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Dynare user guide an introduction to the solution amp estimation of dsge models

DYNARE User Guide An introduction to the solution estimation of DSGE models Tommaso Mancini Gri ?oli - CDynare v - User Guide Public beta version Tommaso Mancini Gri ?oli tommaso mancini stanfordalumni org This draft June Ciii Copyright c - Tommaso Mancini Gri ?oli Permission is granted to copy distribute and or modify this document under the terms of the GNU Free Documentation License Version or any later version published by the Free Software Foundation with no Invariant Sections no Front-Cover Texts and no Back-Cover Texts A copy of the license can be found at http www gnu org licenses fdl txt CContents Contents iv List of Figures vii Introduction About this Guide - approach and structure What is Dynare Additional sources of help Nomenclature v what ? s new and backward compatibility Installing Dynare Dynare versions System requirements Installing Dynare MATLAB particularities Solving DSGE models - basics A fundamental distinction NOTE Deterministic vs stochastic models Introducing an example Dynare mod ?le structure Filling out the preamble The deterministic case The stochastic case Comments on your ?rst lines of Dynare code Specifying the model Model in Dynare notation General conventions Notational conventions Timing conventions Conventions specifying non-predetermined variables Linear and log-linearized models Specifying steady states and or initial values iv CCONTENTS v Stochastic models and steady states Deterministic models and initial values Finding a steady state Checking system stability Adding shocks Deterministic models - temporary shocks Deterministic models - permanent shocks Stochastic models Selecting a computation For deterministic models For stochastic models The complete mod ?le The stochastic model The deterministic model case of temporary shock File execution and results Results - stochastic models Results - deterministic models Solving DSGE models - advanced topics Dynare features and functionality Other examples Alternative complete example Finding saving and viewing your output Referring to external ?les In ?nite eigenvalues Files created by Dynare Modeling tips Stationarizing your model Expectations taken in the past In ?nite sums In ?nite sums with changing timing of expectations Estimating DSGE models - basics Introducing an example Declaring variables and parameters Declaring the model Declaring observable variables Specifying the steady state Declaring priors Launching the estimation The complete mod ?le Interpreting output Tabular results Graphical results C Estimating DSGE models - advanced topics Alternative and non-stationary example Introducing the example Declaring variables and parameters The origin of non-stationarity Stationarizing variables Linking stationary variables to the data The resulting model block of the mod ?le Declaring observable variables Declaring trends in observable variables Declaring unit roots in observable variables Specifying the steady state Declaring priors Launching the estimation The complete mod ?le Summing it up Comparing models based on their posterior distributions Where is your output stored Solving DSGE models - Behind the scenes of Dynare Introduction What is the advantage of a second order approximation How does dynare solve stochastic DSGE models Estimating DSGE models - Behind the scenes of Dynare Advantages of Bayesian estimation The basic mechanics of Bayesian estimation Bayesian estimation somewhere between calibration and maximum