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v0.2.0

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@pearlzli pearlzli released this 16 Aug 22:04
· 5133 commits to main since this release

New features

  • Added the An-Schorfheide model, a simple three-equation New Keynesian model.
  • Added Model 1010, an updated version of Model 1002.
  • Added three optimization methods: :simulated_annealing, :LBFGS, and
    :combined_optimizer (which alternates between simulated annealing and
    LBFGS).
  • Added the PseudoObservable type and the pseudo_measurement function, which
    defines pseudo-observables (linear combinations of states which are not
    observed) for each model, e.g. the output gap.
  • Implemented the forecast step, a suite of functions that forecast using
    estimated parameters and compute means and bands of the forecasted series. The
    top-level functions are forecast_one and means_bands_all; see the
    forecasting and
    means and bands
    for more details.

Breaking changes

  • Added the Observable type; replaced the data_series and data_transforms
    fields in the model type definitions with
    observable_mappings::OrderedDict{Symbol, Observable}, which is initialized
    in init_observable_mappings!.
  • kalman_filter has been broken out into
    StateSpaceRoutines.jl.
  • estimate now saves only parameter draws, not the associated state-space
    matrices or the last filtered states for each draw.