diff --git a/doc/manual/source/the-model-file.rst b/doc/manual/source/the-model-file.rst
index 43ae152d5956bc0a8d7fecec557d86f6c02a02f1..cfbca027d8542bc37d4d9b5a532254d3efdb33fc 100644
--- a/doc/manual/source/the-model-file.rst
+++ b/doc/manual/source/the-model-file.rst
@@ -7490,7 +7490,8 @@ observed variables.
Instructs Dynare to use the *Herbst and Schorfheide (2014)*
version of the Sequential Monte-Carlo sampler instead of the
- standard Random-Walk Metropolis-Hastings.
+ standard Random-Walk Metropolis-Hastings. Does not yet support
+ ``moments_varendo``, ``bayesian_irf``, and ``smoother``.
``'dsmh'``
diff --git a/matlab/estimation/dynare_estimation_1.m b/matlab/estimation/dynare_estimation_1.m
index 56904f5be5b3e9549f03cebd2133014ce8dc3bb6..444280a79a80e026feb8fd3357e55a92c0800342 100644
--- a/matlab/estimation/dynare_estimation_1.m
+++ b/matlab/estimation/dynare_estimation_1.m
@@ -493,52 +493,66 @@ if issmc(options_) || (any(bayestopt_.pshape>0) && options_.mh_replic) || (any(
end
if ~issmc(options_)
[error_flag, ~, options_]= metropolis_draw(1, options_, estim_params_, M_);
+ else
+ error_flag=false;
end
if ~(~isempty(options_.sub_draws) && options_.sub_draws==0)
if options_.bayesian_irf
- if error_flag
- error('%s: I cannot compute the posterior IRFs!',dispString)
+ if ~issmc(options_)
+ if error_flag
+ error('%s: I cannot compute the posterior IRFs!',dispString)
+ end
+ oo_=PosteriorIRF('posterior',options_,estim_params_,oo_,M_,bayestopt_,dataset_,dataset_info,dispString);
+ else
+ fprintf('%s: SMC does not yet support the bayesian_irf option. Skipping computation.\n',dispString);
end
- oo_=PosteriorIRF('posterior',options_,estim_params_,oo_,M_,bayestopt_,dataset_,dataset_info,dispString);
end
if options_.moments_varendo
- if error_flag
- error('%s: I cannot compute the posterior moments for the endogenous variables!',dispString)
- end
- if options_.load_mh_file && options_.mh_replic==0 %user wants to recompute results
- [MetropolisFolder, info] = CheckPath('metropolis',M_.dname);
- if ~info
- generic_post_data_file_name={'Posterior2ndOrderMoments','decomposition','PosteriorVarianceDecomposition','correlation','PosteriorCorrelations','conditional decomposition','PosteriorConditionalVarianceDecomposition'};
- for ii=1:length(generic_post_data_file_name)
- delete_stale_file([MetropolisFolder filesep M_.fname '_' generic_post_data_file_name{1,ii} '*']);
- end
- % restore compatibility for loading pre-4.6.2 runs where estim_params_ was not saved; see 6e06acc7 and !1944
- NumberOfDrawsFiles = length(dir([M_.dname '/metropolis/' M_.fname '_posterior_draws*' ]));
- if NumberOfDrawsFiles>0
- temp=load([M_.dname '/metropolis/' M_.fname '_posterior_draws1']);
- if ~isfield(temp,'estim_params_')
- for file_iter=1:NumberOfDrawsFiles
- save([M_.dname '/metropolis/' M_.fname '_posterior_draws' num2str(file_iter)],'estim_params_','-append')
+ if ~issmc(options_)
+ if error_flag
+ error('%s: I cannot compute the posterior moments for the endogenous variables!',dispString)
+ end
+ if options_.load_mh_file && options_.mh_replic==0 %user wants to recompute results
+ [MetropolisFolder, info] = CheckPath('metropolis',M_.dname);
+ if ~info
+ generic_post_data_file_name={'Posterior2ndOrderMoments','decomposition','PosteriorVarianceDecomposition','correlation','PosteriorCorrelations','conditional decomposition','PosteriorConditionalVarianceDecomposition'};
+ for ii=1:length(generic_post_data_file_name)
+ delete_stale_file([MetropolisFolder filesep M_.fname '_' generic_post_data_file_name{1,ii} '*']);
+ end
+ % restore compatibility for loading pre-4.6.2 runs where estim_params_ was not saved; see 6e06acc7 and !1944
+ NumberOfDrawsFiles = length(dir([M_.dname '/metropolis/' M_.fname '_posterior_draws*' ]));
+ if NumberOfDrawsFiles>0
+ temp=load([M_.dname '/metropolis/' M_.fname '_posterior_draws1']);
+ if ~isfield(temp,'estim_params_')
+ for file_iter=1:NumberOfDrawsFiles
+ save([M_.dname '/metropolis/' M_.fname '_posterior_draws' num2str(file_iter)],'estim_params_','-append')
+ end
end
end
end
end
+ oo_ = compute_moments_varendo('posterior',options_,M_,oo_,estim_params_,var_list_);
+ else
+ fprintf('%s: SMC does not yet support the moments_varendo option. Skipping computation.\n',dispString);
end
- oo_ = compute_moments_varendo('posterior',options_,M_,oo_,estim_params_,var_list_);
end
if options_.smoother || ~isempty(options_.filter_step_ahead) || options_.forecast
- if error_flag
- error('%s: I cannot compute the posterior statistics!',dispString)
- end
- if options_.order==1 && ~options_.particle.status
- oo_=prior_posterior_statistics('posterior',dataset_,dataset_info,M_,oo_,options_,estim_params_,bayestopt_,dispString); %get smoothed and filtered objects and forecasts
+ if ~ishssmc(options_)
+ if error_flag
+ error('%s: I cannot compute the posterior statistics!',dispString)
+ end
+ if options_.order==1 && ~options_.particle.status
+ oo_=prior_posterior_statistics('posterior',dataset_,dataset_info,M_,oo_,options_,estim_params_,bayestopt_,dispString); %get smoothed and filtered objects and forecasts
+ else
+ error('%s: Particle Smoothers are not yet implemented.',dispString)
+ end
else
- error('%s: Particle Smoothers are not yet implemented.',dispString)
+ fprintf('%s: SMC does not yet support the smoother and forecast options. Skipping computation.\n',dispString);
end
end
- else
- fprintf('%s: sub_draws was set to 0. Skipping posterior computations.',dispString);
- end
+ else
+ fprintf('%s: sub_draws was set to 0. Skipping posterior computations.\n',dispString);
+ end
xparam1 = get_posterior_parameters('mean',M_,estim_params_,oo_,options_);
M_ = set_all_parameters(xparam1,estim_params_,M_);
end
diff --git a/tests/estimation/hssmc/fs2000.mod b/tests/estimation/hssmc/fs2000.mod
index d843c9e98bc434f2c30861d83e210547fd3b93d2..08a527b481768aa6cc3bdf6e201cc69da2d1b16e 100644
--- a/tests/estimation/hssmc/fs2000.mod
+++ b/tests/estimation/hssmc/fs2000.mod
@@ -86,6 +86,8 @@ estimation(order=1, datafile='../fsdat_simul.m', nobs=192, loglinear,
posterior_sampling_method='hssmc',
posterior_sampler_options=('steps',10,
'lambda',2,
- 'particles', 20000,
+ 'particles', 5000,
'scale',.5,
- 'target', .25));
+ 'target', .25),
+bayesian_irf, smoother, moments_varendo,consider_all_endogenous
+);