Understanding Dynare's Preprocessor OR How to manually pre-process a DSGE model (with MATLAB)

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Description

This is a Zoom recording (hope the quality is still okay) of a session on Dynare’s preprocessor and what it actually does. I illustrate preprocessing on a RBC model by manually re-doing some steps in MATLAB with a focus on writing out script files of the static/dynamic model equations and Jacobians.

Note that Dynare’s preprocessor is written in C++ and is capable to do much more things than I cover in this video, but I still hope this is useful for people who need to manually preprocess a DSGE model.

Topics

  • Example run of Dynare on RBC model
  • What does Dynare’s preprocessor create in the “+” folder
  • Quick example how MATLAB’s symbolic toolbox can help us to pre-process a model
  • Preprocessing in MATLAB: define strings for variable and parameter names
  • Preprocessing in MATLAB: Enter model equations by defining symbolic variables with different time subscripts
  • Preprocessing in MATLAB: create lead_lag_incidence matrix to find dynamic variables
  • Preprocessing in MATLAB: distinguish different types of variables depending on their timing
  • Preprocessing in MATLAB: compute static model equations
  • Preprocessing in MATLAB: compute static Jacobian
  • Preprocessing in MATLAB: compute dynamic Jacobian
  • Preprocessing in MATLAB: write out symbolic expressions to script files
  • Comparison of manually preprocessed script files with the corresponding ones created by Dynare

References

  • Dynare Manual
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