diff --git a/mex/build/loglikelihood.am b/mex/build/loglikelihood.am
new file mode 100644
index 0000000000000000000000000000000000000000..4664b4bf27af3f7e5c01b965570bbaba68d03547
--- /dev/null
+++ b/mex/build/loglikelihood.am
@@ -0,0 +1,53 @@
+vpath %.cc $(top_srcdir)/../../sources/estimation $(top_srcdir)/../../sources/estimation/libmat $(top_srcdir)/../../sources/estimation/utils
+vpath %.hh $(top_srcdir)/../../sources/estimation $(top_srcdir)/../../sources/estimation/libmat
+
+CPPFLAGS += -I$(top_srcdir)/../../sources/estimation/libmat -I$(top_srcdir)/../../sources/estimation/utils
+
+noinst_PROGRAMS = loglikelihood
+
+loglikelihood_LDADD = $(LIBADD_DLOPEN)
+
+MAT_SRCS = \
+ Matrix.hh \
+ Matrix.cc \
+ Vector.hh \
+ Vector.cc \
+ BlasBindings.hh \
+ DiscLyapFast.hh \
+ GeneralizedSchurDecomposition.cc \
+ GeneralizedSchurDecomposition.hh \
+ LapackBindings.hh \
+ LUSolver.cc \
+ LUSolver.hh \
+ QRDecomposition.cc \
+ QRDecomposition.hh \
+ VDVEigDecomposition.cc \
+ VDVEigDecomposition.hh
+
+nodist_loglikelihood_SOURCES = \
+ $(MAT_SRCS) \
+ DecisionRules.cc \
+ DecisionRules.hh \
+ DetrendData.cc \
+ DetrendData.hh \
+ EstimatedParameter.cc \
+ EstimatedParameter.hh \
+ EstimatedParametersDescription.cc \
+ EstimatedParametersDescription.hh \
+ EstimationSubsample.cc \
+ EstimationSubsample.hh \
+ InitializeKalmanFilter.cc \
+ InitializeKalmanFilter.hh \
+ KalmanFilter.cc \
+ KalmanFilter.hh \
+ LogLikelihoodSubSample.cc \
+ LogLikelihoodSubSample.hh \
+ LogLikelihoodMain.hh \
+ LogLikelihoodMain.cc \
+ ModelSolution.cc \
+ ModelSolution.hh \
+ Prior.cc \
+ Prior.hh \
+ dynamic_dll.cc \
+ dynamic_dll.hh \
+ loglikelihood.cc
diff --git a/mex/build/matlab/Makefile.am b/mex/build/matlab/Makefile.am
index a82facefc8959a558e01ee3776ba0c9b4f56b95a..f823b41ea9181820511232751a4d7a178456c8be 100644
--- a/mex/build/matlab/Makefile.am
+++ b/mex/build/matlab/Makefile.am
@@ -2,7 +2,7 @@ ACLOCAL_AMFLAGS = -I ../../../m4
# libdynare++ must come before gensylv, k_order_perturbation, dynare_simul_
if DO_SOMETHING
-SUBDIRS = mjdgges kronecker bytecode libdynare++ gensylv k_order_perturbation dynare_simul_
+SUBDIRS = mjdgges kronecker bytecode libdynare++ gensylv k_order_perturbation dynare_simul_ loglikelihood
if HAVE_GSL
SUBDIRS += swz
endif
diff --git a/mex/build/matlab/configure.ac b/mex/build/matlab/configure.ac
index f1e77acaa1c3924aeea6485f1cc6e38749b76a78..e39f90c5695a67fdde646795cf51aaabc5e9c29d 100644
--- a/mex/build/matlab/configure.ac
+++ b/mex/build/matlab/configure.ac
@@ -102,6 +102,7 @@ AC_CONFIG_FILES([Makefile
bytecode/Makefile
k_order_perturbation/Makefile
dynare_simul_/Makefile
- swz/Makefile])
+ swz/Makefile
+ loglikelihood/Makefile])
AC_OUTPUT
diff --git a/mex/build/matlab/loglikelihood/Makefile.am b/mex/build/matlab/loglikelihood/Makefile.am
new file mode 100644
index 0000000000000000000000000000000000000000..c59b3ffd44864c4f00dc49e53dfb7aec77140347
--- /dev/null
+++ b/mex/build/matlab/loglikelihood/Makefile.am
@@ -0,0 +1,2 @@
+include ../mex.am
+include ../../loglikelihood.am
diff --git a/mex/build/octave/Makefile.am b/mex/build/octave/Makefile.am
index 4a3c8e66cfcd3b6fddf79ebb140865fbf581aad0..4bf868a4f3324029f26ddfe1ad6426fe36951975 100644
--- a/mex/build/octave/Makefile.am
+++ b/mex/build/octave/Makefile.am
@@ -2,7 +2,7 @@ ACLOCAL_AMFLAGS = -I ../../../m4
# libdynare++ must come before gensylv, k_order_perturbation, dynare_simul_
if DO_SOMETHING
-SUBDIRS = mjdgges kronecker bytecode libdynare++ gensylv k_order_perturbation dynare_simul_
+SUBDIRS = mjdgges kronecker bytecode libdynare++ gensylv k_order_perturbation dynare_simul_ loglikelihood
if HAVE_GSL
SUBDIRS += swz
endif
diff --git a/mex/build/octave/configure.ac b/mex/build/octave/configure.ac
index 580ab6965622e4a08b65de01bfe8cb08960a1773..626ea6eda56c464c4fd4db4927ae439181488889 100644
--- a/mex/build/octave/configure.ac
+++ b/mex/build/octave/configure.ac
@@ -84,6 +84,7 @@ AC_CONFIG_FILES([Makefile
gensylv/Makefile
k_order_perturbation/Makefile
dynare_simul_/Makefile
- swz/Makefile])
+ swz/Makefile
+ loglikelihood/Makefile])
AC_OUTPUT
diff --git a/mex/build/octave/loglikelihood/Makefile.am b/mex/build/octave/loglikelihood/Makefile.am
new file mode 100644
index 0000000000000000000000000000000000000000..c59b3ffd44864c4f00dc49e53dfb7aec77140347
--- /dev/null
+++ b/mex/build/octave/loglikelihood/Makefile.am
@@ -0,0 +1,2 @@
+include ../mex.am
+include ../../loglikelihood.am
diff --git a/mex/sources/estimation/Makefile.am b/mex/sources/estimation/Makefile.am
index e820c961e977739da37ceed836cac6cad06df2d8..930895f2b2c457ee8e57a9352efb8ae9c7bb5c3a 100644
--- a/mex/sources/estimation/Makefile.am
+++ b/mex/sources/estimation/Makefile.am
@@ -11,19 +11,25 @@ EXTRA_DIST = \
DecisionRules.hh \
DetrendData.cc \
DetrendData.hh \
+ EstimatedParameter.cc \
EstimatedParameter.hh \
+ EstimatedParametersDescription.cc \
EstimatedParametersDescription.hh \
+ EstimationSubsample.cc \
EstimationSubsample.hh \
InitializeKalmanFilter.cc \
InitializeKalmanFilter.hh \
KalmanFilter.cc \
KalmanFilter.hh \
- LogLikelihoodMain.hh \
LogLikelihoodSubSample.cc \
LogLikelihoodSubSample.hh \
+ LogLikelihoodMain.hh \
+ LogLikelihoodMain.cc \
ModelSolution.cc \
ModelSolution.hh \
+ Prior.cc \
Prior.hh \
+ loglikelihood.cc \
utils/dynamic_dll.cc \
utils/dynamic_dll.hh \
utils/ts_exception.h
diff --git a/mex/sources/estimation/Prior.cc b/mex/sources/estimation/Prior.cc
index 1cc47dec5a17d1d1e88b5512d7aa969e4d76927d..1272a39c033774835b49f9ef57b6f65d9e29b8ee 100644
--- a/mex/sources/estimation/Prior.cc
+++ b/mex/sources/estimation/Prior.cc
@@ -36,3 +36,22 @@ Prior::~Prior()
}
+Prior *
+Prior::constructPrior(pShape shape, double mean, double standard, double lower_bound, double upper_bound, double fhp, double shp)
+{
+ switch (shape)
+ {
+ case Beta:
+ return new BetaPrior(mean, standard, lower_bound, upper_bound, fhp, shp);
+ case Gamma:
+ return new GammaPrior(mean, standard, lower_bound, upper_bound, fhp, shp);
+ case Gaussian:
+ return new GaussianPrior(mean, standard, lower_bound, upper_bound, fhp, shp);
+ case Inv_gamma_1:
+ return new InvGamma1_Prior(mean, standard, lower_bound, upper_bound, fhp, shp);
+ case Uniform:
+ return new UniformPrior(mean, standard, lower_bound, upper_bound, fhp, shp);
+ case Inv_gamma_2:
+ return new InvGamma2_Prior(mean, standard, lower_bound, upper_bound, fhp, shp);
+ }
+}
diff --git a/mex/sources/estimation/Prior.hh b/mex/sources/estimation/Prior.hh
index 37bc72ab0f2c02c6a24a5979bc82af92baa4d030..64a7e6161d5e9de49405ff322918a4fc10bb3750 100644
--- a/mex/sources/estimation/Prior.hh
+++ b/mex/sources/estimation/Prior.hh
@@ -87,6 +87,7 @@ public:
return 0.0;
};
+ static Prior *constructPrior(pShape shape, double mean, double standard, double lower_bound, double upper_bound, double fhp, double shp);
};
struct BetaPrior : public Prior
diff --git a/mex/sources/estimation/libmat/Makefile.am b/mex/sources/estimation/libmat/Makefile.am
index ef4a5a450b57d9db8d0b56dcde808f86c2bf2cba..b73cf569f90239361fb775c17f024ca00774416f 100644
--- a/mex/sources/estimation/libmat/Makefile.am
+++ b/mex/sources/estimation/libmat/Makefile.am
@@ -5,15 +5,18 @@ endif
endif
EXTRA_DIST = \
+ Matrix.hh \
+ Matrix.cc \
+ Vector.hh \
+ Vector.cc \
BlasBindings.hh \
DiscLyapFast.hh \
GeneralizedSchurDecomposition.cc \
GeneralizedSchurDecomposition.hh \
+ LapackBindings.hh \
LUSolver.cc \
LUSolver.hh \
- Matrix.cc \
- Matrix.hh \
QRDecomposition.cc \
QRDecomposition.hh \
- Vector.cc \
- Vector.hh
+ VDVEigDecomposition.cc \
+ VDVEigDecomposition.hh
diff --git a/mex/sources/estimation/loglikelihood.cc b/mex/sources/estimation/loglikelihood.cc
new file mode 100644
index 0000000000000000000000000000000000000000..93b0e84ffdaa03a56ff4103bb6df6085c426dbd0
--- /dev/null
+++ b/mex/sources/estimation/loglikelihood.cc
@@ -0,0 +1,204 @@
+/*
+ * 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/>.
+ */
+
+#include <string>
+#include <vector>
+#include <algorithm>
+#include <functional>
+
+#include "Vector.hh"
+#include "Matrix.hh"
+#include "LogLikelihoodMain.hh"
+
+#include "mex.h"
+
+void
+fillEstParamsInfo(const mxArray *estim_params_info, EstimatedParameter::pType type,
+ std::vector<EstimatedParameter> &estParamsInfo)
+{
+ size_t m = mxGetM(estim_params_info), n = mxGetN(estim_params_info);
+ MatrixConstView epi(mxGetPr(estim_params_info), m, n, m);
+ for (size_t i = 0; i < m; i++)
+ {
+ size_t col = 0;
+ size_t id1 = (size_t) epi(i, col++) - 1;
+ size_t id2 = 0;
+ if (type == EstimatedParameter::shock_Corr
+ || type == EstimatedParameter::measureErr_Corr)
+ id2 = (size_t) epi(i, col++) - 1;
+ col++; // Skip init_val
+ double low_bound = epi(i, col++);
+ double up_bound = epi(i, col++);
+ Prior::pShape shape = (Prior::pShape) epi(i, col++);
+ double mean = epi(i, col++);
+ double std = epi(i, col++);
+ double p3 = epi(i, col++);
+ double p4 = epi(i, col++);
+
+ // Prior *p = Prior::constructPrior(shape, mean, std, low_bound, up_bound, p3, p4);
+ Prior *p = NULL;
+
+ // Only one subsample
+ std::vector<size_t> subSampleIDs;
+ subSampleIDs.push_back(0);
+
+ estParamsInfo.push_back(EstimatedParameter(type, id1, id2, subSampleIDs,
+ low_bound, up_bound, p));
+ }
+}
+
+double
+loglikelihood(const VectorConstView &estParams, const MatrixConstView &data,
+ const std::string &mexext)
+{
+ // Retrieve pointers to global variables
+ const mxArray *M_ = mexGetVariablePtr("global", "M_");
+ const mxArray *oo_ = mexGetVariablePtr("global", "oo_");
+ const mxArray *options_ = mexGetVariablePtr("global", "options_");
+ const mxArray *estim_params_ = mexGetVariablePtr("global", "estim_params_");
+
+ // Construct arguments of constructor of LogLikelihoodMain
+ char *fName = mxArrayToString(mxGetField(M_, 0, "fname"));
+ std::string dynamicDllFile(fName);
+ mxFree(fName);
+ dynamicDllFile += "_dynamic" + mexext;
+
+ size_t n_endo = (size_t) *mxGetPr(mxGetField(M_, 0, "endo_nbr"));
+ size_t n_exo = (size_t) *mxGetPr(mxGetField(M_, 0, "exo_nbr"));
+ size_t n_param = (size_t) *mxGetPr(mxGetField(M_, 0, "param_nbr"));
+ size_t n_estParams = estParams.getSize();
+
+ std::vector<size_t> zeta_fwrd, zeta_back, zeta_mixed, zeta_static;
+ const mxArray *lli_mx = mxGetField(M_, 0, "lead_lag_incidence");
+ MatrixConstView lli(mxGetPr(lli_mx), mxGetM(lli_mx), mxGetN(lli_mx), mxGetM(lli_mx));
+ if (lli.getRows() != 3 || lli.getCols() != n_endo)
+ mexErrMsgTxt("Incorrect lead/lag incidence matrix");
+ for (size_t i = 0; i < n_endo; i++)
+ {
+ if (lli(0, i) == 0 && lli(2, i) == 0)
+ zeta_static.push_back(i);
+ else if (lli(0, i) != 0 && lli(2, i) == 0)
+ zeta_back.push_back(i);
+ else if (lli(0, i) == 0 && lli(2, i) != 0)
+ zeta_fwrd.push_back(i);
+ else
+ zeta_mixed.push_back(i);
+ }
+
+ double qz_criterium = *mxGetPr(mxGetField(options_, 0, "qz_criterium"));
+ double lyapunov_tol = *mxGetPr(mxGetField(options_, 0, "lyapunov_complex_threshold"));
+ double riccati_tol = *mxGetPr(mxGetField(options_, 0, "riccati_tol"));
+
+ std::vector<size_t> varobs;
+ const mxArray *varobs_mx = mxGetField(options_, 0, "varobs_id");
+ if (mxGetM(varobs_mx) != 1)
+ mexErrMsgTxt("options_.varobs_id must be a row vector");
+ size_t n_varobs = mxGetN(varobs_mx);
+ std::transform(mxGetPr(varobs_mx), mxGetPr(varobs_mx) + n_varobs, back_inserter(varobs),
+ std::bind2nd(std::minus<size_t>(), 1));
+
+ if (data.getRows() != n_varobs)
+ mexErrMsgTxt("Data has not as many rows as there are observed variables");
+
+ std::vector<EstimationSubsample> estSubsamples;
+ estSubsamples.push_back(EstimationSubsample(0, data.getCols() - 1));
+
+ std::vector<EstimatedParameter> estParamsInfo;
+ fillEstParamsInfo(mxGetField(estim_params_, 0, "var_exo"), EstimatedParameter::shock_SD,
+ estParamsInfo);
+ fillEstParamsInfo(mxGetField(estim_params_, 0, "var_endo"), EstimatedParameter::measureErr_SD,
+ estParamsInfo);
+ fillEstParamsInfo(mxGetField(estim_params_, 0, "corrx"), EstimatedParameter::shock_Corr,
+ estParamsInfo);
+ fillEstParamsInfo(mxGetField(estim_params_, 0, "corrn"), EstimatedParameter::measureErr_Corr,
+ estParamsInfo);
+ fillEstParamsInfo(mxGetField(estim_params_, 0, "param_vals"), EstimatedParameter::deepPar,
+ estParamsInfo);
+
+ EstimatedParametersDescription epd(estSubsamples, estParamsInfo);
+
+ // Allocate LogLikelihoodMain object
+ int info;
+ LogLikelihoodMain llm(dynamicDllFile, epd, n_endo, n_exo, zeta_fwrd, zeta_back, zeta_mixed, zeta_static,
+ qz_criterium, varobs, riccati_tol, lyapunov_tol, info);
+
+ // Construct arguments of compute() method
+ Matrix steadyState(n_endo, 1);
+ mat::get_col(steadyState, 0) = VectorConstView(mxGetPr(mxGetField(oo_, 0, "steady_state")), n_endo, 1);
+
+ Vector estParams2(n_estParams);
+ estParams2 = estParams;
+ Vector deepParams(n_param);
+ deepParams = VectorConstView(mxGetPr(mxGetField(M_, 0, "params")), n_param, 1);
+ Matrix Q(n_exo);
+ Q = MatrixConstView(mxGetPr(mxGetField(M_, 0, "Sigma_e")), n_exo, n_exo, 1);
+ Matrix H(n_varobs);
+ const mxArray *H_mx = mxGetField(M_, 0, "H");
+ if (mxGetM(H_mx) == 1 && mxGetN(H_mx) == 1 && *mxGetPr(H_mx) == 0)
+ H.setAll(0.0);
+ else
+ H = MatrixConstView(mxGetPr(mxGetField(M_, 0, "H")), n_varobs, n_varobs, 1);
+
+ // Compute the likelihood
+ double lik = llm.compute(steadyState, estParams2, deepParams, data, Q, H, 0, info);
+
+ // Cleanups
+ /*
+ for (std::vector<EstimatedParameter>::iterator it = estParamsInfo.begin();
+ it != estParamsInfo.end(); it++)
+ delete it->prior;
+ */
+
+ return lik;
+}
+
+void
+mexFunction(int nlhs, mxArray *plhs[],
+ int nrhs, const mxArray *prhs[])
+{
+ if (nrhs != 3)
+ mexErrMsgTxt("loglikelihood: exactly three arguments are required.");
+ if (nlhs != 1)
+ mexErrMsgTxt("loglikelihood: exactly one return argument is required.");
+
+ // Check and retrieve the arguments
+
+ if (!mxIsDouble(prhs[0]) || mxGetN(prhs[0]) != 1)
+ mexErrMsgTxt("First argument must be a column vector of double-precision numbers");
+
+ VectorConstView estParams(mxGetPr(prhs[0]), mxGetM(prhs[0]), 1);
+
+ if (!mxIsDouble(prhs[1]))
+ mexErrMsgTxt("Second argument must be a matrix of double-precision numbers");
+
+ MatrixConstView data(mxGetPr(prhs[1]), mxGetM(prhs[1]), mxGetN(prhs[1]), mxGetM(prhs[1]));
+
+ if (!mxIsChar(prhs[2]))
+ mexErrMsgTxt("Third argument must be a character string");
+
+ char *mexext_mx = mxArrayToString(prhs[2]);
+ std::string mexext(mexext_mx);
+ mxFree(mexext_mx);
+
+ // Compute and return the value
+ double lik = loglikelihood(estParams, data, mexext);
+
+ plhs[0] = mxCreateDoubleMatrix(1, 1, mxREAL);
+ *mxGetPr(plhs[0]) = lik;
+}
diff --git a/preprocessor/SymbolTable.cc b/preprocessor/SymbolTable.cc
index ae4af72c35775040121f976024a739cfd13a9b06..b3e4ad12f65da9965fe76b095409fe44b0d4359b 100644
--- a/preprocessor/SymbolTable.cc
+++ b/preprocessor/SymbolTable.cc
@@ -250,6 +250,12 @@ SymbolTable::writeOutput(ostream &output) const throw (NotYetFrozenException)
for (vector<int>::const_iterator it = varobs.begin();
it != varobs.end(); it++)
output << "options_.varobs = strvcat(options_.varobs, '" << getName(*it) << "');" << endl;
+
+ output << "options_.varobs_id = [ ";
+ for (vector<int>::const_iterator it = varobs.begin();
+ it != varobs.end(); it++)
+ output << getTypeSpecificID(*it)+1 << " ";
+ output << " ];" << endl;
}
}