v1.3.0

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

v1.2.1

DSGE v1.2.1

Diff since v1.2.0

v1.2.0

DSGE v1.2.0

Version Restrictions

• Minimum CSV version is v0.8
• Minimum ModelConstructors version is v0.2.4

New features and enhancements

• Functions for calculating k-period ahead expectations and sums for measurement equation
• Time-varying information sets for regime-switching
• Time-varying imperfect awareness/credibility
• Ability to use temporary policies during history (previously only available as alternative policy during forecast)
• Refactor alternative policy code to use regime-switching
• Regime-switching allowed during forecast for shock decompositions, deterministic trends, and trends
• Regime-switching estimation of DSGE models using MH and SMC

Bug fixes and cleanup

• Fix error in calculating the diagonal of the Hessian with parallel workers
• Update tests to handle seed changes in Julia 1.5
• Convert missing values to NaNs when calculating means and bands
• Fix accidental assumption that all fixed parameters occur at the end of the parameter vector in Metropolis-Hastings
• Fix incorrect parameter blocking in Metropolis-Hastings
• Refactor regime-switching code to make it easier to use and maintain
• Update syntax for HDF5 deprecations

Diff since v1.1.6

Closed issues:

• test DSGE fails (#72)
• Installation on Julia >= v1.1 broken on Windows (#100)
• Missing website (#101)
• Getting "Killed" message after forecasting completes (#108)
• init_parameters! not working (#115)
• metropolis_hastings() running too slow (#117)
• metropolis-hastings draws fixed at the mode for some free parameters (#118)
• Eval can be replaced by getfield in smooth (#120)

Merged pull requests:

• diagm needs an AbstractVector and hcat makes a Matrix (#31) (@fratrik)
• CompatHelper: bump compat for "DataStructures" to "0.18" (#102) (@github-actions[bot])
• CompatHelper: bump compat for "JLD2" to "0.2" (#103) (@github-actions[bot])
• CompatHelper: bump compat for "GR" to "0.52" (#104) (@github-actions[bot])
• CompatHelper: bump compat for "Optim" to "1.0" (#105) (@github-actions[bot])
• CompatHelper: bump compat for "HDF5" to "0.14" (#111) (@github-actions[bot])

v1.1.6

Version Restrictions

• Raise Julia compatibility to all v1.x.
• Increase version restrictions for most packages to most recent ones (e.g. Plots)

New features and enhancements

• Implement (exogenously) regime-switching DSGE models (but estimations are not tested)
• Implement (exogenously) regime-switching forecasts during the history and forecast horizon
• New subspecs of Model1002 to model the impact of the COVID-19 pandemic
• Interface for the automated addition of anticipated shocks to DSGE models for shocks other than monetary policy shocks.
• Interface for calculating weighted averages of different full-distribution forecasts
• Add Nominal GDP targeting and average inflation targeting as alternative policies
• Automatic enforcement of ZLB as a temporary alternative policy

Bug fixes and cleanup

• Filepathing for Windows OS should work properly now (although we still do not test on Windows OS)

v1.1.5

Remove unneeded dependencies. Fix compatibility bounds for CSV.

v1.1.4

New features and enhancements

• Implement DSGE-VECMs and provide functionality to compute impulse responses.
• Extend DSGE-VAR rotation impulse responses to compute in deviations from baseline.
• Example for running impulse responses of a a DSGE-VECM.

Extend example for DSGE-VARs to allow plotting of modal impulse responses.

• Bug fixes and cleanup
• Fix summary statistics when loading data
• Fix bugs in the documentation.

v1.1.3

New features and enhancements

• Implement DSGE-VARs and provide functionality to estimate them and compute impulse responses.
• Example for running a forecast decomposition.
• Example for running a DSGE-VAR.

Bug fixes and cleanup

• Allow user to avoid running csminwel when using SMC and calling estimate.

v1.1.2

• Support for bridging from another estimation (in SMC.jl)--this update ensures compatibility
• Automatically run cs_minwel after an SMC estimation to ensure you've found the mode with kwarg run_csminwel in smc2

v1.1.1

-Bug fixes and improvements
-Add models m904 (SWFF) and m805 (SWpi)

v1.1.0

Features and Enhancements

• Functionality to specify and solve heterogeneous agent and continuous-time models (e.g. Klein solution method, solution for the Hamilton-Jacobi-Bellman equation, and solution to Kolmogorov forward equations.)
• Expanded test suite and example files, including KrusellSmith, OneAssetHANK, and TwoAssetHANK.

Bug fixes

• Correct build failures to do with package incompatibilities