DynareOBC: A toolkit for handling occasionally binding constraints with Dynare, by Tom Holden.

Note: DynareOBC currently only has limited support for Dynare 4.6.x. MLV simulation is not supported under Dynare 4.6.x and there may be other problems. I recommend sticking with Dynare 4.5.x for now.

Background

Please read the theory paper from here: https://github.com/tholden/dynareOBC/raw/master/TheoryPaperBody.pdf (Or here for citations: https://ideas.repec.org/p/zbw/esprep/130142.html )

And the computational paper from here: https://github.com/tholden/dynareOBC/raw/master/ComputationalPaper.pdf (Or here for citations: https://ideas.repec.org/p/zbw/esprep/130143.html )

A paper documenting the estimation procedure is available from here: https://github.com/tholden/EST-NLSS/raw/master/EstimationPaper.pdf (Or here for citations: http://dx.doi.org/10.5281/zenodo.50127 )

The code itself may be cited via the following DOI: http://dx.doi.org/10.5281/zenodo.50132

Alternatively, read the technical slides from here: https://github.com/tholden/dynareOBC/raw/master/TechnicalSlides.pdf

Or the non-technical slides from here: https://github.com/tholden/dynareOBC/raw/master/NonTechnicalSlides.pdf

Or the course slides from here: https://github.com/tholden/dynareOBC/raw/master/CourseSlides.pdf

Installation

1. Download the latest release from: https://github.com/tholden/dynareOBC/releases
2. Extract the release to a directory on a local drive.
3. Make sure your MATLAB path does not contain any Dynare folders other than the matlab sub-folder of your Dynare install. You should never click "add with subfolders" when adding Dynare to your MATLAB path, else Dynare will perform poorly, and DynareOBC will not work at all.
4. Add just the folder containing dynareOBC.m to your MATLAB path. Do not click with add-with subfolders!
5. Relax, as DynareOBC updates itself and its dependencies each time it is run.

Requirements

Requirements (to be installed and added to your Matlab path):

• MATLAB version R2013a or later, or a fully compatible clone. Note that while DynareOBC should work on all platforms, it has been most heavily tested on 64-bit Windows, so if possible we suggest you use this platform.
• Dynare, version 4.4 or later, from: http://www.dynare.org/download/dynare-stable
• If on Windows, either administrative rights on the computer on which you are installing DynareOBC, so that DynareOBC can automatically install its other dependencies, or the manual installation of the items listed in the Additional requirements for people using Windows, without administrative rights section below.

Recommended additional installations:

• MATLAB R2016a or later.
• The MATLAB Parallel Toolbox, or a fully compatible clone, which speeds up assorted routines.
• The MATLAB Optimization Toolbox, or an alternative non-linear least squares routine, which is required for the experimental global option. (To use an alternative routine, you must set dynareOBC.FSolveFunctor.) This toolbox is also required for some options of estimation, as detailed below.
• The MATLAB Statistics and Machine Learning Toolox, or a fully compatible clone, which is required for estimation.
• The MATLAB Symbolic Toolbox, which is required for the UseVPA option.
• A working compiler for MEX which is supported by MATLAB Coder, ideally supporting OpenMP. On Windows, a free compiler meeting these requirements is available from: https://www.visualstudio.com/en-us/news/vs2013-community-vs.aspx . Alternatively, on Windows, with MATLAB r2015b, another free compiler meeting these requirements (which uses much less disk space) is available by clicking on "Add-Ons" in the MATLAB toolbar, then searching for MinGW. Be sure to untick the "check for updated files" in the installer that opens.
• MATLAB Coder, or a fully compatible clone (only used with MATLAB R2015a or later).
• A competitive mixed integer linear programming solver, such as one of the below (listed in rough order of performance), each of which is available for free to academics:
  • GUROBI Optimizer, from http://www.gurobi.com/academia/for-universities
  • IBM CPLEX, by following the instructions here: https://www.ibm.com/developerworks/community/blogs/jfp/entry/cplex_studio_in_ibm_academic_initiative?lang=en
  • FICO Xpress, from https://community.fico.com/download.jspa
  • MOSEK, from https://mosek.com/resources/academic-license and https://mosek.com/resources/downloads

Additional requirements for people using Windows, without administrative rights

If you are using Windows, and you do not have administrative rights on your own computer, you need to ask your system administrator to download and install the following standard redistributable packages, which provide system libraries used by code compiled with either Microsoft Visual C++, the Intel C Compiler, or the Intel Fortran Compiler.

If you are using a 64-bit version of MATLAB, please ask for the following to be installed:

• https://aka.ms/vs/15/release/VC_redist.x64.exe
• ww_ifort_redist_intel64_2018.3.210.msi from inside: https://software.intel.com/sites/default/files/managed/47/ed/ww_ifort_redist_msi_2018.3.210.zip

If you are using a 32-bit version of MATLAB, please ask for the following to be installed:

• https://aka.ms/vs/15/release/VC_redist.x86.exe
• https://download.microsoft.com/download/0/5/6/056dcda9-d667-4e27-8001-8a0c6971d6b1/vcredist_x86.exe
• ww_ifort_redist_ia32_2018.3.210.msi from inside: https://software.intel.com/sites/default/files/managed/47/ed/ww_ifort_redist_msi_2018.3.210.zip

Troubleshooting

If you have any strange errors, first try these steps:

1. Delete all .mat files from the DynareOBC directory.
2. Delete all .mex??? files from the Core sub-directory of your DynareOBC install (but not from its sub-directories).
3. Delete your DynareOBC directory, and then go through the installation steps above again.

If after doing this, you suspect a bug, report it here: https://github.com/tholden/dynareOBC/issues

Basic Usage

Usage: dynareOBC FILENAME[.mod,.dyn] [OPTIONS]

DynareOBC executes instruction included in the conventional dynare mod file, FILENAME.mod.

Unlike dynare, DynareOBC can handle simulation of models containing non-differentiable functions. Note:

• DynareOBC approximates the non-differentiable function in levels. Thus if r and pi are the endogenous variables of interest: r = max( 0, 0.005 + 1.5 * pi ); will be more accurate than: exp(r) = max( 1, exp( 0.005 + 1.5 * pi ) );.
• DynareOBC may produce strange results on models with an indeterminate steady-state, so caution should be taken when using the STEADY_STATE command. The initval or steady_state_model blocks should not be used to attempt to pin down a steady-state, since these will be ignored by DynareOBC in later steps of its solution procedure.
• DynareOBC defines the preprocessor constant dynareOBC during execution.

OPTIONS (NOT CASE SENSITIVE!) include:

• For controlling the inner solution procedure

  • TimeToEscapeBounds=INTEGER (default: 32) The number of periods after which the model is expected to be away from any occasionally binding constraints. If there is no solution which finally escapes within this time, DynareOBC will produce an error. Note that when a global solution is requested, this value is ignored, and the maximum of the requested number of IRF periods, and the value of TimeToReturnToSteadyState, is used instead.
  • TimeToReturnToSteadyState=INTEGER (default: 64) The number of periods in which to verify that the constraints are not being violated. If this is lower than TimeToEscapeBounds + 1, or the requested number of IRF periods, or PeriodsOfUncertainty + 1, then that value will be used instead.
  • MaxParametricSolutionDimension=INTEGER (default: 4) If the simulation is at the bound for at most this number of periods divided by the number of bounds, then a pre-computed solution will be used, increasing the speed of long simulations, or those involving integration.
  • MILPSolver=STRING (default: gurobi,cplex,xpress,mosek,scip,cbc,intlinprog,lpsolve,glpk,*) DynareOBC uses YALMIP internally for solving a mixed integer linear programming problem. This option sets YALMIP's preferred solvers. To find out what solvers are available to you, run dynareOBC TestSolvers, and examine the list displayed by YALMIP.
  • ReverseSearch By default, DynareOBC finds a solution in which the last period at the bound is as soon as possible. This option makes DynareOBC find a solution in which the last period at the bound is as remote as possible, subject to being less than the longest horizon (i.e. TimeToEscapeBounds).
  • FullHorizon By default, DynareOBC finds a solution in which the last period at the bound is as soon as possible. This option makes DynareOBC just solve the bounds problem at the longest horizon (i.e. TimeToEscapeBounds).
  • Omega=FLOAT (default: 1000) The tightness of the constraint on the news shocks. If this is large, solutions with news shocks close to zero will be returned when there are multiple solutions. It is often helpful to combine this option with FullHorizon so that DynareOBC does not just choose the solution which escapes the bound first.
  • SkipFirstSolutions=INTEGER (default: 0) If this is greater than 0, then DynareOBC ignores the first INTEGER solutions it finds, unless no other solutions are found, in which case it takes the last found one. Thus, without ReverseSearch, this tends to find solutions at the bound for longer. With ReverseSearch, this tends to find solutions at the bound for less time.
  • MultiThreadBoundsProblem Some MILP solvers are multi-threaded. By default though, DynareOBC turns off the MILP solver's multi-threading when possible, unless DynareOBC is not doing any parallel simulation. Enabling this option will restore the multi-threading of certain solvers. Since DynareOBC parallelizes at a higher level (e.g. in cubature, MLV simulation, slow IRF computation, or estimation), this usually slows down runs.
  • RetryOnOptimizerError Some MILP solvers occasionally throw errors for no good reason, e.g. because of temporary unavailability of a license server. This option makes DynareOBC keep retrying following an error in the optimizer.
  • IgnoreBoundFailures Makes DynareOBC atttempt to continue even after it has failed to solve the bounds problem due to e.g. infeasability. This will severely compromise accuracy.
  • OtherMODFile=STRING If, during simulation, DynareOBC fails to solve a bounds problem, then with this option enabled, it assumes that agents in the model switch their long-run beliefs to be governed by the other MOD file STRING. For example, in a ZLB context, the original MOD file may be solved around the positive inflation steady-state, while the other MOD file is solved around the indeterminate deflationary steady-state (with the indeterminacy resolved via adding a sunspot equation). The other MOD file must have the same endogenous and exogenous variables as the original, in the same order. The possibility of such switches is not taken into account by agents in forming expectations, even when Cubature is enabled.
  • OtherMODFileSwitchToProbability=FLOAT DynareOBC can additionally switch steady-states from the original MOD file, to the provided OtherMODFile, with some constant exogenous probability FLOAT. The possibility of such switches is not taken into account by agents in forming expectations, even when Cubature is enabled.
  • OtherMODFileSwitchFromProbability=FLOAT DynareOBC can additionally switch steady-states from the provided OtherMODFile, to the original MOD file, with some constant exogenous probability FLOAT. The possibility of such switches is not taken into account by agents in forming expectations, even when Cubature is enabled.

• For controlling cubature

  • Cubature Turns on cubature. By default DynareOBC assumes that agents are "surprised" by the existence of the bound. (At order=1, this is equivalent to a perfect foresight solution to the model.) Setting this option removes this simplifying assumption, and uses to integrate over future uncertainty, using the options below.
  • CubatureRegions=INTEGER (default: 1) The cubature method splits the integration space into INTEGER regions, and then integrates separately over each region. Setting this to a value greater than 1 automatically turns on Cubature.
  • CubatureClusteringEffort=INTEGER (default: 0) Determines how much effort DynareOBC puts into finding "good" clusters. If this is equal to 0, it uses a simple hierarchical method. If it is equal to 1 it uses k-means clustering without the "online" final step. If it is equal to 2 it uses k-means clustering with the "online" final step.
  • CubatureCATCHDegree=INTEGER (default: 0) If this option is set to its default of 0, then DynareOBC approximates the integral over a region with the value of the function at the mean of the points in the region. If this option is set to a value INTEGER greater than 0, then Caratheodory-Tchakaloff (CATCH) subsampling is used, with basis functions consisting of all monomials in q and min{0,q} with degree less or equal to INTEGER. Setting this to a value greater than 0 automatically turns on Cubature.
  • PeriodsOfUncertainty=INTEGER (default: 16) Controls the number of periods of uncertainty over which DynareOBC integrates when Cubature is turned on. Since a cosine windowing function is used, the effective number of periods of uncertainty is roughly half this number.
  • QuasiMonteCarloLevel=INTEGER (default: 15) To generate an initial point set, DynareOBC uses quasi-Monte Carlo (Sobol) integration with at most 2^(1+INTEGER) - 1 samples (if HigherOrderSobolDegree is zero) or 2^(1+INTEGER) samples (otherwise) to integrate over future uncertainty.
  • HigherOrderSobolDegree=INTEGER (default: 0) Setting this option greater than 0 makes DynareOBC use a Higher Order Sobol sequence, rather than a standard one. Values larger than the minimum of 50 and 52 divided by the integration dimension are capped to that level. Setting this to a value greater than 0 automatically turns on Cubature.
  • CubaturePruningCutOff=FLOAT (default: 0.01) Eigenvalues of the covariance matrix of the distribution from which we integrate that are below FLOAT times the maximum eigenvalue are "pruned" to zero, in order to increase integration speed.
  • CubatureRelWeightCutOff=FLOAT (default: 0.0001) Cubature node weights that are below FLOAT times the maximum cubature node weight in a region are "pruned" to zero, in order to increase integration speed.
  • MaxCubatureDimension=INTEGER (default: 128) The maximum dimension over which to integrate. If the algorithm needs to integrate over a larger space, it will "prune" all but the INTEGER largest eigenvalues of the covariance matrix to zero.
  • MultiThreadCubatureRuleCreation Some LP solvers are multi-threaded. By default though, DynareOBC turns off the LP solver's multi-threading when possible, unless DynareOBC is not doing any parallel simulation. Enabling this option will restore the multi-threading of certain solvers. Since DynareOBC parallelizes at a higher level (e.g. over cubature regions, or in MLV simulation, slow IRF computation, or estimation), this usually slows down runs.
  • MaxCubatureSerialLoop (default: 2) Determines the maximum number of calls to the solution of the inner bounds problem, or cubature rule creation problem, before a loop is parallelized.
  • RetrieveConditionalCovariancesParallelizationCutOff (default: 256) Determines the size of matrix beyond which we parallelize certain loops involved in calculating the covariance of the random variables over which we perform cubature.
  • FastCubature Deprecated. Now equivalent to Cubature.
  • ImportanceSampling Ignored. Left in for backwards compatibility.
  • NoCubature Ignored. Left in for backwards compatibility.

• For controlling accuracy

  • FirstOrderAroundRSS Takes a linear approximation around the risky steady state of the non-linear model. If specifying this option, you should set order=2 or order=3 in your mod file.
  • FirstOrderAroundMean Takes a linear approximation around the ergodic mean of the non-linear model. If specifying this option, you should set order=2 or order=3 in your mod file.
  • SecondOrderConditionalCovariance Even when order>1, by default, DynareOBC uses a first order approximation of the conditional covariance to determine the space of paths to integrate over. This option specifies that a second order approximation should be used instead. This requires order>1 without FirstOrderAroundRSS or FirstOrderAroundMean.
  • MLVSimulationMode=0|1|2|3 (default: 0) If MLVSimulationMode=0, DynareOBC does not attempt to simulate the path of model local variables. If MLVSimulationMode>0, DynareOBC generates simulated paths and average impulse responses for each model local variable (MLV) which is used in the model, non-constant, non-forward looking, and not purely backwards looking. If MLVSimulationMode>1, DynareOBC additionally generates simulated paths and average impulse responses for each non-constant MLV, used in the model, containing forward looking terms. If MLVSimulationMode=2, then DynareOBC takes the expectation of each forward looking MLV using sparse cubature. If MLVSimulationMode=3, then DynareOBC takes the expectation of each forward looking MLV using quasi-Monte Carlo integration.
    • MLVSimulationAccuracy=INTEGER (default: 9) When MLVSimulationMode=2, this specifies the degree of polynomial which should be integrated exactly. In this case, values above 51 are treated as equal to 51. When MLVSimulationMode=3, 2^(1+INTEGER) - 1 is the number of points used for quasi-Monte Carlo integration.
    • MLVSimulationSubSample=INTEGER (default: 1) Causes DynareOBC to only calculate the value of MLVs every INTEGER samples. Setting this greater than 1 is useful when calculating MLVs is expensive, and you want to reduce the standard error of simulated moments.
  • Sparse Causes DynareOBC to replace all of the elements of the decision rules by sparse matrices, which may speed up DynareOBC, at the cost of some slight reduction in accuracy for certain models with small coefficients.

• For controlling and performing model diagnostics

  • FeasibilityTestGridSize=INTEGER (default: 0) Specifies the number of points in each of the two axes of the grid on which a test of a sufficient condition for feasibility with T=infinity is performed. Setting a larger number increases the chance of finding feasibility, but may be slow. If FeasibilityTestGridSize=0 then the test is disabled.
  • SkipQuickPCheck Disables the "quick" check to see if the M matrix has any contiguous principal sub-matrices with non-positive determinants.
  • PTest=INTEGER (default: 0) Runs a fast as possible test to see if the top INTEGERxINTEGER submatrix of M is a P-matrix. Set this to 0 to disable these tests.
  • AltPTest=INTEGER (default: 0) Uses a slower, more verbose procedure to test if the top INTEGERxINTEGER submatrix of M is a P-matrix. Set this to 0 to disable these tests.
  • FullTest=INTEGER (default: 0) Runs very slow tests to see if the top INTEGERxINTEGER submatrix of M is a P(0) and/or (strictly) semi-monotone matrix.
  • UseVPA Enables more accurate evaluation of determinants using the symbolic toolbox.
  • LPSolver=STRING (default: gurobi,cplex,xpress,mosek,scip,linprog,glpk,lpsolve,cdd,qsopt,*) Specifies the preferred solver to use for the linear programming problem that is solved when checking whether matrices are S/S_0. To find out what solvers are available to you, run dynareOBC TestSolvers, and examine the list displayed by YALMIP.

• For controlling IRFs

  • SlowIRFs Calculates a more accurate approximation to (mean) expected IRFs using Monte-Carlo simulation. Without this option, DynareOBC calculates (mean) expected IRFs via cubature (unless this is also disabled). We advise that SlowIRFs or MedianIRFs are always used for IRFs in final paper versions.
  • MedianIRFs Calculates median IRFs using Monte-Carlo simulation, rather than mean IRFs. Without this option, DynareOBC calculates (mean) expected IRFs via cubature (unless this is also disabled). We advise that SlowIRFs or MedianIRFs are always used for IRFs in final paper versions. Note that due to the non-linearity of the median, the level of median IRFs is somewhat artificial, so the resulting IRFs may appear to violate the bound. Thus, we recommend the use of IRFsAroundZero with the MedianIRFs option.
  • IRFsAroundZero By default, IRFs are centred around the risky steady state without the SlowIRFs or MedianIRFs options, around the approximate mean with the SlowIRFs option, or around the approximate median with the MedianIRFs option. This option instead centres IRFs around 0.
  • ShockScale=FLOAT (default: 1) Scale of shocks for IRFs. This allows the calculation of IRFs to shocks larger or smaller than one standard deviation.

• EXPERIMENTAL Settings for controlling estimation or smoothing

  • Estimation Enables estimation of the model's parameters. Note that Estimation requires the MATLAB Statistics and Machine Learning Toolox.
    • DataFile=STRING (default: MOD-FILE-NAME.xlsx) Specifies the spreadsheet containing the data to estimate. This spreadsheet should contain two worksheets. The first sheet should have a title row containing the names of the MLVs being observed, followed by one row per observation. There should not be a column with dates. The second sheet should contain a title row with the names of the parameters being estimated, followed by one row for their minima (with empty cells being interpreted as minus infinity), then by one row for their maxima (with empty cells being interpreted as plus infinity).
    • Prior=STRING (default: FlatPrior) Specifies the function containing the prior to be used in maximum a posteriori estimation. The default prior results in maximum likelihood estimates being returned. The function should accept a single argument giving the vector of parameters to be estimated, in the order they appear in the datafile, followed by the measumerent error variances, then possibly nu-bar (if DynamicNu is not specified), in the final elements of the vector. The function should return the log prior density at that point (up to a constant).
    • StationaryDistAccuracy=INTEGER (default: 10) The number of periods used to evaluate the stationary distribution of the model is 2^StationaryDistAccuracy.
    • StationaryDistDrop=INTEGER (default: 0) The number of periods used as burn-in prior to evaluating the stationary distribution of the model. Does not need to be greater than zero given the algorithm used for drawing from the stationary distribution.
    • SkipStandardErrors Makes DynareOBC skip calculation of standard errors for the estimated parameters.
    • FilterCubatureDegree=INTEGER (default: 0) If this is greater than zero, then DynareOBC uses an alternative sparse cubature rule including additional points for integrating over the states and shocks of the model in the filter. While this requires solving the model less far from the steady-state when the state dimension is large, it also requires negative weights, which may cause numerical issues e.g. with the positive definiteness of the state covariance matrix. this cubature method exactly integrates a polynomial of degree FilterCubatureDegree. Values above 51 are treated as equal to 51. If this is less than zero, then DynareOBC takes 2.^(-FilterCubatureDegree) points from a high order Sobol sequence.
    • StdDevThreshold=FLOAT (default: 1e-6) Specifies the threshold below which the standard deviation of the state is set to zero, for dimension reduction.
    • NoSkewLikelihood Disables the skewing of the distribution used to approximate the likelihood.
    • NoTLikelihood Disables the use of a (extended skew) t-distribution to approximate the likelihood. Instead a (extended skew) normal distribution will be used.
    • DynamicNu Causes the estimation procedure to calibrate the degrees of freedom parameter, nu, at each time step. We recommend that FilterCubatureDegree is at least 9 if this option is specified.
    • MaximisationFunctions=STRING (default: CMAESWrapper,FMinConWrapper) A , ; or # delimitated list of maximisation function names, which will be invoked in order. DynareOBC includes the following:
      • CMAESWrapper an evolutionary global search algorithm,
      • CMAESResumeWrapper an evolutionary global search algorithm, resuming an interrupted CMAES run,
      • ACDWrapper an adaptive coordinate descent algorithm,
      • ACDResumeWrapper an adaptive coordinate descent algorithm, resuming an interrupted ACD run,
      • PACDWrapper an alternative adaptive coordinate descent algorithm,
      • PACDResumeWrapper an alternative adaptive coordinate descent algorithm, resuming an interrupted ACD run,
      • FMinConWrapper MATLAB's local search, which requires a license for the MATLAB Optimisation Toolbox.
    • FixedParameters=STRING (default: '') A , ; or # delimitated list of parameters names. Any parameters in this list will not be estimated, even if they occur in the second sheet of the data file.
  • Smoothing DISABLED IN THIS VERSION Performs smoothing to estimate the model's state variables and shocks. It is recommended that smoothing is invoked in a separate DynareOBC run after estimation has completed. Note that Smoothing requires the MATLAB Statistics and Machine Learning Toolox.
    • DataFile=STRING (default: MOD-FILE-NAME.xlsx) Specifies the spreadsheet containing the data to estimate. This spreadsheet should contain at least one worksheet. The first sheet should have a title row containing the names of the MLVs being observed, followed by one row per observation. There should not be a column with dates.
    • StationaryDistPeriods=INTEGER (default: 1000) The number of periods used to evaluate the stationary distribution of the model.
    • StationaryDistDrop=INTEGER (default: 100) The number of periods used as burn-in prior to evaluating the stationary distribution of the model.
    • FilterCubatureDegree=INTEGER (default: 0) If this is greater than zero, then DynareOBC uses an alternative sparse cubature rule including additional points for integrating over the states and shocks of the model in the predict step. While this requires solving the model less far from the steady-state when the state dimension is large, it also requires negative weights, which may cause numerical issues e.g. with the positive definiteness of the state covariance matrix. The cubature method exactly integrates a polynomial of degree INTEGER. Thus, in a model without bounds, there is no need to have INTEGER larger than four times the order of approximation. Values above 51 are treated as equal to 51.
    • StdDevThreshold=FLOAT (default: 1e-6) Specifies the threshold below which the standard deviation of the state is set to zero, for dimension reduction.

• EXPERIMENTAL settings for controlling accuracy

  • Global Without this, DynareOBC assumes agents realise that shocks may arrive in the near future which push them towards the bound, but they do not take into account the risk of hitting the bound in the far future. With the global option, DynareOBC assumes agents take into account the risk of hitting the bound at all horizons. Note that under the global solution algorithm, dotted lines give the responses with the polynomial approximation to the bound. They are not the response ignoring the bound entirely. Requires the MATLAB Optimization toolbox, or an alternative non-linear least squares routine, see above for details. Implies the Cubature option.
    • Resume Resumes an interrupted solution iteration, when using global.

• Advanced options

  • Bypass Ignores all non-differentiabilities in the model. Useful for debugging.
  • MinParametricSolutionParallelisationDimension=INTEGER (default: 5) The minimum dimension before the problem of finding a parametric solution is parallelized if a parallel pool is not otherwise needed.
  • DisplayBoundsSolutionProgress Displays progress solving the bounds problem. Only useful for very hard to solve models under perfect foresight.
  • CompileSimulationCode Compiles the code used for simulating the base model, without the bound. May speed up long simulations.
  • SkipAllSimulation Ignores any IRF or stochastic simulation instructions from the stoch_simul command.
  • NoCleanup Prevents the deletion of DynareOBC's temporary files. Useful for debugging.
  • NoPoolClose Prevents DynareOBC closing parallel pools.
  • NoRestorePath Prevents DynareOBC restoring the original path.
  • OrderOverride=1|2|3 Overrides the order of approximation set within the call to stoch_simul.
  • ShockSequenceFile=FILENAME.mat Specifies a MAT file to open to load shocks for simulation from. The MAT file should contain a matrix called ShockSequence, which should have as many rows as there are shocks, and as many columns as there are simulation periods. Shocks are ordered in declaration order.
  • InitialStateFile=FILENAME.mat Specifies a MAT file to open to load the initial state for simulation from. The MAT file should contain a column vector called InitialState, which should have as many rows as there are endogenous variables. Variables are ordered in declaration order. Values assigned to non-state variables are ignored.
  • SimulateOnGridPoints Rather than running an actual simulation, causes DynareOBC to draw QMC points from a Gaussian approximation to the stationary distribution of the model without bounds. The mean for the Gaussian approximation is accurate to the same order as the order of approximation, but the variance used is always only accurate to a first order approximation.

See the Dynare reference manual for other available options.

Supported options inside the .mod file

Note that DynareOBC only supports some of the options of stoch_simul, and no warning is generated if it is used with an unsupported option. Currently supported options for stoch_simul are:

• irf=INTEGER
• periods=INTEGER
• drop=INTEGER
• order=1|2|3
• replic=INTEGER
• loglinear
• irf_shocks
• nograph
• nodisplay
• nomoments
• nocorr

DynareOBC also supports a list of variables for simulation after the call to stoch_simul. When MLVSimulationMode>0, this list can include the names of model local variables. Any MLV included in this list will be simulated even if it does not meet the previous criteria.

Advanced Usage

Alternative usage: dynareOBC [AddPath|RmPath|TestSolvers] [OPTIONS]

• AddPath Adds all folders used by DynareOBC to the path, useful for debugging and testing.
• RmPath Removes all folders used by DynareOBC from the path, useful for cleanup following a crash.
• TestSolvers Tests the installed solvers.

Acknowledgements and copyright information

DynareOBC incorporates code:

• from Dynare, that is copyright Adjemian, Bastani, Juillard, Mihoubi, Perendia, Pfeifer, Ratto, Villemot, and the rest of the Dynare Team, 2011-2016,
• for calculating risky first order approximations, that is copyright Meyer-Gohde, 2014. More information is contained in his paper describing the algorithm, available here: http://enim.wiwi.hu-berlin.de/vwl/wtm2/mitarbeiter/meyer-gohde/stochss_main.pdf
• from the nonlinear moving average toolkit, that is copyright Lan and Alexander Meyer-Gohde, 2014,
• for nested Gaussian cubature, that is copyright Genz and Keister, 1996,
• for displaying a progress bar, that is copyright Cacho, "Stefan" and Scheff, 2014,
• for (mixed-integer) linear programming, from GLPKMEX, copyright Makhorin, Legat and others, 2015,
• for calculating pseudo-spectral radii, from EigTool, copyright Wright, Mengi, Overton and colleagues, 2014,
• for interfacing with optimization packages, from YALMIP, copyright Lofberg, 2017,
• for various optimizers, from the Opti Toolbox, copyright Currie, and others, 2017,
• for non-linear state space estimation non-linear state space estimation with an Extended Skew T (EST) approximation to the state distribution, from EST-NLSS, copyright Holden, 2017.

Additionally, DynareOBC automatically downloads:

• MPT, with its dependencies, copyright Herceg and others, 2015.

The original portions of DynareOBC are copyright (c) Tom Holden, 2016-2017.

DynareOBC is released under the GNU GPL, version 3.0 or later, available from https://www.gnu.org/copyleft/gpl.html

DynareOBC is free software: you can redistribute it and/or modify it under the terms of the GNU General Public License as published by the Free Software Foundation, either version 3 of the License, or(at your option) any later version.

DynareOBC is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more details.

You should have received a copy of the GNU General Public License along with dynareOBC. If not, see http://www.gnu.org/licenses/.