The author of this package, Sagiru Mati, obtained his PhD in Economics from the Near East University, North Cyprus. He works at the Department of Economics, Yusuf Maitama Sule (Northwest) University, Kano, Nigeria. Please visit his website for more details.
Please follow his publications on ORCID: 0000-0003-1413-3974
DynareR is an R package that can run Dynare
program from R Markdown.
Users need the following in order to knit this document:
-
Dynare 4.6.1 or above
-
Octave 5.2.0 or above
-
Dynare is installed in the standard location as follows:
-
/usr/lib/dynare/matlab
forLinux
-
/usr/lib/dynare/matlab
formacOS
-
c:/dynare/x.y/matlab
forWindows
, wherex.y
isDynare
version number.
If dynare
and Octave
are installed in standard location, DynareR
package will take care of the configurations, which include adding
matlab
directory to path, using the latest installed dynare
and so
on. Otherwise, users have to specify the matlab
folder using
add_path
function, set the Octave
path using the set_octave_path
function, or set dynare
version using the set_dynare_version
function.
DynareR can be installed using the following commands in R.
install.packages("DynareR")
OR
devtools::install_github('sagirumati/DynareR')
Please load the DynareR package as follows:
```{r DynareR}
library(DynareR)
```
Then create a chunk for dynare
(adopted from Dynare example file
bkk
) as shown below:
```{dynare bkk,eval=T}
/*
* This file implements the multi-country RBC model with time to build,
* described in Backus, Kehoe and Kydland (1992): "International Real Business
* Cycles", Journal of Political Economy, 100(4), 745-775.
*
* The notation for the variable names are the same in this file than in the paper.
* However the timing convention is different: we had to taken into account the
* fact that in Dynare, if a variable is denoted at the current period, then
* this variable must be also decided at the current period.
* Concretely, here are the differences between the paper and the model file:
* - z_t in the model file is equal to z_{t 1} in the paper
* - k_t in the model file is equal to k_{t J} in the paper
* - s_t in the model file is equal to s_{J,t}=s_{J-1,t 1}=...=s_{1,t J-1} in the paper
*
* The macroprocessor is used in this file to create a loop over countries.
* Only two countries are used here (as in the paper), but it is easy to add
* new countries in the corresponding macro-variable and completing the
* calibration.
*
* The calibration is the same than in the paper. The results in terms of
* moments of variables are very close to that of the paper (but not equal
* since the authors a different solution method).
*
* This implementation was written by Sebastien Villemot. Please note that the
* following copyright notice only applies to this Dynare implementation of the
* model.
*/
/*
* Copyright (C) 2010 Dynare Team
*
* This file is part of Dynare.
*
* Dynare is free software: you can redistribute it and/or modify
* it under the terms of the GNU General Public License as published by
* the Free Software Foundation, either version 3 of the License, or
* (at your option) any later version.
*
* Dynare is distributed in the hope that it will be useful,
* but WITHOUT ANY WARRANTY; without even the implied warranty of
* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
* GNU General Public License for more details.
*
* You should have received a copy of the GNU General Public License
* along with Dynare. If not, see <http://www.gnu.org/licenses/>.
*/
@#define countries = [ "H", "F" ]
@#define J = 4
@#for co in countries
var C_@{co} L_@{co} N_@{co} A_@{co} K_@{co} Z_@{co} X_@{co} LAMBDA_@{co} S_@{co} NX_@{co} Y_@{co};
varexo E_@{co};
parameters beta_@{co} alpha_@{co} eta_@{co} mu_@{co} gamma_@{co} theta_@{co} nu_@{co} sigma_@{co} delta_@{co} phi_@{co} psi_@{co} rho_@{co}_@{co};
@#endfor
// Lagrange multiplier of aggregate constraint
var LGM;
parameters rho_@{countries[1]}_@{countries[2]} rho_@{countries[2]}_@{countries[1]};
model;
@#for co in countries
Y_@{co} = ((LAMBDA_@{co}*K_@{co}(-@{J})^theta_@{co}*N_@{co}^(1-theta_@{co}))^(-nu_@{co}) sigma_@{co}*Z_@{co}(-1)^(-nu_@{co}))^(-1/nu_@{co});
K_@{co} = (1-delta_@{co})*K_@{co}(-1) S_@{co};
X_@{co} =
@# for lag in (-J 1):0
phi_@{co}*S_@{co}(@{lag})
@# endfor
;
A_@{co} = (1-eta_@{co})*A_@{co}(-1) N_@{co};
L_@{co} = 1 - alpha_@{co}*N_@{co} - (1-alpha_@{co})*eta_@{co}*A_@{co}(-1);
// Utility multiplied by gamma
# U_@{co} = (C_@{co}^mu_@{co}*L_@{co}^(1-mu_@{co}))^gamma_@{co};
// FOC with respect to consumption
psi_@{co}*mu_@{co}/C_@{co}*U_@{co} = LGM;
// FOC with respect to labor
// NOTE: this condition is only valid for alpha = 1
psi_@{co}*(1-mu_@{co})/L_@{co}*U_@{co}*(-alpha_@{co}) = - LGM * (1-theta_@{co})/N_@{co}*(LAMBDA_@{co}*K_@{co}(-@{J})^theta_@{co}*N_@{co}^(1-theta_@{co}))^(-nu_@{co})*Y_@{co}^(1 nu_@{co});
// FOC with respect to capital
@# for lag in 0:(J-1)
beta_@{co}^@{lag}*LGM( @{lag})*phi_@{co}
@# endfor
@# for lag in 1:J
-beta_@{co}^@{lag}*LGM( @{lag})*phi_@{co}*(1-delta_@{co})
@# endfor
= beta_@{co}^@{J}*LGM( @{J})*theta_@{co}/K_@{co}*(LAMBDA_@{co}( @{J})*K_@{co}^theta_@{co}*N_@{co}( @{J})^(1-theta_@{co}))^(-nu_@{co})*Y_@{co}( @{J})^(1 nu_@{co});
// FOC with respect to stock of inventories
LGM=beta_@{co}*LGM( 1)*(1 sigma_@{co}*Z_@{co}^(-nu_@{co}-1)*Y_@{co}( 1)^(1 nu_@{co}));
// Shock process
@# if co == countries[1]
@# define alt_co = countries[2]
@# else
@# define alt_co = countries[1]
@# endif
(LAMBDA_@{co}-1) = rho_@{co}_@{co}*(LAMBDA_@{co}(-1)-1) rho_@{co}_@{alt_co}*(LAMBDA_@{alt_co}(-1)-1) E_@{co};
NX_@{co} = (Y_@{co} - (C_@{co} X_@{co} Z_@{co} - Z_@{co}(-1)))/Y_@{co};
@#endfor
// World ressource constraint
@#for co in countries
C_@{co} X_@{co} Z_@{co} - Z_@{co}(-1)
@#endfor
=
@#for co in countries
Y_@{co}
@#endfor
;
end;
@#for co in countries
beta_@{co} = 0.99;
mu_@{co} = 0.34;
gamma_@{co} = -1.0;
alpha_@{co} = 1;
eta_@{co} = 0.5; // Irrelevant when alpha=1
theta_@{co} = 0.36;
nu_@{co} = 3;
sigma_@{co} = 0.01;
delta_@{co} = 0.025;
phi_@{co} = 1/@{J};
psi_@{co} = 0.5;
@#endfor
rho_H_H = 0.906;
rho_F_F = 0.906;
rho_H_F = 0.088;
rho_F_H = 0.088;
initval;
@#for co in countries
LAMBDA_@{co} = 1;
NX_@{co} = 0;
Z_@{co} = 1;
A_@{co} = 1;
L_@{co} = 0.5;
N_@{co} = 0.5;
Y_@{co} = 1;
K_@{co} = 1;
C_@{co} = 1;
S_@{co} = 1;
X_@{co} = 1;
E_@{co} = 0;
@#endfor
LGM = 1;
end;
shocks;
var E_H; stderr 0.00852;
var E_F; stderr 0.00852;
corr E_H, E_F = 0.258;
end;
steady;
check;
stoch_simul(order=1, hp_filter=1600);
```
The above chunk creates a Dynare program with the chunk’s content, then automatically run Dynare, which will save Dynare outputs in the current directory.
Please note that DynareR uses the chunk name as the model name. So, the
outpus of Dynare are saved in a folder with its respective chunk name.
Thus a new folder bkk/
will be created in your current working
directory.
By default, dynare
chunk imports log output as a list of dataframes,
which can be accessed via dynare$modelName
. Therefore to access the
outputs of the bkk
model produced by the dynare
chunk, use
dynare$bkk
.
Use inline code `r dynare$bkk$moments[2,3]`
to access the value of
second row and third column of the moments
, which is 0.0024.
The Impulse Response Function (IRF) is saved by default in
bkk/bkk/graphs/
folder with the IRF’s name bkk_IRF_E_H2.pdf
, where
bkk
is the Dynare model’s name. Therefore, you need to add
stoch_simul(graph_format = (pdf))
to change the default saving
behaviour of Dynare
from eps
to pdf
.
The DynareR package is also designed to work with base R. The following functions show how to work with DynareR outside the R Markdown or Quarto documents.
Use this function to embed the graphs Impulse Response Function (IRF) in R Markdown or Quarto document.
The Impulse Response Function (IRF) of the bkk
model can be fetched
using the following R chunk. Note that only the last part of the IRF’s
name (E_H2
) is needed, that is bkk_IRF_
is excluded. Also note that
out.extra='trim={0cm 7cm 0cm 7cm},clip'
is used to trim the white
space above and below the IRF.
```{r IRF,out.extra='trim={0cm 7cm 0cm 7cm},clip',fig.cap="Another of figure generated from Dynare software"}
include_IRF("bkk","E_H2")
# Alternatively, use the path argument
```
include_IRF(model="bkk",IRF = "E_H2")
# Alternatively, use the path argument
include_IRF(path="bkk/bkk/graphs/bkk_IRF_E_H2.pdf")
However, Dynare figure can only be dynamically included if the output format is pdf as Dynare produces pdf and eps graphs only.
This function writes a new dyn
file.
Use write_dyn(code="code",model="someModel")
if you want the Dynare
file to live in the current working directory. Use
write_dyn(code="code",model="path/to/someDirectory/someModel")
if you
want the Dynare file to live in the path different from the current
working directory.
dynareCodes='var y, c, k, a, h, b;
varexo e, u;
parameters beta, rho, alpha, delta, theta, psi, tau;
alpha = 0.36;
rho = 0.95;
tau = 0.025;
beta = 0.99;
delta = 0.025;
psi = 0;
theta = 2.95;
phi = 0.1;
model;
c*theta*h^(1 psi)=(1-alpha)*y;
k = beta*(((exp(b)*c)/(exp(b( 1))*c( 1)))
*(exp(b( 1))*alpha*y( 1) (1-delta)*k));
y = exp(a)*(k(-1)^alpha)*(h^(1-alpha));
k = exp(b)*(y-c) (1-delta)*k(-1);
a = rho*a(-1) tau*b(-1) e;
b = tau*a(-1) rho*b(-1) u;
end;
initval;
y = 1.08068253095672;
c = 0.80359242014163;
h = 0.29175631001732;
k = 11.08360443260358;
a = 0;
b = 0;
e = 0;
u = 0;
end;
shocks;
var e; stderr 0.009;
var u; stderr 0.009;
var e, u = phi*0.009*0.009;
end;
stoch_simul;'
write_dyn(code=dynareCodes, model="example1")
write_dyn(code=dynareCodes,model="DynareR/write_dyn/example1")
This function writes a new mod
file.
Use write_mod(code="code",model="someModel")
if you want the Dynare
file to live in the current working directory. Use
write_mod(code="code",model="path/to/someDirectory/someModel")
if you
want the Dynare file to live in the path different from the current
working directory.
DynareCodes='var y, c, k, a, h, b;
varexo e, u;
parameters beta, rho, alpha, delta, theta, psi, tau;
alpha = 0.36;
rho = 0.95;
tau = 0.025;
beta = 0.99;
delta = 0.025;
psi = 0;
theta = 2.95;
phi = 0.1;
model;
c*theta*h^(1 psi)=(1-alpha)*y;
k = beta*(((exp(b)*c)/(exp(b( 1))*c( 1)))
*(exp(b( 1))*alpha*y( 1) (1-delta)*k));
y = exp(a)*(k(-1)^alpha)*(h^(1-alpha));
k = exp(b)*(y-c) (1-delta)*k(-1);
a = rho*a(-1) tau*b(-1) e;
b = tau*a(-1) rho*b(-1) u;
end;
initval;
y = 1.08068253095672;
c = 0.80359242014163;
h = 0.29175631001732;
k = 11.08360443260358;
a = 0;
b = 0;
e = 0;
u = 0;
end;
shocks;
var e; stderr 0.009;
var u; stderr 0.009;
var e, u = phi*0.009*0.009;
end;
stoch_simul;'
write_mod(model="example1",code=dynareCodes)
write_mod(code=dynareCodes,model="DynareR/write_mod/example1")
Create and run Dynare mod
file
Use this function to create and run Dynare mod file. Use
run_dynare(code="code",model="someModel")
if you want the Dynare files
to live in the current working directory. Use
run_dynare(code="code",model="path/to/someDirectory/someModel")
if you
want the Dynare files to live in the path different from the current
working directory. Use import_log=T
argument to return the dynare
log file as list of dataframes in an environment dynare
, which can be
accessed via dynare$modelName
.
DynareCodes='var y, c, k, a, h, b;
varexo e, u;
parameters beta, rho, alpha, delta, theta, psi, tau;
alpha = 0.36;
rho = 0.95;
tau = 0.025;
beta = 0.99;
delta = 0.025;
psi = 0;
theta = 2.95;
phi = 0.1;
model;
c*theta*h^(1 psi)=(1-alpha)*y;
k = beta*(((exp(b)*c)/(exp(b( 1))*c( 1)))
*(exp(b( 1))*alpha*y( 1) (1-delta)*k));
y = exp(a)*(k(-1)^alpha)*(h^(1-alpha));
k = exp(b)*(y-c) (1-delta)*k(-1);
a = rho*a(-1) tau*b(-1) e;
b = tau*a(-1) rho*b(-1) u;
end;
initval;
y = 1.08068253095672;
c = 0.80359242014163;
h = 0.29175631001732;
k = 11.08360443260358;
a = 0;
b = 0;
e = 0;
u = 0;
end;
shocks;
var e; stderr 0.009;
var u; stderr 0.009;
var e, u = phi*0.009*0.009;
end;
stoch_simul;'
run_dynare(code=DynareCodes,model="example1",import_log = T)
run_dynare(code=DynareCodes,model="DynareR/run_dynare/example1")
Run multiple existing mod
or dyn
files.
Use this function to execute multiple existing Dynare files. Use
run_models(model="someModel")
if the Dynare files live in the current
working directory. Use
run_models(model="path/to/someDirectory/someModel")
if the Dynare
files live in the path different from the current working directory. Use
run_models()
to exectute all the dynare
models in the current
working directory. Use run_models("path/to/someDirectory*)
to run all
the dynare
models in path/to/someDirectory
.
Where agtrend.mod
, bkk.mod
and example1.mod
are the Dynare model
files (with mod
or dyn
extension), which live in the current working
directory.
demo(agtrend)
demo(bkk)
demo(example1)
# Provide the list of the `Dynare` files in a vector
# Ensure that "agtrend.mod", "bkk.mod" and "example1.mod"
# live in the current working directory
# Copy the dynare files to the current working directory
lapply(c("agtrend","bkk","example1"),\(x) file.copy(paste0(x,"/",x,".mod"),"."))
run_models(c("agtrend","bkk","example1")) # Run the models in the vector.
To run all Dynare
models that live in the current working directory,
use the following:
run_models() # Run all models in Current Working Directory.
To run all Dynare
models that live in particular path (for example
‘DynareR/run_dynare/’ folder), use the following:
# Copy the dynare files to the 'DynareR/run_dynare' directory
lapply(c("agtrend","bkk","example1"),\(x) file.copy(paste0(x,".mod"),"DynareR/run_dynare"))
run_models(model = 'DynareR/run_dynare*') # notice the * at the end
This function returns the dynare
log output as a list of dataframes,
which include summary
, shocks
, policy
, moments
, decomposition
,
correlation
and autocorrelation
. The list is accessible via
dynare$modelName
. if the model name is bkk
, the policy variables can
be obtained via dynare$bkk$policy
as a dataframe.
import_log(model="bkk")
import_log(path="bkk/bkk.log")
knitr::kable(dynare$bkk$autocorrelation)
On Windows, you can set the version of dynare you want to use. By
default, DynareR
package does this for you if the dynare version
ranges from 4.6.1 to 9.9. However, if you are using the development
version of dynare
, for example version
6-unstable-2022-04-03-0800-700a0e3a
, you can override the default as
follows
set_dynare_version("6-unstable-2022-04-03-0800-700a0e3a")
You can use this function if Octave
is not installed in the standard
location
set_octave_path('C:/Program Files/GNU Octave/Octave-6.4.0/mingw64/bin/octave20.exe')
This function is a wrapper of addpath
in Octave
. If dynare
is not
installed in the standard location, use this function to add the
matlab
subdirectory. By default, DynareR
does this for if dynare
is installed in the standard location.
add_path('/usr/lib/dynare/matlab')# Default for Linux
add_path('c:/dynare/5.1/matlab') # Default for Windows, but 5.1 can change if later version of
# `Dynare` is installed.
add_path('/usr/lib/dynare/matlab') # Default for macOS
The demo files are included and can be accessed via demo(package=“DynareR”)
demo(run_dynare)
demo(run_models)
demo(import_log)
Template for R Markdown is created. Go to
file->New File->R Markdown-> From Template->DynareR
.
Similar packages include EviewsR (Mati 2022b, 2020b,Mati, Civcir, and Abba 2023), gretlR (Mati 2020c, 2022c), and URooTab (Mati 2023b, 2023a)
For further details, consult Mati (2020a) and Mati (2022a).
Please download the example files from Github.
Mati, Sagiru. 2020a. “DynareR: Bringing the Power of Dynare to R, R Markdown, and Quarto.” CRAN. https://CRAN.R-project.org/package=DynareR.
———. 2020b. EviewsR: A Seamless Integration of EViews and R. https://CRAN.R-project.org/package=EviewsR.
———. 2020c. gretlR: A Seamless Integration of Gretl and R. https://CRAN.R-project.org/package=gretlR.
———. 2021. “Do as Your Neighbours Do? Assessing the Impact of Lockdown and Reopening on the Active COVID-19 Cases in Nigeria.” Social Science &Amp; Medicine 270 (February): 113645. https://doi.org/10.1016/j.socscimed.2020.113645.
———. 2022a. “Package ‘DynareR’.” https://cran.r-project.org/web/packages/DynareR/DynareR.pdf.
———. 2022b. “Package ‘EviewsR’.” https://cran.r-project.org/web/packages/EviewsR/EviewsR.pdf.
———. 2022c. “Package ‘gretlR’.” https://cran.r-project.org/web/packages/gretlR/gretlR.pdf.
———. 2023a. “Package ‘URooTab’.” https://cran.r-project.org/web/packages/URooTab/URooTab.pdf.
———. 2023b. URooTab: Tabular Reporting of EViews Unit Root Tests. https://github.com/sagirumati/URooTab.
Mati, Sagiru, Irfan Civcir, and S. I. Abba. 2023. “EviewsR: An r Package for Dynamic and Reproducible Research Using EViews, r, r Markdown and Quarto.” The R Journal 15 (2): 169–205. https://doi.org/10.32614/rj-2023-045.
Mati, Sagiru, Irfan Civcir, and Hüseyin Ozdeser. 2019. “ECOWAS COMMON CURRENCY: HOW PREPARED ARE ITS MEMBERS?” Investigación Económica 78 (308): 89. https://doi.org/10.22201/fe.01851667p.2019.308.69625.
Mati, Sagiru, Irfan Civcir, and Hüseyin Özdeşer. 2023. “ECOWAS Common Currency, a Mirage or Possibility?” Panoeconomicus 70 (2): 239–60. https://doi.org/10.2298/pan191119015m.
Mati, Sagiru, Magdalena Radulescu, Najia Saqib, Ahmed Samour, Goran Yousif Ismael, and Nazifi Aliyu. 2023. “Incorporating Russo-Ukrainian War in Brent Crude Oil Price Forecasting: A Comparative Analysis of ARIMA, TARMA and ENNReg Models.” Heliyon 9 (11): e21439. https://doi.org/10.1016/j.heliyon.2023.e21439.