MacroModelling.jl - v0.1.41

MacroModelling v0.1.41

Diff since v0.1.40

• add on_failure_loglikelihood argument to get_loglikelihood
• catch A\B failures throughout
• set higher threshold for when to use ShardedForm in build_function as this is very slow
• return array of correct length when NSSS not found
• fixed typos throughout docs; changed auxilliary -> auxiliary and used British English
• moved Turing and StatsPlots related code to extensions

Closed issues: - ERROR: LoadError: UndefVarError: x not defined (#88)

Scientific Software - Peer-reviewed - Julia
Published by github-actions[bot] 10 months ago

MacroModelling.jl - v0.1.40

MacroModelling v0.1.40

Diff since v0.1.39

• LM and Newton nonlinear solvers optimised for allocations and using symbolic jacobians and preallocated linear solvers
• fixed selectfastestSSsolverparameters
• updated docs
• improved ci/cd infrastructure
• redid functions and derivatives using Symbolics.jl
• @model can handle if statements
• updated compat entries

Scientific Software - Peer-reviewed - Julia
Published by github-actions[bot] 11 months ago

MacroModelling.jl - v0.1.39

MacroModelling v0.1.39

Diff since v0.1.38

Bugfix release: - fixed issues in documentation - order of input to variables now respected in output everywhere - plots with shocks = :none work again - more tests

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Published by github-actions[bot] over 1 year ago

MacroModelling.jl - v0.1.38

MacroModelling v0.1.38

Diff since v0.1.37

Merged pull requests: - Update plotting.jl (#80) (@LucaMingarelli) - nonlinear estimation (#87) (@thorek1)

Closed issues: - Macromodelling package issue (#95) - Installation error (#96)

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Published by github-actions[bot] over 1 year ago

MacroModelling.jl - 0.1.37 docfix

Scientific Software - Peer-reviewed - Julia
Published by thorek1 almost 2 years ago

MacroModelling.jl - 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

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Published by github-actions[bot] almost 2 years ago

MacroModelling.jl - 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)

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Published by github-actions[bot] about 2 years ago

MacroModelling.jl - 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)

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Published by github-actions[bot] about 2 years ago

MacroModelling.jl - 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)

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Published by github-actions[bot] over 2 years ago

MacroModelling.jl - v0.1.33+docfix

Scientific Software - Peer-reviewed - Julia
Published by thorek1 over 2 years ago

MacroModelling.jl - 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)

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Published by github-actions[bot] over 2 years ago

MacroModelling.jl - 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

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Published by github-actions[bot] over 2 years ago

MacroModelling.jl - v0.1.31+docfix

Scientific Software - Peer-reviewed - Julia
Published by thorek1 over 2 years ago

MacroModelling.jl - 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

Scientific Software - Peer-reviewed - Julia
Published by github-actions[bot] over 2 years ago

MacroModelling.jl - 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 translate unicode properly

Merged pull requests: - Matrixequations (#54) (@thorek1) - update documenter (#55) (@thorek1)

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Published by github-actions[bot] over 2 years ago

MacroModelling.jl - v0.1.29

MacroModelling v0.1.29

Diff since v0.1.28

Merged pull requests: - Higher order moments (#48) (@thorek1) - Update bibliography (#51) (@jbytecode)

Scientific Software - Peer-reviewed - Julia
Published by github-actions[bot] over 2 years ago

MacroModelling.jl - v0.1.28

MacroModelling v0.1.28

Diff since v0.1.27

Closed issues: - Installation fails (#33) - Memory resets in the tests? (#34) - Summary is too technical (#36) - State of the field is missing (#37) - Performance claims (#38) - CI tests still failing (#40) - Clarify code example in paper (#49)

Scientific Software - Peer-reviewed - Julia
Published by github-actions[bot] over 2 years ago

MacroModelling.jl - v0.1.27

MacroModelling v0.1.27

Diff since v0.1.26

Merged pull requests: - CompatHelper: bump compat for ImplicitDifferentiation to 0.5 (#27) (@github-actions[bot]) - for loop model create (#41) (@thorek1) - Accept strings (#43) (@thorek1) - Autodiff sylvester (#45) (@thorek1) - Improve estimation (#47) (@thorek1)

Scientific Software - Peer-reviewed - Julia
Published by github-actions[bot] almost 3 years ago

MacroModelling.jl - v0.1.26

MacroModelling v0.1.26

Diff since v0.1.25

• more tests on different platforms
• switched from IterativeSolvers to Krylov
• added Baxter and King 1993 model
• faster higher order solution (precalculating matrices)

Closed issues: - PyCall break down when parameters format differently (#31)

Merged pull requests: - CompatHelper: bump compat for ComponentArrays to 0.14, (keep existing compat) (#32) (@github-actions[bot]) - use SymPyPythonCall (#42) (@thorek1)

Scientific Software - Peer-reviewed - Julia
Published by github-actions[bot] almost 3 years ago

MacroModelling.jl - v0.1.25

MacroModelling v0.1.25

Diff since v0.1.24

Closed issues: - CI tests failing (#35)

Merged pull requests: - SymPy with PythonCall (#39) (@thorek1)

Scientific Software - Peer-reviewed - Julia
Published by github-actions[bot] almost 3 years ago

MacroModelling.jl - v0.1.24

MacroModelling v0.1.24

Diff since v0.1.23

Scientific Software - Peer-reviewed - Julia
Published by github-actions[bot] almost 3 years ago

MacroModelling.jl - v0.1.23

MacroModelling v0.1.23

Diff since v0.1.21

• added pruned second and third order perturbation solution
• get_solution now also returns higher order solutions
• fix kalman filter bounds check
• simulate return elvels by default

Closed issues: - Simulating an AR1 process (#28)

Merged pull requests: - Pruning (#29) (@thorek1)

Scientific Software - Peer-reviewed - Julia
Published by github-actions[bot] about 3 years ago

MacroModelling.jl - v0.1.21

MacroModelling v0.1.21

Diff since v0.1.20

Scientific Software - Peer-reviewed - Julia
Published by github-actions[bot] about 3 years ago

MacroModelling.jl - v0.1.20

MacroModelling v0.1.20

Diff since v0.1.19

Scientific Software - Peer-reviewed - Julia
Published by github-actions[bot] about 3 years ago

MacroModelling.jl - v0.1.19

MacroModelling v0.1.19

Diff since v0.1.18

• fix generalised IRF
• fix plotting internals

Scientific Software - Peer-reviewed - Julia
Published by github-actions[bot] about 3 years ago

MacroModelling.jl - v0.1.18

MacroModelling v0.1.18

Diff since v0.1.17

• fix bug with conditional forecast

Scientific Software - Peer-reviewed - Julia
Published by github-actions[bot] about 3 years ago

MacroModelling.jl - v0.1.17+docfix

Scientific Software - Peer-reviewed - Julia
Published by thorek1 about 3 years ago

MacroModelling.jl - v0.1.17

MacroModelling v0.1.17

Diff since v0.1.16

Merged pull requests: - New filtering and smoothing functions (plotmodelestimates, getshockdecomposition...) (#24) (@thorek1) - Migrate from SnoopPrecompile to PrecompileTools (#25) (@timholy) - Improve docs and estimation tutorial

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Published by github-actions[bot] about 3 years ago

MacroModelling.jl - v0.1.16+docfix3

Scientific Software - Peer-reviewed - Julia
Published by thorek1 about 3 years ago

MacroModelling.jl - v0.1.16+docfix2

Scientific Software - Peer-reviewed - Julia
Published by thorek1 about 3 years ago

MacroModelling.jl - v0.1.16+docfix

Scientific Software - Peer-reviewed - Julia
Published by thorek1 about 3 years ago

MacroModelling.jl - v0.1.16

MacroModelling v0.1.16

Diff since v0.1.15

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Published by github-actions[bot] about 3 years ago

MacroModelling.jl - v0.1.15

MacroModelling v0.1.15

Diff since v0.1.14

• New function names to get steady state: SS, steady_state, SSS
• Faster load times: Plots, StatsPlots no longer loaded with package
• Added convenience functions for defining estimation priors

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Published by github-actions[bot] about 3 years ago

MacroModelling.jl - v0.1.14+docfix

update docs

Scientific Software - Peer-reviewed - Julia
Published by thorek1 about 3 years ago

MacroModelling.jl - v0.1.14

MacroModelling v0.1.14

Diff since v0.1.13

• Improve solution plots
• Improve docs
• Improve tests
• Fix SSS
• add baseline RBC
• Improve LM custom solver

Scientific Software - Peer-reviewed - Julia
Published by github-actions[bot] about 3 years ago

MacroModelling.jl - v0.1.13

MacroModelling v0.1.13

Diff since v0.1.10

• custom Levenberg-Marquardt type non stochastic steady state solver
• derivatives (forward autodiff) of higher order perturbation solutions -> stochastic steady state derivatives
• fixed model translation on Windows
• improved tests and clean up of internals
• faster load times due to precompilation

Scientific Software - Peer-reviewed - Julia
Published by github-actions[bot] about 3 years ago

MacroModelling.jl - v0.1.12

MacroModelling v0.1.12

Diff since v0.1.11

Scientific Software - Peer-reviewed - Julia
Published by github-actions[bot] about 3 years ago

MacroModelling.jl - v0.1.11

MacroModelling v0.1.11

Diff since v0.1.10

Merged pull requests: - CompatHelper: bump compat for ImplicitDifferentiation to 0.3, (keep existing compat) (#18) (@github-actions[bot]) - improve load times (#19) (@thorek1)

Scientific Software - Peer-reviewed - Julia
Published by github-actions[bot] about 3 years ago

MacroModelling.jl - v0.1.10

MacroModelling v0.1.10

Diff since v0.1.9

• implemented Binder and Pesaran (1997) first order solution method (quadratic present iteration)
• better bounds checking
• better error messages for calibration equations in @parameters
• added NAWM EAUS (2008) model
• improved SS solver
• improved plot formatting for PlotlyJS -> Pluto
• model derivatives taken with Symbolics.jl instead of SymPy (up to 3x speedup)

Scientific Software - Peer-reviewed - Julia
Published by github-actions[bot] about 3 years ago

MacroModelling.jl - v0.1.9

MacroModelling v0.1.9

Diff since v0.1.8

• improved docs
• added a lot more models
• tests checking correctness of new model solutions
• cleaned up internals
• more informative errors
• more informative output when parsing and solving the model
• added new NSSS solvers
• model is solved right after the parameter definition

Scientific Software - Peer-reviewed - Julia
Published by github-actions[bot] about 3 years ago

MacroModelling.jl - v0.1.8

MacroModelling v0.1.8

Diff since v0.1.7

• fix estimation
• less functions to compile
• improved documentation

Scientific Software - Peer-reviewed - Julia
Published by github-actions[bot] over 3 years ago

MacroModelling.jl - v0.1.7

MacroModelling v0.1.7

Diff since v0.1.6

• improve docs
• fix steady state finder
• move models to specific folder

Scientific Software - Peer-reviewed - Julia
Published by github-actions[bot] over 3 years ago

MacroModelling.jl - v0.1.6

MacroModelling v0.1.6

Diff since v0.1.5

• add conditional forecasting (#14) (@thorek1)
• include two models: GNSS (2010) and Ascar and Sbordone (2014)
• add functions to translate to and from dynare mod files (experimental) (#13) (@thorek1)
• base solution on symbolic model derivatives up to third order (#15) (@thorek1)
• make kalman filter compatible with both reverse and forward mode AD (#15) (@thorek1)

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Published by github-actions[bot] over 3 years ago

MacroModelling.jl - v0.1.5

MacroModelling v0.1.5

Diff since v0.1.4

Merged pull requests: - Shock history input for irf/plots (#12) (@thorek1)

Scientific Software - Peer-reviewed - Julia
Published by github-actions[bot] over 3 years ago

MacroModelling.jl - v0.1.4

MacroModelling v0.1.4

Diff since v0.1.3

• added conditional variance decomposition incl. plot
• added plots of the solution (transition & policy function)

Scientific Software - Peer-reviewed - Julia
Published by thorek1 over 3 years ago

MacroModelling.jl - v0.1.3

MacroModelling v0.1.3

Diff since v0.1.2

• add correlation, autocorrelation, and variance decomposition
• add convenience functions: getvariance, getstandarddeviation, getcovariance, getstd, getvar, getcovar, std, var, covar, getcorr, corr, get_autocorr, autocorr
• improve docs
• speed up covariance calculation
• allow for conditional parameters at end of calibration equation as well (... | alpha instead of alpha | ...)

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Published by github-actions[bot] over 3 years ago

MacroModelling.jl - v0.1.2

MacroModelling v0.1.2

Diff since v0.1.1

• fix documentation

Scientific Software - Peer-reviewed - Julia
Published by github-actions[bot] over 3 years ago

MacroModelling.jl - v0.1.1

MacroModelling v0.1.1

Diff since v0.1.0

• estimation tutorial
• SS solver improvements
• more models
• extensive functionality testing

Scientific Software - Peer-reviewed - Julia
Published by github-actions[bot] over 3 years ago

MacroModelling.jl - v0.1.0 first release

MacroModelling.jl - fast prototyping of dynamic stochastic general equilibrium (DSGE) models

MacroModelling.jl currently supports dicsrete-time DSGE models and the timing of a variable reflects when the variable is decided (end of period for stock variables).

As of now MacroModelling.jl can: - parse a model written with user friendly syntax (variables are followed by time indices ...[2], [1], [0], [-1], [-2]..., or [x] for shocks) - (tries to) solve the model only knowing the model equations and parameter values (no steady state file needed) - calculate first, second, and third order perturbation solutions using (forward) automatic differentiation (AD) - calculate (generalised) impulse response functions, and simulate the model - calibrate parameters using (non stochastic) steady state relationships - match model moments - estimate the model on data (kalman filter using first order perturbation) - differentiate (forward AD) the model solution (first order perturbation), kalman filter loglikelihood, model moments, steady state, with respect to the parameters

MacroModelling.jl helps the modeller: - Syntax makes variable and parameter definitions obsolete - MacroModelling.jl applies symbolic and numerical tools to solve for the steady state (and mostly succeeds without much help)

Scientific Software - Peer-reviewed - Julia
Published by thorek1 over 3 years ago