diff --git a/matlab/check_particle_filter_options.m b/matlab/check_particle_filter_options.m
new file mode 100644
index 0000000000000000000000000000000000000000..e545eaf3e09e2fd997b03aaf01f397560bc5d7fa
--- /dev/null
+++ b/matlab/check_particle_filter_options.m
@@ -0,0 +1,125 @@
+function [particle_options] = check_particle_filter_options(particle_options)
+% function [particle_filter_options, options_] = check_particle_filter_options(particle_filter_options_string, options_)
+% initialization of particle filter options
+%
+% INPUTS
+% particle_filter_options: structure storing the options
+
+% OUTPUTS
+% particle_filter_options: checked particle filter options
+%
+% SPECIAL REQUIREMENTS
+% none
+
+% Copyright (C) 2021 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/>.
+
+if strcmpi(particle_options.filter_algorithm, 'sis')
+ particle_options.algorithm = 'sequential_importance_particle_filter';
+elseif strcmpi(particle_options.filter_algorithm, 'apf')
+ particle_options.algorithm = 'auxiliary_particle_filter';
+elseif strcmpi(particle_options.filter_algorithm, 'gf')
+ particle_options.algorithm = 'gaussian_filter';
+elseif strcmpi(particle_options.filter_algorithm, 'gmf')
+ particle_options.algorithm = 'gaussian_mixture_filter';
+elseif strcmpi(particle_options.filter_algorithm, 'cpf')
+ particle_options.algorithm = 'conditional_particle_filter';
+elseif strcmpi(particle_options.filter_algorithm, 'nlkf')
+ particle_options.algorithm = 'nonlinear_kalman_filter';
+else
+ error(['Estimation: Unknown filter ' particle_options.filter_algorithm])
+end
+
+if ~isempty(particle_options.particle_filter_options)
+ % set default options and user defined options
+ options_list = read_key_value_string(particle_options.particle_filter_options);
+ for i=1:rows(options_list)
+ switch options_list{i,1}
+ case 'posterior_sampler'
+ if ~(strcmpi(options_list{i,2}, 'Herbst_Schorfheide') || ...
+ strcmpi(options_list{i,2}, 'DSMH'))
+ error(['check_particle_filter_options:: the proposal_distribution option to estimation takes either ' ...
+ 'Herbst_Schorfheide or Herbst_Schorfheide as options']);
+ else
+ particle_options.posterior_sampler=options_list{i,2};
+ end
+ case 'initial_state_prior_std'
+ if options_list{i,2} <= 0
+ error('check_particle_filter_options:: the initial_state_prior_std option takes a positive argument');
+ else
+ particle_options.initial_state_prior_std=options_list{i,2};
+ end
+ case 'pruning'
+ if ~islogical(options_list{i,2})
+ error('check_particle_filter_options:: the pruning options takes only true or false');
+ else
+ particle_options.pruning=options_list{i,2};
+ end
+ case 'unscented_alpha'
+ if options_list{i,2} <= 0
+ error('check_particle_filter_options:: the unscented_alpha option takes a positive argument');
+ else
+ particle_options.unscented.alpha=options_list{i,2};
+ end
+ case 'unscented_beta'
+ if options_list{i,2} <= 0
+ error('check_particle_filter_options:: the unscented_beta option takes a positive argument');
+ else
+ particle_options.unscented.beta=options_list{i,2};
+ end
+ case 'unscented_kappa'
+ if options_list{i,2} <= 0
+ error('check_particle_filter_options:: the unscented_kappa option takes a positive argument');
+ else
+ particle_options.unscented.kappa=options_list{i,2};
+ end
+ case 'mixture_state_variables'
+ if options_list{i,2} <= 0
+ error('check_particle_filter_options:: the mixture_state_variables option takes a positive integer');
+ else
+ particle_options.mixture_state_variables=options_list{i,2};
+ end
+ case 'mixture_structural_shocks'
+ if options_list{i,2} <= 0
+ error('check_particle_filter_options:: the mixture_structural_shocks option takes a positive integer');
+ else
+ particle_options.mixture_structural_shocks=options_list{i,2};
+ end
+ case 'mixture_measurement_shocks'
+ if options_list{i,2} <= 0
+ error('check_particle_filter_options:: the mixture_measurement_shocks option takes a positive integer');
+ else
+ particle_options.mixture_measurement_shocks=options_list{i,2};
+ end
+ case 'liu_west_delta'
+ if options_list{i,2} <= 0
+ error('check_particle_filter_options:: the liu_west_delta option takes a positive argument');
+ else
+ particle_options.liu_west_delta=options_list{i,2};
+ end
+ case 'liu_west_chol_sigma_bar'
+ if options_list{i,2} <= 0
+ error('check_particle_filter_options:: the liu_west_chol_sigma_bar option takes a positive argument');
+ else
+ particle_options.liu_west_chol_sigma_bar=options_list{i,2};
+ end
+
+ otherwise
+ warning(['check_particle_filter_options: Unknown option (' options_list{i,1} ')!'])
+ end
+ end
+end
diff --git a/matlab/default_option_values.m b/matlab/default_option_values.m
index 4c529625d4c5094a1f59fe6a799ff8acbf6c2b4d..c3d921b924541fe96f2e4ec42b6f672148b397a1 100644
--- a/matlab/default_option_values.m
+++ b/matlab/default_option_values.m
@@ -246,8 +246,6 @@ particle.status = false;
% How do we initialize the states?
particle.initialization = 1;
particle.initial_state_prior_std = .1;
-% Set the default order of approximation of the model (perturbation).
-particle.perturbation = 2;
% Set the default number of particles.
particle.number_of_particles = 5000;
% Set the default approximation order (Smolyak)
@@ -292,7 +290,8 @@ particle.liu_west_chol_sigma_bar = .01 ;
% Options for setting the weights in conditional particle filters.
particle.cpf_weights_method.amisanotristani = true;
particle.cpf_weights_method.murrayjonesparslow = false;
-% Copy ep structure in options_ global structure
+particle.particle_filter_options ='';
+% Copy particle structure in options_ global structure
options_.particle = particle;
options_.rwgmh.init_scale = 1e-4 ;
options_.rwgmh.scale_chain = 1 ;
diff --git a/matlab/dynare_estimation_1.m b/matlab/dynare_estimation_1.m
index c44f9ecdfc46b38523b9f5eab7dfd23eb1907078..ee51830f9fc2a32027a7ace39b2d8ecd12edd825 100644
--- a/matlab/dynare_estimation_1.m
+++ b/matlab/dynare_estimation_1.m
@@ -85,21 +85,7 @@ end
if ~options_.dsge_var
if options_.particle.status
objective_function = str2func('non_linear_dsge_likelihood');
- if strcmpi(options_.particle.filter_algorithm, 'sis')
- options_.particle.algorithm = 'sequential_importance_particle_filter';
- elseif strcmpi(options_.particle.filter_algorithm, 'apf')
- options_.particle.algorithm = 'auxiliary_particle_filter';
- elseif strcmpi(options_.particle.filter_algorithm, 'gf')
- options_.particle.algorithm = 'gaussian_filter';
- elseif strcmpi(options_.particle.filter_algorithm, 'gmf')
- options_.particle.algorithm = 'gaussian_mixture_filter';
- elseif strcmpi(options_.particle.filter_algorithm, 'cpf')
- options_.particle.algorithm = 'conditional_particle_filter';
- elseif strcmpi(options_.particle.filter_algorithm, 'nlkf')
- options_.particle.algorithm = 'nonlinear_kalman_filter';
- else
- error(['Estimation: Unknown filter ' options_.particle.filter_algorithm])
- end
+ [options_.particle] = check_particle_filter_options(options_.particle);
else
if options_.occbin.likelihood.status && options_.occbin.likelihood.inversion_filter
objective_function = str2func('occbin.IVF_posterior');
@@ -353,6 +339,14 @@ if ~options_.cova_compute
stdh = NaN(length(xparam1),1);
end
+if options_.particle.status && isfield(options_.particle,'posterior_sampler')
+ if strcmpi(options_.particle.posterior_sampler,'Herbst_Schorfheide')
+ Herbst_Schorfheide_sampler(objective_function,xparam1,bounds,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,oo_)
+ elseif strcmpi(options_.particle.posterior_sampler,'DSMH')
+ DSMH_sampler(objective_function,xparam1,bounds,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,oo_)
+ end
+end
+
if any(bayestopt_.pshape > 0) && ~options_.mh_posterior_mode_estimation
% display results table and store parameter estimates and standard errors in results
oo_ = display_estimation_results_table(xparam1, stdh, M_, options_, estim_params_, bayestopt_, oo_, prior_dist_names, 'Posterior', 'posterior');
diff --git a/tests/particle/dsge_base2.mod b/tests/particle/dsge_base2.mod
index ebe91349c1c4f7865132650697c3aa7f545843c3..10d1acec6e35420629e1ef818b29abd00f8f5352 100644
--- a/tests/particle/dsge_base2.mod
+++ b/tests/particle/dsge_base2.mod
@@ -1,56 +1,56 @@
// DGP
@#ifndef RISKY_CALIBRATION
-@#define RISKY_CALIBRATION = 1
+ @#define RISKY_CALIBRATION = 1
@#endif
@#ifndef EXTREME_CALIBRATION
-@#define EXTREME_CALIBRATION = 0
+ @#define EXTREME_CALIBRATION = 0
@#endif
@#ifndef BENCHMARK_CALIBRATION
-@#define BENCHMARK_CALIBRATION = 0
+ @#define BENCHMARK_CALIBRATION = 0
@#endif
// ALGORITHM
@#ifndef LINEAR_KALMAN
-@#define LINEAR_KALMAN = 0
+ @#define LINEAR_KALMAN = 0
@#endif
@#ifndef NON_LINEAR_KALMAN
-@#define NON_LINEAR_KALMAN = 1
+ @#define NON_LINEAR_KALMAN = 1
@#endif
@#ifndef ALGO_SIR
-@#define ALGO_SIR = 0
+ @#define ALGO_SIR = 0
@#endif
@#ifndef ALGO_SISmoothR
-@#define ALGO_SISmoothR = 0
+ @#define ALGO_SISmoothR = 0
@#endif
@#ifndef ALGO_APF
-@#define ALGO_APF = 0
+ @#define ALGO_APF = 0
@#endif
@#ifndef ALGO_CPF
-@#define ALGO_CPF = 0
+ @#define ALGO_CPF = 0
@#endif
@#ifndef ALGO_GPF
-@#define ALGO_GPF = 0
+ @#define ALGO_GPF = 0
@#endif
@#ifndef ALGO_GCF
-@#define ALGO_GCF = 0
+ @#define ALGO_GCF = 0
@#endif
@#ifndef ALGO_GUF
-@#define ALGO_GUF = 0
+ @#define ALGO_GUF = 0
@#endif
@#ifndef ALGO_GMPF
-@#define ALGO_GMPF = 0
+ @#define ALGO_GMPF = 0
@#endif
@#ifndef ALGO_GMCF
-@#define ALGO_GMCF = 0
+ @#define ALGO_GMCF = 0
@#endif
@#ifndef ALGO_ONLINE_1
-@#define ALGO_ONLINE_1 = 0
+ @#define ALGO_ONLINE_1 = 0
@#endif
@#ifndef ALGO_ONLINE_2
-@#define ALGO_ONLINE_2 = 0
+ @#define ALGO_ONLINE_2 = 0
@#endif
@#ifndef MCMC
-@#define MCMC = 0
+ @#define MCMC = 0
@#endif
var k A c l i y;
@@ -84,8 +84,6 @@ steady_state_model;
end;
-
-
shocks;
var e_a; stderr 0.035;
end;
@@ -207,13 +205,11 @@ options_.threads.local_state_space_iteration_2 = 4;
@#endif
@#if ALGO_ONLINE_2
- options_.particle.liu_west_delta = 0.9 ;
- estimation(order=2,number_of_particles=1000,mode_compute=11,mh_replic=0);
+ estimation(order=2,number_of_particles=1000,mode_compute=11,mh_replic=0,particle_filter_options=('liu_west_delta',0.9));
@#endif
@#if ALGO_ONLINE_1
- options_.particle.liu_west_delta = 0.9 ;
- estimation(order=1,number_of_particles=1000,mode_compute=11,mh_replic=0);
+ estimation(order=1,number_of_particles=1000,mode_compute=11,mh_replic=0,particle_filter_options=('liu_west_delta',0.9));
@#endif
@#if MCMC