include feedback

README.md

@@ -13,7 +13,7 @@
 
 `MacroModelling.jl` is a Julia package for developing and solving dynamic stochastic general equilibrium (DSGE) models. These kinds of models describe the behavior of a macroeconomy and are particularly suited for counterfactual analysis (economic policy evaluation) and exploring / quantifying specific mechanisms (academic research). Due to the complexity of these models, efficient numerical tools are required, as analytical solutions are often unavailable. `MacroModelling.jl` serves as a tool for handling the complexities involved, such as forward-looking expectations, nonlinearity, and high dimensionality.
 
-The goal of this package is to reduce coding time and speed up model development by providing functions for working with discrete-time DSGE models. The user-friendly syntax, automatic variable declaration, and effective steady state solver facilitate fast prototyping of models. The target audience for the package includes central bankers, regulators, graduate students, and others working in academia with an interest in DSGE modelling.
+The goal of this package is to reduce coding time and speed up model development by providing functions for working with discrete-time DSGE models. The user-friendly syntax, automatic variable declaration, and effective steady state solver facilitate fast prototyping of models. Furthermore, the package allows the user to work with nonlinear model solutions (up to third order (pruned) perturbation) and estimate the model using gradient based samplers (e.g. NUTS, of HMC). Currently, [DifferentiableStateSpaceModels.jl](https://github.com/HighDimensionalEconLab/DifferentiableStateSpaceModels.jl) is the only other package providing functionality to estimate using gradient based samplers but the use is limited to models with an analytical solution of the non stochastic steady state (NSSS). Larger models tend to not have an analytical solution of the NSSS and `MacroModelling.jl` can also use gradient based sampler in this case. The target audience for the package includes central bankers, regulators, graduate students, and others working in academia with an interest in DSGE modelling.
 
 As of now the package can:
 
@@ -23,7 +23,7 @@ As of now the package can:
 - calculate (generalised) impulse response functions, simulate the model, or do conditional forecasts
 - calibrate parameters using (non stochastic) steady state relationships
 - match model moments (also for pruned higher order solutions)
-- estimate the model on data (Kalman filter using first order perturbation)
+- estimate the model on data (Kalman filter using first order perturbation) with gradient based samplers (NUTS, HMC and also MH)
 - **differentiate** (forward AD) the model solution, Kalman filter loglikelihood (reverse-mode AD), model moments, steady state, **with respect to the parameters**
 
 The package is not:
@@ -94,21 +94,21 @@ The package contains the following models in the `models` folder:
 
 ## Comparison with other packages
 
-||MacroModelling.jl|[dynare](https://www.dynare.org)|[RISE](https://github.com/jmaih/RISE_toolbox)|[NBTOOLBOX](https://github.com/Coksp1/NBTOOLBOX/tree/main/Documentation)|[IRIS](https://iris.igpmn.org)|[DSGE.jl](https://github.com/FRBNY-DSGE/DSGE.jl)|[StateSpaceEcon.jl](https://bankofcanada.github.io/DocsEcon.jl/dev/)|[SolveDSGE.jl](https://github.com/RJDennis/SolveDSGE.jl)|[dolo.py](https://www.econforge.org/dolo.py/)|[DifferentiableStateSpaceModels.jl](https://github.com/HighDimensionalEconLab/DifferentiableStateSpaceModels.jl)|[gEcon](http://gecon.r-forge.r-project.org)|[GDSGE](https://www.gdsge.com)|[Taylor Projection](https://sites.google.com/site/orenlevintal/taylor-projection)
+||MacroModelling.jl|[dynare](https://www.dynare.org)|[DSGE.jl](https://github.com/FRBNY-DSGE/DSGE.jl)|[dolo.py](https://www.econforge.org/dolo.py/)|[SolveDSGE.jl](https://github.com/RJDennis/SolveDSGE.jl)|[DifferentiableStateSpaceModels.jl](https://github.com/HighDimensionalEconLab/DifferentiableStateSpaceModels.jl)|[StateSpaceEcon.jl](https://bankofcanada.github.io/DocsEcon.jl/dev/)|[IRIS](https://iris.igpmn.org)|[RISE](https://github.com/jmaih/RISE_toolbox)|[NBTOOLBOX](https://github.com/Coksp1/NBTOOLBOX/tree/main/Documentation)|[gEcon](http://gecon.r-forge.r-project.org)|[GDSGE](https://www.gdsge.com)|[Taylor Projection](https://sites.google.com/site/orenlevintal/taylor-projection)|
 |---|---|---|---|---|---|---|---|---|---|---|---|---|---|
-**Host language**|julia|MATLAB|MATLAB|MATLAB|MATLAB|julia|julia|julia|Python|julia|R|MATLAB|MATLAB|
-**Non stochastic steady state solver**|*symbolic* or numerical solver of independent blocks; symbolic removal of variables redundant in steady state; inclusion of calibration equations in problem|numerical solver of independent blocks or user-supplied values/functions|numerical solver of independent blocks or user-supplied values/functions|user-supplied steady state file or numerical solver|numerical solver of independent blocks or user-supplied values/functions||numerical solver of independent blocks or user-supplied values/functions|numerical solver|numerical solver or user supplied values/equations|numerical solver or user supplied values/equations|numerical solver; inclusion of calibration equations in problem|||
+**Host language**|julia|MATLAB|julia|Python|julia|julia|julia|MATLAB|MATLAB|MATLAB|R|MATLAB|MATLAB|
+**Non stochastic steady state solver**|*symbolic* or numerical solver of independent blocks; symbolic removal of variables redundant in steady state; inclusion of calibration equations in problem|numerical solver of independent blocks or user-supplied values/functions||numerical solver of independent blocks or user-supplied values/functions|numerical solver|numerical solver or user supplied values/equations|numerical solver of independent blocks or user-supplied values/functions|numerical solver of independent blocks or user-supplied values/functions|numerical solver of independent blocks or user-supplied values/functions|user-supplied steady state file or numerical solver|numerical solver; inclusion of calibration equations in problem|||
 **Automatic declaration of variables and parameters**|yes|||||||||||||
-**Derivatives (Automatic Differentiation) wrt parameters**|yes|||||||||yes - for all 1st, 2nd order perturbation solution related output *if user supplied steady state equations*|||
-**Perturbation solution order**|1, 2, 3|k|1 to 5|1|1|1|1|1, 2, 3|1, 2, 3|1, 2|1||1 to 5|
-**Pruning**|yes|yes|yes|||||||yes||||
+**Derivatives (Automatic Differentiation) wrt parameters**|yes|||||yes - for all 1st, 2nd order perturbation solution related output *if user supplied steady state equations*|||||||
+**Perturbation solution order**|1, 2, 3|k|1|1, 2, 3|1, 2, 3|1, 2|1|1|1 to 5|1|1||1 to 5|
+**Pruning**|yes|yes||||yes|||yes|||||
 **Automatic derivation of first order conditions**|||||||||||yes||
-**Handles occasionally binding constraints**||yes|yes|||yes||yes|yes|||yes||
-**Global solution**||||||||yes|yes|||yes||
-**Estimation**|yes|yes|yes|yes|yes|yes|||||yes|||
-**Balanced growth path**||yes|yes|yes|yes|yes|yes|||||||
-**Model input**|macro (julia)|text file|text file|text file|text file|text file|module (julia)|text file|text file|macro (julia)|text file|text file|text file|
-**Timing convention**|end-of-period|end-of-period|end-of-period|end-of-period|end-of-period||end-of-period|start-of-period|end-of-period|start-of-period|end-of-period|start-of-period|start-of-period|
+**Handles occasionally binding constraints**||yes|yes|yes|yes||||yes|||yes||
+**Global solution**||||yes|yes|||||||yes||
+**Estimation**|yes|yes|yes|||||yes|yes|yes|yes|||
+**Balanced growth path**||yes|yes||||yes|yes|yes|yes|||||
+**Model input**|macro (julia)|text file|text file|text file|text file|macro (julia)|module (julia)|text file|text file|text file|text file|text file|text file|
+**Timing convention**|end-of-period|end-of-period||end-of-period|start-of-period|start-of-period|end-of-period|end-of-period|end-of-period|end-of-period|end-of-period|start-of-period|start-of-period|
 
 ## Bibliography
 

docs/src/unfinished_docs/todo.md

@@ -6,7 +6,7 @@
 - [ ] nonlinear estimation using unscented kalman filter
 - [ ] nonlinear conditional forecasts
 - [ ] add balanced growth path handling
-- [ ] feedback: write out RBC equations, provide option for external SS guess, highlight NUTS sampler compatibility, sell the sampler better (ESS vs dynare), reorder other toolboxes according to popularity, differentiate more vs diffstatespace, more details on algorithm (SS solver)
+- [ ] feedback: write out RBC equations, provide option for external SS guess, sell the sampler better (ESS vs dynare), more details on algorithm (SS solver)
 - [ ] recheck function examples and docs (include output description)
 - [ ] riccati with analytical derivatives (much faster if sparse) instead of implicit diff
 - [ ] add user facing option to choose sylvester solver
@@ -65,6 +65,9 @@
 - [ ] weed out SS solver and saved objects
 
 - [x] check if higher order effects might distort results for autocorr (problem with order deffinition) - doesnt seem to be the case; full_covar yields same result
+- [x] highlight NUTS sampler compatibility
+- [x] differentiate more vs diffstatespace
+- [x] reorder other toolboxes according to popularity
 - [x] add JOSS article (see Makie.jl)
 - [x] write to mod file for unicode characters. have them take what you would type: \alpha\bar
 - [x] write dynare model using function converting unicode to tab completion