc_chains::Int64)
    @ Dynare ~/projects/DynareJulia/Dynare.jl/src/estimation/estimation.jl:1029
 [14] mh_estimation(context::Context, observations::LinearAlgebra.Transpose{…}, obsvarnames::Vector{…}, initial_values::Vector{…}; covariance::Matrix{…}, back_transformation::Bool, first_obs::Int64, last_obs::Int64, mcmc_chains::Int64, mcmc_replic::Int64, transformed_covariance::Matrix{…}, transformed_parameters::Bool, kwargs::@Kwargs{})
    @ Dynare ~/projects/DynareJulia/Dynare.jl/src/estimation/estimation.jl:1005
 [15] rwmh_compute!(; context::Context, back_transformation::Bool, datafile::String, data::AxisArrayTables.AxisArrayTable{…}, diffuse_filter::Bool, display::Bool, fast_kalman_filter::Bool, first_obs::Int64, initial_values::Vector{…}, covariance::Matrix{…}, transformed_covariance::Matrix{…}, last_obs::Int64, mcmc_chains::Int64, mcmc_init_scale::Float64, mcmc_jscale::Float64, mcmc_replic::Int64, mode_compute::Bool, nobs::Int64, order::Int64, plot_chain::Bool, plot_posterior_density::Bool, presample::Int64, transformed_parameters::Bool)
    @ Dynare ~/projects/DynareJulia/Dynare.jl/src/estimation/estimation.jl:251
 [16] top-level scope
    @ none:1
Some type information was truncated. Use `show(err)` to see complete types.

maybe a recent change in AdvancedMH.jl call to sample() with several chains?

Add support for estimating nonstationary models

diffuse Kalman filter is available in KalmanFilterTools
the is an option diffuse_filter in the estimation command/functions

Bump the dependency for DataFrames.jl

The new release for the DataFrames.jl is 1.3.4 and we are using 1.3.2 so we need to bump it

ERROR: LoadError: LinearAlgebra.LAPACKException(6)

context = @dynare "./xyz.mod";
[ Info: Dynare version: 0.8.1
[ Info: 2023-09-04T00:21:10.671: Starting @dynare ./xyz.mod
["xyz.mod", "language=julia", "json=compute"]
[ Info: Dynare preprocessor version: 6.3.0+0
Starting preprocessing of the model file ...
Found 6 equation(s).
Evaluating expressions...
Computing static model derivatives (order 1).
Normalizing the static model...
Finding the optimal block decomposition of the static model...
2 block(s) found:
0 recursive block(s) and 2 simultaneous block(s).
the largest simultaneous block has 4 equation(s)
and 4 feedback variable(s).
Computing dynamic model derivatives (order 2).
Normalizing the dynamic model...
Finding the optimal block decomposition of the dynamic model...
2 block(s) found:
0 recursive block(s) and 2 simultaneous block(s).
the largest simultaneous block has 4 equation(s)
and 4 feedback variable(s).
JSON written after Computing step.
Preprocessing completed.

[ Info: 2023-09-04T00:21:10.737: End of preprocessing
[ Info: 2023-09-04T00:21:10.761: Start parse_statements!
Iter f(x) inf-norm Step 2-norm

ERROR: LoadError: LinearAlgebra.LAPACKException(6)
Stacktrace:
[1] chklapackerror
@ C:\Users\KRISHNENDU\AppData\Local\Programs\Julia-1.9.3\share\julia\stdlib\v1.9\LinearAlgebra\src\lapack.jl:40 [inlined]
[2] gges!(ws::FastLapackInterface.GeneralizedSchurWs{Float64}, jobvsl::Char, jobvsr::Char, A::Matrix{Float64}, B::Matrix{Float64}; select::PolynomialMatrixEquations.var"#1#2"{Float64}, resize::Bool)
@ FastLapackInterface C:\Users\KRISHNENDU.julia\packages\FastLapackInterface\ZNkxZ\src\schur.jl:364
[3] gges!
@ C:\Users\KRISHNENDU.julia\packages\FastLapackInterface\ZNkxZ\src\schur.jl:309 [inlined]
[4] gs_solver!(ws::PolynomialMatrixEquations.GsSolverWs, d::Matrix{Float64}, e::Matrix{Float64}, n1::Int64, qz_criterium::Float64)
@ PolynomialMatrixEquations C:\Users\KRISHNENDU.julia\packages\PolynomialMatrixEquations\5luE3\src\GeneralizedSchurDecompositionSolver.jl:38
[5] solve!
@ C:\Users\KRISHNENDU.julia\packages\LinearRationalExpectations\8YoRq\src\linear_rational_expectations.jl:148 [inlined]
[6] solve_g1!(results::LinearRationalExpectations.LinearRationalExpectationsResults, ws::LinearRationalExpectations.LinearGsSolverWs, options::LinearRationalExpectations.LinearRationalExpectationsOptions)
@ LinearRationalExpectations C:\Users\KRISHNENDU.julia\packages\LinearRationalExpectations\8YoRq\src\linear_rational_expectations.jl:157
[7] first_order_solver!(results::LinearRationalExpectations.LinearRationalExpectationsResults, jacobian::Matrix{Float64}, options::LinearRationalExpectations.LinearRationalExpectationsOptions, ws::LinearRationalExpectations.LinearRationalExpectationsWs)
@ LinearRationalExpectations C:\Users\KRISHNENDU.julia\packages\LinearRationalExpectations\8YoRq\src\linear_rational_expectations.jl:460
[8] compute_first_order_solution!(context::Context, endogenous::Vector{Float64}, exogenous::Vector{Float64}, steadystate::Vector{Float64}, params::Vector{Float64}, model::Model, ws::Dynare.DynamicWs, options::Dynare.StochSimulOptions; variance_decomposition::Bool)
@ Dynare C:\Users\KRISHNENDU.julia\packages\Dynare\iuXSt\src\perturbations.jl:590
[9] compute_first_order_solution!
@ C:\Users\KRISHNENDU.julia\packages\Dynare\iuXSt\src\perturbations.jl:561 [inlined]
[10] compute_stoch_simul!(context::Context, ws::Dynare.DynamicWs, params::Vector{Float64}, options::Dynare.StochSimulOptions; kwargs::Base.Pairs{Symbol, Bool, Tuple{Symbol}, NamedTuple{(:variance_decomposition,), Tuple{Bool}}})
@ Dynare C:\Users\KRISHNENDU.julia\packages\Dynare\iuXSt\src\perturbations.jl:498
[11] compute_stoch_simul!
@ C:\Users\KRISHNENDU.julia\packages\Dynare\iuXSt\src\perturbations.jl:482 [inlined]
[12] stoch_simul_core!(context::Context, ws::Dynare.DynamicWs, options::Dynare.StochSimulOptions)
@ Dynare C:\Users\KRISHNENDU.julia\packages\Dynare\iuXSt\src\perturbations.jl:421
[13] stoch_simul!(context::Context, field::Dict{String, Any})
@ Dynare C:\Users\KRISHNENDU.julia\packages\Dynare\iuXSt\src\perturbations.jl:390
[14] parse_statements!(context::Context, statements::Vector{Any})
@ Dynare C:\Users\KRISHNENDU.julia\packages\Dynare\iuXSt\src\DynareParser.jl:311
[15] parser(modfilename::String, commandlineoptions::Dynare.CommandLineOptions)
@ Dynare C:\Users\KRISHNENDU.julia\packages\Dynare\iuXSt\src\DynareParser.jl:224
[16] dynare(::String)
@ Dynare C:\Users\KRISHNENDU.julia\packages\Dynare\iuXSt\src\Dynare.jl:84
[17] var"@dynare"(source::LineNumberNode, module::Module, modfile_arg::String, args::Vararg{Any})
@ Dynare C:\Users\KRISHNENDU.julia\packages\Dynare\iuXSt\src\Dynare.jl:55
in expression starting at REPL[8]:1

Upgrading to new version of the Dynare preprocessor

When upgrading to the new version of the Dynare preprocessor, we need to take into account the following breaking changes:

the syntax for Mixed Complementarity Problems has changed. The new version is in modfile.json. The current syntax is supported by function get_mcps! in DynareParser.jl

Dynare.jl fails PkgEval

See https://juliahub.com/ui/Packages/General/Dynare

Use https://github.com/JuliaCI/PkgEval.jl for testing/debugging

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Simple Solow Model in Dynare

Hello professor Juillard,

Using your excellent Julia package I came across with an error. Here I show the .mod file for a simple Solow model.

% Simple Solow Model

var Y K Z;
varexo e;

parameters alpha delta s rho;

alpha = 0.35;
delta = 0.025;
s = 0.1;
rho = 0.75;

% Model equations
model(linear);

Y=Z+K(-1)alpha;
K= (1 - delta)K(-1) + deltaY;
Z = rhoZ(-1)+e;

end;

shocks;
var e; stderr 1;
end;

steady;

stoch_simul;
Solow.txt

WHICH GIVES:

Steady state

───┬─────
Y │ 0.0
K │ 0.0
Z │ 0.0
───┴─────

The model is already linearized and the steady state of the variables is correct (0,0,0) then I get this error:

BoundsError([0 1 2; 3 4 5], (3, 1))
Do you know why is this happening?

Thank you very much.

LoadError: Failed to precompile example1Dynamic [top-level] to C:\Users\giorg\.julia\compiled\v1.7\jl_2440.tmp

I decided to move from MATLAB to Julia. In order to get up and running with Dynare/Julia I cloned this repo to my local folder (the address shown below), then I cd-ed to that folder and followed the instructions exactly as written in README.md, however, I ran into several errors. Having thought I have had some problems in general registry and packages, I deleteed the entire July installation and reinstalled clean version of it. The script below shows my Julia REPL for the first time after installation was complete. Despite this, it still runs into the same error when running example1 test model in this repo. Below I copied the entire output from my REPL (note that I have not installed any other packages yet. This was clean Julia package). I am not proficient enough with Julia (strated getting to know with it only a couple of days ago) to debug this error message and since I have clean install of Julia and I folowed the instructions in README.md file exactly I suspect there could be a problem with the repo itself.

               _
   _       _ _(_)_     |  Documentation: https://docs.julialang.org
  (_)     | (_) (_)    |
   _ _   _| |_  __ _   |  Type "?" for help, "]?" for Pkg help.
  | | | | | | |/ _` |  |
  | | |_| | | | (_| |  |  Version 1.7.2 (2022-02-06)
 _/ |\__'_|_|_|\__'_|  |  Official https://julialang.org/ release
|__/                   |

julia> pwd()
"C:\\Users\\giorg"

julia> cd
cd (generic function with 4 methods)

julia> cd()

julia> pwd()
"C:\\Users\\giorg"

julia> pwd(./document)
ERROR: syntax: "./" is not a unary operator
Stacktrace:
 [1] top-level scope
   @ none:1

julia> cd(./documenst)
ERROR: syntax: "./" is not a unary operator
Stacktrace:
 [1] top-level scope
   @ none:1

julia> cd(./documents)
ERROR: syntax: "./" is not a unary operator
Stacktrace:
 [1] top-level scope
   @ none:1

julia> cd("./documents")

julia> pwd()
  Downloaded artifact: LZO
  Downloaded artifact: FriBidi
  Downloaded artifact: Rmath
  Downloaded artifact: GLFW
  Downloaded artifact: x264
  Downloaded artifact: FreeType2
  Downloaded artifact: libpng
  Downloaded artifact: Zstd
  Downloaded artifact: Expat
  Downloaded artifact: Libtiff
  Downloaded artifact: PCRE
  Downloaded artifact: Libffi
  Downloaded artifact: Ogg
  Downloaded artifact: XSLT
  Downloaded artifact: OpenSpecFun
  Downloaded artifact: Wayland_protocols
  Downloaded artifact: Graphite2
  Downloaded artifact: libass
  Downloaded artifact: Pixman
  Downloaded artifact: XML2
  Downloaded artifact: Gettext
  Downloaded artifact: OpenSSL
  Downloaded artifact: FFMPEG
  Downloaded artifact: Libgcrypt
  Downloaded artifact: LAME
  Downloaded artifact: Libiconv
  Downloaded artifact: DynarePreprocessor
  Downloaded artifact: Glib
  Downloaded artifact: libvorbis
    Updating `C:\Users\giorg\.julia\environments\v1.7\Project.toml`
  [5203de40] + Dynare v0.2.0
    Updating `C:\Users\giorg\.julia\environments\v1.7\Manifest.toml`
  [79e6a3ab] + Adapt v3.3.3
  [4fba245c] + ArrayInterface v4.0.3
  [6e4b80f9] + BenchmarkTools v1.3.1
  [336ed68f] + CSV v0.10.2
  [d360d2e6] + ChainRulesCore v1.12.0
  [9e997f8a] + ChangesOfVariables v0.1.2
  [944b1d66] + CodecZlib v0.7.0
  [35d6a980] + ColorSchemes v3.17.1
  [3da002f7] + ColorTypes v0.11.0
  [5ae59095] + Colors v0.12.8
  [bbf7d656] + CommonSubexpressions v0.3.0
  [34da2185] + Compat v3.41.0
  [d38c429a] + Contour v0.5.7
  [a8cc5b0e] + Crayons v4.1.1
  [9a962f9c] + DataAPI v1.9.0
  [a93c6f00] + DataFrames v1.3.2
  [864edb3b] + DataStructures v0.18.11
  [e2d170a0] + DataValueInterfaces v1.0.0
  [163ba53b] + DiffResults v1.0.3
  [b552c78f] + DiffRules v1.9.1
  [b4f34e82] + Distances v0.10.7
  [ffbed154] + DocStringExtensions v0.8.6
  [5203de40] + Dynare v0.2.0
  [e2ba6199] + ExprTools v0.1.8
  [78f5a1cc] + ExtendedDates v0.1.1
  [c87230d0] + FFMPEG v0.4.1
  [29a986be] + FastLapackInterface v0.1.3
  [48062228] + FilePathsBase v0.9.17
  [6a86dc24] + FiniteDiff v2.10.1
  [53c48c17] + FixedPointNumbers v0.8.4
  [59287772] + Formatting v0.4.2
  [f6369f11] + ForwardDiff v0.10.25
  [28b8d3ca] + GR v0.64.0
  [5c1252a2] + GeometryBasics v0.4.1
  [42e2da0e] + Grisu v1.0.2
  [cd3eb016] + HTTP v0.9.17
  [615f187c] + IfElse v0.1.1
  [83e8ac13] + IniFile v0.5.0
  [842dd82b] + InlineStrings v1.1.2
  [3587e190] + InverseFunctions v0.1.2
  [41ab1584] + InvertedIndices v1.1.0
  [92d709cd] + IrrationalConstants v0.1.1
  [c8e1da08] + IterTools v1.4.0
  [42fd0dbc] + IterativeSolvers v0.9.2
  [82899510] + IteratorInterfaceExtensions v1.0.0
  [692b3bcd] + JLLWrappers v1.4.1
  [682c06a0] + JSON v0.21.3
  [ec016732] + KalmanFilterTools v0.1.0
  [b964fa9f] + LaTeXStrings v1.3.0
  [23fbe1c1] + Latexify v0.15.9
  [d3d80556] + LineSearches v7.1.1
  [7a12625a] + LinearMaps v3.5.1
  [45f42fbc] + LinearRationalExpectations v0.1.3
  [2ab3a3ac] + LogExpFunctions v0.3.6
  [1914dd2f] + MacroTools v0.5.9
  [739be429] + MbedTLS v1.0.3
  [442fdcdd] + Measures v0.3.1
  [e1d29d7a] + Missings v1.0.2
  [d41bc354] + NLSolversBase v7.8.2
  [77ba4419] + NaNMath v0.3.7
  [bac558e1] + OrderedCollections v1.4.1
  [d96e819e] + Parameters v0.12.3
  [69de0a69] + Parsers v2.2.2
  [ccf2f8ad] + PlotThemes v2.0.1
  [995b91a9] + PlotUtils v1.1.3
  [91a5bcdd] + Plots v1.25.10
  [4f9d485d] + PolynomialMatrixEquations v0.1.0
  [2dfb63ee] + PooledArrays v1.4.0
  [21216c6a] + Preferences v1.2.3
  [08abe8d2] + PrettyTables v1.3.1
  [3cdcf5f2] + RecipesBase v1.2.1
  [01d81517] + RecipesPipeline v0.5.0
  [189a3867] + Reexport v1.2.2
  [05181044] + RelocatableFolders v0.1.3
  [ae029012] + Requires v1.3.0
  [79098fc4] + Rmath v0.7.0
  [7e49a35a] + RuntimeGeneratedFunctions v0.5.3
  [6c6a2e73] + Scratch v1.1.0
  [91c51154] + SentinelArrays v1.3.12
  [992d4aef] + Showoff v1.0.3
  [a2af1166] + SortingAlgorithms v1.0.1
  [276daf66] + SpecialFunctions v2.1.2
  [aedffcd0] + Static v0.5.5
  [90137ffa] + StaticArrays v1.3.5
  [82ae8749] + StatsAPI v1.2.0
  [2913bbd2] + StatsBase v0.33.15
  [4c63d2b9] + StatsFuns v0.9.15
  [09ab397b] + StructArrays v0.6.4
  [fd094767] + Suppressor v0.2.0
  [3783bdb8] + TableTraits v1.0.1
  [bd369af6] + Tables v1.6.1
  [ff13af16] + TimeDataFrames v0.1.3
  [0796e94c] + Tokenize v0.5.21
  [3bb67fe8] + TranscodingStreams v0.9.6
  [5c2747f8] + URIs v1.3.0
  [3a884ed6] + UnPack v1.0.2
  [1cfade01] + UnicodeFun v0.4.1
  [41fe7b60] + Unzip v0.1.2
  [ea10d353] + WeakRefStrings v1.4.1
  [6e34b625] + Bzip2_jll v1.0.8+0
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  [b22a6f82] + FFMPEG_jll v4.4.0+0
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  [d7e528f0] + FreeType2_jll v2.10.4+0
  [559328eb] + FriBidi_jll v1.0.10+0
  [0656b61e] + GLFW_jll v3.3.6+0
  [d2c73de3] + GR_jll v0.64.0+0
  [78b55507] + Gettext_jll v0.21.0+0
  [7746bdde] + Glib_jll v2.68.3+2
  [3b182d85] + Graphite2_jll v1.3.14+0
  [2e76f6c2] + HarfBuzz_jll v2.8.1+1
  [aacddb02] + JpegTurbo_jll v2.1.2+0
  [c1c5ebd0] + LAME_jll v3.100.1+0
  [dd4b983a] + LZO_jll v2.10.1+0
  [e9f186c6] + Libffi_jll v3.2.2+1
  [d4300ac3] + Libgcrypt_jll v1.8.7+0
  [7e76a0d4] + Libglvnd_jll v1.3.0+3
  [7add5ba3] + Libgpg_error_jll v1.42.0+0
  [94ce4f54] + Libiconv_jll v1.16.1+1
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  173 dependencies successfully precompiled in 272 seconds

julia> pwd()
"C:\\Users\\giorg\\documents\\Julia\\Dynare\\Dynare.jl"

julia> using Dynare

julia>

julia> context = @dynare "./test/models/example1/example1.mod";
[ Info: 2022-02-15T23:08:51.531: Starting @dynare ./test/models/example1/example1.mod
["example1.mod", "language=julia", "json=compute"]
Starting preprocessing of the model file ...
Found 6 equation(s).
Evaluating expressions...done
Computing static model derivatives (order 1).
Computing dynamic model derivatives (order 1).
JSON written after Computing step.
Preprocessing completed.

[ Info: 2022-02-15T23:08:52.644: End of preprocessing
ERROR: LoadError: Failed to precompile example1Dynamic [top-level] to C:\Users\giorg\.julia\compiled\v1.7\jl_2440.tmp.
Stacktrace:
  [1] error(s::String)
    @ Base .\error.jl:33
  [2] compilecache(pkg::Base.PkgId, path::String, internal_stderr::IO, internal_stdout::IO, ignore_loaded_modules::Bool)
    @ Base .\loading.jl:1466
  [3] compilecache(pkg::Base.PkgId, path::String)
    @ Base .\loading.jl:1410
  [4] _require(pkg::Base.PkgId)
    @ Base .\loading.jl:1120
  [5] require(uuidkey::Base.PkgId)
    @ Base .\loading.jl:1013
  [6] require(into::Module, mod::Symbol)
    @ Base .\loading.jl:997
  [7] eval
    @ .\boot.jl:373 [inlined]
  [8] eval
    @ C:\Users\giorg\.julia\packages\Dynare\YgY1L\src\Dynare.jl:1 [inlined]
  [9] macro expansion
    @ C:\Users\giorg\.julia\packages\Dynare\YgY1L\src\dynare_containers.jl:709 [inlined]
 [10] macro expansion
    @ C:\Users\giorg\.julia\packages\Suppressor\nTjgZ\src\Suppressor.jl:35 [inlined]
 [11] load_dynare_function(modname::String, compileoption::Bool)
    @ Dynare C:\Users\giorg\.julia\packages\Dynare\YgY1L\src\dynare_containers.jl:706
 [12] Model(modfilename::String, modfileinfo::Dynare.ModFileInfo, endogenous_nbr::Int64, lead_lag_incidence::Vector{Vector{Int64}}, exogenous_nbr::Int64, lagged_exogenous_nbr::Int64, exogenous_deterministic_nbr::Int64, parameter_nbr::Int64, orig_endo_nbr::Int64, aux_vars::Vector{Any}, maximum_endo_lag::Int64, maximum_endo_lead::Int64, maximum_exo_lag::Int64, maximum_exo_lead::Int64, maximum_exo_det_lag::Int64, maximum_exo_det_lead::Int64, maximum_lag::Int64, maximum_lead::Int64, orig_maximum_endo_lag::Int64, orig_maximum_endo_lead::Int64, orig_maximum_exo_lag::Int64, orig_maximum_exo_lead::Int64, orig_maximum_exo_det_lag::Int64, orig_maximum_exo_det_lead::Int64, orig_maximum_lag::Int64, orig_maximum_lead::Int64, NNZDerivatives::Vector{Int64}, compileoption::Bool)
    @ Dynare C:\Users\giorg\.julia\packages\Dynare\YgY1L\src\dynare_containers.jl:381
 [13] get_model(modfilename::String, modfileinfo::Dynare.ModFileInfo, dynare_model_info::Dict{String, Any}, commandlineoptions::Dynare.CommandLineOptions, endo_nbr::Int64, exo_nbr::Int64, exo_det_nbr::Int64, param_nbr::Int64, orig_endo_nbr::Int64, aux_vars::Vector{Any})
    @ Dynare C:\Users\giorg\.julia\packages\Dynare\YgY1L\src\DynareParser.jl:60
 [14] parser(modfilename::String, commandlineoptions::Dynare.CommandLineOptions)
    @ Dynare C:\Users\giorg\.julia\packages\Dynare\YgY1L\src\DynareParser.jl:160
 [15] var"@dynare"(__source__::LineNumberNode, __module__::Module, modfile_arg::String, args::Vararg{Any})
    @ Dynare C:\Users\giorg\.julia\packages\Dynare\YgY1L\src\Dynare.jl:53
in expression starting at REPL[18]:1

Error when running standard stoch_simul() in Julia

Hi,

I am facing an error when requesting a stoch_simul in Julia for a standard small-dimension NK model:

"ERROR: LoadError: MethodError: no method matching get_power_deriv(::Float64, ::Int64, ::Int64)"

ts_nk_model_mod.txt
ts_nk_model.txt

The dynare code works in matlab, so I don't see a reason why it should not work in Julia.

Attached you can find the .mod and .jl files (in txt format).

Thanks for transitioning from Matlab!

mh_nblocks not having effect

On dynare.jl v0.9.12 and Julia 1.11.0beta1, mh_nblocks appears not to have any effect:

Using mh_nblocks=4, as follows:

estimation(order=1, datafile='dsgedata.csv', mh_replic=20000, mh_nblocks=4, mh_jscale=2.) ;

The results appear to be for a single chain of length 20000:

Acceptance rate chain 1: 0.26595

Chains MCMC chain (20000×8×1 Array{Float64, 3}):

Iterations        = 1:1:20000
Number of chains  = 1
Samples per chain = 20000

In the context file, this seems to be confirmed:

julia> (context.results.model_results[1]).estimation.posterior_mcmc_chains_nbr
1

UndefVarError: when plotting IRF

Hi,

There is a small typo in the file graphics.jl:

Dynare.jl/src/graphics.jl

Line 125 in e11f044

filename = "$(filepath)_$(exonenous_name)_$(nbplt).png"

"exonenous_name" should be " exogenous_names" (defined line 119 just above).

This sometimes lead to error messages:

LoadError: UndefVarError: exonenous_name not defined
in expression starting at In[54]:1

Stacktrace:
 [1] plot_irfs(y::Vector{Matrix{Float64}}, model::Model, symboltable::Dict{String, DynareSymbol}, filepath::String)
   @ Dynare ~/.julia/packages/Dynare/7hgrr/src/graphics.jl:125

stoch_simul ignores list of variables for irfs

For the example1.mod example, change the list of variables to print for instance with stoch_simul(order=1) y c k;. The irfs still contain exactly the same variables in the same orders.

For a bigger model, independently of the stoch_simul command, I found that it prints the first 8 variables in declaration order and ignores the next one.

ROADMAP

Solution methods

finalize sparse grids
explore using PATH with sparse grids for models with occasionally binding constraints
add deep net equilibrium
add GDSGE (leverage Cao et al. C++ library)
finalize k-order local approximation
add stochastic extended path
extend solution methods for limited rationality models

Interface with *.mod file

benchmark evaluation of symbolic derivatives produced by preprocessor with Julia AD solutions

Estimation

compute analytical derivatives of posterior density + compare with automatic differentiation
finalize ./src/estimation/smc.jl
investigate and add Hamiltonian Monte Carlo
add Approximate Bayesian Computation (ABC)

Simulation and Forecast

add plots with confidence regions

Recursive blocks

finalize decomposition of a model in recursive blocks
identify intermediate variables that can be treated as local variables in a function representing the sub-model
adapt existing solution algorithms to solve the various blocks in a loop

Heterogeneous agent models

use the techniques developed for recursive blocks to solve heterogeneous agent models

Markov switching models

explore collaboration with Junior Maih's RISE

Global sensitivity methods

port Marco Ratto's code from Dynare Matlab

Request for ML estimation

I would like to do plain ML estimation, which is not yet supported as of v0.9.12. I'm attaching example code. The file mle.txt is the mod file, but github doesn't seem to like the .mod extension.

When run, the error is

MethodError(Dynare.parse_prior_distribution, (Val{0}(), Dict{String, Any}("p4" => "NaN", "jscale" => "NaN", "prior_distribution" => 0, "param" => "rhoA", "lower_bound" => "(-Inf)", "p3" => "NaN", "upper_bound" => "Inf", "init_val" => "0.9226", "mean" => "NaN", "std" => "NaN")), 0x00000000000068c3) 2024-05-28T11:58:18.274: End parser

dataset_mj.csv
mle.txt

Use of Formatting.jl

It looks like Formatting.jl (which is not currently being maintained) is no longer needed as a dependency for this package.
I was investigating changing it to use Format.jl (which has fixed most all of the issues with Formatting.jl), but the one place it was being used was in src/reporting/report.jl, but that was removed about 2 years ago.