DSGE.jl Files

Version Restrictions

• OrderedCollections fixed to v1.3.2 and below because of a change in the definition of the type of OrderedDict, which would break backward compatibility with older MeansBands

New features and enhancements

• Settings to accelerate the computation of the reduced form state space system
• Accelerate compute regime-switching state space systems by refactoring the algorithm to reduce redundant calculations
• Imperfect awareness with temporary policies for both implemented and alternative policies via MultiPeriodAltPolicy
• Update algorithm for automatic endogenous ZLB enforcement as a temporary policy to apply the temporary policy only to the first connected sequence of periods with negative rates and use unanticipated monetary policy shocks afterward.
• Speed up algorithm for automatic endogenous ZLB enforcement as a temporary policy by using a binary search algorithm and allowing min/max lengths for a ZLB as a temporary policy.
• New alternative policy zlb_rule as a more flexible zero_rate
• Accelerate calculation of k_periods_ahead_expected_sum by exploiting stationarity of the transition matrix rather than repeatedly calling k_periods_ahead_expected_sums
• Add ability to construct a memo object with the products and powers of the transition matrices in a regime-switching state space system to accelerate k_periods_ahead_expectations and k_periods_ahead_expected_sums
• Replace bdd_and_unbdd kwarg for plotting and reading of the means and bands with use_bdd, which allows users to request any combination of unbounded/bounded means and bands.
• New subspecs of Model1002 for estimating the DSGE with COVID-19 shocks
• Add option to construct the old log-likelihood function for tempered updates with SMC by passing a different model object.
• Integrate changes to SMC.jl v0.1.15

Bug fixes

• Fix print statements when using forecast_one and verbose = :high
• Replace zero_rate with zlb_rule as the default temporary policy
• Rename settings related to temporary policies to ensure consistency in nomenclature
• Do not divide forecast_zlb_value(m) by 4 when enforcing the ZLB as a temporary policy since that number is already de-annualized
• Improve robustness of tests of smoothers with regime-switching state space system and temporary policies
• Fix incorrect indexing when calculating regime indices for Kalman filter so that only unnecessary periods are removed, not entire regimes (which is fine only when the first and last periods of a regime extend past the data's horizon).

Continued WIP

• Adaptive MH was found to be implemented incorrectly and will be fixed for the next release