European Community project MONFISPOL (grant agreement SSH-CT-2009-225149) : Deliverable 2.2.2: Beta-version of parallel routines: user manual

In this document we describe the parallel package within DYNARE (called the ``Parallel DYNARE'' hereafter). The parallel methodology has been developed taking into account two different perspectives: the ``User perspective'' and the ``Developers perspective''. The fundamental requirement of the ``User perspective'' is to allow DYNARE users to use the parallel routines easily, quickly and appropriately. Under the ``Developers perspective'', on the other hand, we need to build a core of parallelizing routines that are sufficiently abstract and modular to allow DYNARE software developers to use them easily as a sort of `parallel paradigm', for application to any DYNARE routine or portion of code containing computational intensive loops suitable for parallelization. The Parallel DYNARE comes with the official DYNARE installation package, so the preprocessor part required to interpret the cluster definition is built-in the standard DYNARE installation.JRC.G.3-Econometrics and applied statistic

On the application of automatic differentiation to the likelihood function for dynamic general equilibrium models

Summary. A key application of automatic differentiation (AD) is to facilitate numerical optimization problems. Such problems are at the core of many estimation techniques, including maximum likelihood. As one of the first applications of AD in the field of economics, we used Tapenade to construct derivatives for the likelihood function of any linear or linearized general equilibrium model solved under the assumption of rational expectations. We view our main contribution as providing an important check on finite-difference (FD) numerical derivatives. We also construct Monte Carlo experiments to compare maximum-likelihood estimates obtained with and without the aid of automatic derivatives. We find that the convergence rate of our optimization algorithm can increase substantially when we use AD derivatives

Dynare: Reference Manual. Version 4

Dynare is a software platform for handling a wide class of economic models, in particular dynamic stochastic general equilibrium (DSGE) and overlapping generations (OLG) models. The models solved by Dynare include those relying on the rational expectations hypothesis, wherein agents form their expectations about the future in a way consistent with the model. But Dynare is also able to handle models where expectations are formed differently: on one extreme, models where agents perfectly anticipate the future; on the other extreme, models where agents have limited rationality or imperfect knowledge of the state of the economy and, hence, form their expectations through a learning process. In terms of types of agents, models solved by Dynare can incorporate consumers, productive firms, governments, monetary authorities, investors and financial intermediaries. Some degree of heterogeneity can be achieved by including several distinct classes of agents in each of the aforementioned agent categories.JRC.G.3-Econometrics and applied statistic

Dynare: Reference Manual Version 4

Dynare is a software platform for handling a wide class of economic models, in particular dynamic stochastic general equilibrium (DSGE) and overlapping generations (OLG) models. The models solved by Dynare include those relying on the rational expectations hypothesis, wherein agents form their expectations about the future in a way consistent with the model. But Dynare is also able to handle models where expectations are formed differently: on one extreme, models where agents perfectly anticipate the future; on the other extreme, models where agents have limited rationality or imperfect knowledge of the state of the economy and, hence, form their expectations through a learning process. Dynare offers a user-friendly and intuitive way of describing these models. It is able to perform simulations of the model given a calibration of the model parameters and is also able to estimate these parameters given a dataset. Dynare is a free software, which means that it can be downloaded free of charge, that its source code is freely available, and that it can be used for both non-profit and for-profit purposes.Dynare; Numerical methods; Perturbation; Rational expectations

On the application of automatic differentiation to the likelihood function for dynamic general equilibrium models

A key application of automatic differentiation (AD) is to facilitate numerical optimization problems. Such problems are at the core of many estimation techniques, including maximum likelihood. As one of the first applications of AD in the field of economics, we used Tapenade to construct derivatives for the likelihood function of any linear or linearized general equilibrium model solved under the assumption of rational expectations. We view our main contribution as providing an important check on finite-difference (FD) numerical derivatives. We also construct Monte Carlo experiments to compare maximum-likelihood estimates obtained with and without the aid of automatic derivatives. We find that the convergence rate of our optimization algorithm can increase substantially when we use AD derivatives.Econometric models ; Equilibrium (Economics)