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## Table Of Contents

Contents
List of Figures
Introduction
1.1 About this Guide - approach and structure
1.2 What is Dynare?
1.3 Additional sources of help
1.4 Nomenclature
1.5 v4, what’s new and backward compatibility
Installing Dynare
2.1 Dynare versions
2.2 System requirements
2.3 Installing Dynare
2.4 MATLAB particularities
Solving DSGE models - basics
3.1 A fundamental distinction
3.1.1 NOTE! Deterministic vs stochastic models
3.2. INTRODUCING AN EXAMPLE 11
3.2 Introducing an example
3.3 Dynare .mod ﬁle structure
3.4 Filling out the preamble
3.4.1 The deterministic case
3.4.2 The stochastic case
3.4.3 Comments on your ﬁrst lines of Dynare code
3.5 Specifying the model
3.5.1 Model in Dynare notation
3.5.2 General conventions
3.5.3 Notational conventions
3.5.4 Timing conventions
3.5.5 Conventions specifying non-predetermined variables
3.5.6 Linear and log-linearized models
3.6. SPECIFYING STEADY STATES AND/OR INITIAL VALUES 21
3.6 Specifying steady states and/or initial values
3.6.1 Stochastic models and steady states
3.6.2 Deterministic models and initial values
3.6.3 Finding a steady state
3.6.4 Checking system stability
3.7.2 Deterministic models - permanent shocks
3.8. SELECTING A COMPUTATION 27
3.7.3 Stochastic models
3.8 Selecting a computation
3.8.1 For deterministic models
3.8.2 For stochastic models
3.9 The complete .mod ﬁle
3.9.1 The stochastic model
3.9.2 The deterministic model (case of temporary shock)
3.10. FILE EXECUTION AND RESULTS 33
3.10 File execution and results
3.10.1 Results - stochastic models
3.10.2 Results - deterministic models
4.1 Dynare features and functionality
4.1.1 Other examples
4.1.2 Alternative, complete example
4.1.3 Finding, saving and viewing your output
4.1.4 Referring to external ﬁles
4.2. FILES CREATED BY DYNARE 43
4.1.5 Inﬁnite eigenvalues
4.2 Files created by Dynare
4.3 Modeling tips
4.3.1 Stationarizing your model
4.3.2 Expectations taken in the past
4.3.3 Inﬁnite sums
4.3.4 Inﬁnite sums with changing timing of expectations
5.1 Introducing an example
5.2 Declaring variables and parameters
5.3 Declaring the model
5.4. DECLARING OBSERVABLE VARIABLES 49
5.4 Declaring observable variables
5.5 Specifying the steady state
5.6 Declaring priors
5.7 Launching the estimation
5.8 The complete .mod ﬁle
5.9 Interpreting output
5.9.1 Tabular results
5.9.2 Graphical results
6.1 Alternative and non-stationary example
6.1.1 Introducing the example
6.1.2 Declaring variables and parameters
6.1.3 The origin of non-stationarity
6.1.4 Stationarizing variables
6.1.5 Linking stationary variables to the data
6.1.6 The resulting model block of the .mod ﬁle
6.1.7 Declaring observable variables
6.1.8 Declaring trends in observable variables
6.1.9 Declaring unit roots in observable variables
6.1.10 Specifying the steady state
6.1.11 Declaring priors
6.1.12 Launching the estimation
6.1.13 The complete .mod ﬁle
6.1.14 Summing it up
6.2 Comparing models based on their posterior
6.3. WHERE IS YOUR OUTPUT STORED? 75
6.3 Where is your output stored?
7.1 Introduction
7.3 How does dynare solve stochastic DSGE
8.1 Advantages of Bayesian estimation
8.2 The basic mechanics of Bayesian estimation
8.2.1 Bayesian estimation: somewhere between calibration
and maximum likelihood estimation - an example
8.3. DSGE MODELS AND BAYESIAN ESTIMATION 85
8.3 DSGE models and Bayesian estimation
8.3.1 Rewriting the solution to the DSGE model
8.3.2 Estimating the likelihood function of the DSGE model
8.3.3 Finding the mode of the posterior distribution
8.3.4 Estimating the posterior distribution
Troubleshooting
Bibliography
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Dynare Userguide

# Dynare Userguide

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Published by pnmcfarlane

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Published by: pnmcfarlane on Jan 29, 2012
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