.gitignore

@@ -195,6 +195,18 @@ mex/build/matlab/run_m2html.m
 /contrib/ms-sbvar/sbvar_init_file
 /tests/ms-sbvar/*.tmp
 
+# DMM
+*.nml
+/mex/build/matlab/dmm/*.mod
+/mex/build/octave/dmm/*.mod
+*.PRI
+*.DIS
+*.FST
+*.INN
+*.ML
+*.PAR
+*.UNB
+
 # Reporting
 *synctex.gz
 tests/reporting/tmpRepDir

dmm @ a58ee984

-Subproject commit ea7846fd71d32851877cf60008ac5046b51a7a51
+Subproject commit a58ee9845df900fd532fec8bc91839f720fa8193

m4/ax_mexopts.m4

@@ -26,14 +26,16 @@ AX_COMPARE_VERSION([$MATLAB_VERSION], [lt], [7.5], [AC_MSG_ERROR([Your MATLAB is
 
 AC_MSG_CHECKING([for options to compile MEX for MATLAB])
 
-MATLAB_CPPFLAGS="-I$MATLAB/extern/include"
+MATLAB_INCLUDE_DIR="-I$MATLAB/extern/include"
+MATLAB_CPPFLAGS="$MATLAB_INCLUDE_DIR"
 
 case ${MATLAB_ARCH} in
   glnx86 | glnxa64)
     MATLAB_DEFS="$MATLAB_DEFS -D_GNU_SOURCE -DNDEBUG"
     MATLAB_CFLAGS="-fexceptions -fPIC -pthread -g -O2"
     MATLAB_CXXFLAGS="-fPIC -pthread -g -O2"
-    MATLAB_FFLAGS="-fPIC -g -O2 -fexceptions"
+    MATLAB_FFLAGS="$MATLAB_INCLUDE_DIR -fPIC -g -O2 -fexceptions"
+    MATLAB_FCFLAGS="$MATLAB_FFLAGS"
     MATLAB_LDFLAGS_NOMAP="-shared -Wl,--no-undefined -Wl,-rpath-link,$MATLAB/bin/${MATLAB_ARCH} -L$MATLAB/bin/${MATLAB_ARCH}"
     MATLAB_LDFLAGS="$MATLAB_LDFLAGS_NOMAP -Wl,--version-script,$MATLAB/extern/lib/${MATLAB_ARCH}/mexFunction.map"
     MATLAB_LIBS="-lmx -lmex -lmat -lm -lstdc++ -lmwlapack -lmwblas"
@@ -50,7 +52,8 @@ case ${MATLAB_ARCH} in
   win32 | win64)
     MATLAB_CFLAGS="-fexceptions -g -O2"
     MATLAB_CXXFLAGS="-g -O2"
-    MATLAB_FFLAGS="-fexceptions -g -O2 -fno-underscoring"
+    MATLAB_FFLAGS="$MATLAB_INCLUDE_DIR -fexceptions -g -O2 -fno-underscoring"
+    MATLAB_FCFLAGS="$MATLAB_FFLAGS"
     MATLAB_DEFS="$MATLAB_DEFS -DNDEBUG"
     # Note that static-libstdc++ is only supported since GCC 4.5 (but generates no error on older versions)
     MATLAB_LDFLAGS_NOMAP="-static-libgcc -static-libstdc++ -shared -L$MATLAB/bin/${MATLAB_ARCH}"
@@ -68,9 +71,10 @@ case ${MATLAB_ARCH} in
     MATLAB_DEFS="$MATLAB_DEFS -DNDEBUG"
     MATLAB_CFLAGS="-fno-common -arch $ARCHS -mmacosx-version-min=$MACOSX_DEPLOYMENT_TARGET -fexceptions"
     MATLAB_CXXFLAGS="-fno-common -fexceptions -arch $ARCHS -mmacosx-version-min=$MACOSX_DEPLOYMENT_TARGET"
-    MATLAB_FFLAGS="-fexceptions -fbackslash -arch $ARCHS"
+    MATLAB_FFLAGS="$MATLAB_INCLUDE_DIR -fexceptions -fbackslash -arch $ARCHS"
+    MATLAB_FCFLAGS="$MATLAB_FFLAGS"
     MATLAB_LDFLAGS_NOMAP="-L$MATLAB/bin/${MATLAB_ARCH} -Wl,-twolevel_namespace -undefined error -arch $ARCHS -mmacosx-version-min=$MACOSX_DEPLOYMENT_TARGET -bundle"
-    MATLAB_LDFLAGS="$MATLAB_LDFLAGS_NOMAP -Wl,-exported_symbols_list,$(pwd)/$srcdir/mexFunction-MacOSX.map"
+    MATLAB_LDFLAGS="$MATLAB_LDFLAGS_NOMAP -Wl,-exported_symbols_list,$MATLAB/extern/lib/${MATLAB_ARCH}/mexFunction.map"
     MATLAB_LIBS="-lmx -lmex -lmat -lstdc++ -lmwlapack -lmwblas"
     ax_mexopts_ok="yes"
     ;;

matlab/dynare_config.m

@@ -53,6 +53,7 @@ addpath([dynareroot '/partial_information/'])
 addpath([dynareroot '/ms-sbvar/'])
 addpath([dynareroot '/ms-sbvar/identification/'])
 addpath([dynareroot '../contrib/ms-sbvar/TZcode/MatlabFiles/'])
+addpath([dynareroot '../contrib/dmm/matlab/'])
 addpath([dynareroot '/parallel/'])
 addpath([dynareroot '/particle/'])
 addpath([dynareroot '/gsa/'])
@@ -252,6 +253,16 @@ else
 end
 if verbose
     disp([ message 'Markov Switching SBVAR.' ])
+end
+
+% Test if DMM DLL is present
+if exist('dmm', 'file') == 3
+    message = '[mex] ';
+else
+    message = '[no]  ';
+end
+if verbose
+    disp([ message 'Dynamic Mixture Models.' ])
     skipline()
 end
 

matlab/global_initialization.m

@@ -321,7 +321,8 @@ options_.timeless = 0;
 estimation_info.empty_prior = struct(...
     'domain', [], 'interval', [], 'mean', [], ...
     'median', [], 'mode', [], 'shape', [], ...
-    'shift', [], 'stdev', [], 'truncate', [], 'variance', []);
+    'shift', [], 'stdev', [], 'truncate', [], ...
+    'variance', [], 'params', []);
 estimation_info.empty_options = struct(...
     'bounds',[], 'init', [], 'jscale', []);
 estimation_info.subsamples.range = struct('date1', [], 'date2', []);
@@ -345,6 +346,7 @@ estimation_info.measurement_error_corr.prior = estimation_info.empty_prior;
 estimation_info.measurement_error_corr.subsample_prior = estimation_info.empty_prior;
 estimation_info.measurement_error_corr.options = estimation_info.empty_options;
 estimation_info.measurement_error_corr.subsample_options = estimation_info.empty_options;
+estimation_info.transition_probability.prior = estimation_info.empty_prior;
 estimation_info.subsamples_index = {};
 estimation_info.subsamples.range_index = {};
 estimation_info.parameter_prior_index = {};
@@ -362,6 +364,10 @@ estimation_info.measurement_error_corr.range_index = {};
 estimation_info.structural_innovation_corr_prior_index = {};
 estimation_info.structural_innovation_corr_options_index = {};
 estimation_info.structural_innovation_corr.range_index = {};
+estimation_info.transition_probability_index = {};
+options_.initial_period = dates(1,1);
+options_.dataset.firstobs = options_.initial_period;
+options_.dataset.lastobs = NaN;
 options_.initial_period = NaN; %dates(1,1);
 options_.dataset.file = [];
 options_.dataset.series = [];
@@ -637,6 +643,20 @@ options_.gpu = 0;
 options_.convergence.geweke.taper_steps=[4 8 15];
 options_.convergence.geweke.geweke_interval=[0.2 0.5];
 
+% DMM
+options_.dmm.seed = 0;
+options_.dmm.thinning_factor  = 1;
+options_.dmm.block_length = 1;
+options_.dmm.calc_marg_lik = 'N';
+options_.dmm.check_mats = 'N';
+options_.dmm.simulate_data = 'N';
+options_.dmm.num_forecasts = 0;
+options_.mcmc.drop = 100;
+options_.mcmc.replic = 1000;
+
+options_.calibration = [];
+options_.multinomial = [];
+
 % Options for lmmcp solver
 options_.lmmcp = [];
 

matlab/set_multinomial_default.m

+function multinomial = set_multinomial_default()
+%function multinomial = set_multinomial_default()
+% creates the default multinomial substructure for options_
+%
+% INPUTS
+%    none
+%
+% OUTPUTS
+%    multinomial (struct)
+%
+% SPECIAL REQUIREMENTS
+%    none
+
+% Copyright (C) 2014 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/>.
+
+multinomial.process = 1;
+multinomial.values = [];
+multinomial.parameters=[];
+multinomial.parameters = '';
+multinomial.probability=[];
+end
\ No newline at end of file

matlab/writeDmmNmlFile.m

+function writeDmmNmlFile(M_, options_, estimation_info)
+% function writeDmmNmlFile(M_, options_, estimation_info)
+% Writes the NML file used by the DMM code
+%
+% INPUTS
+%   M_               [structure]
+%   options_         [structure]
+%   estimation_info  [structure]
+%
+% OUTPUTS
+%   none
+%
+% SPECIAL REQUIREMENTS
+%   none
+
+% Copyright (C) 2014 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/>.
+
+fid = fopen([M_.fname '.nml'], 'w');
+if fid == -1
+    error(['writeDmmNmlFile could not open ' M_.fname '.nml for writing.']);
+end
+
+fprintf(fid, '%s.nml file generated by Dynare\n', M_.fname);
+fprintf(fid, 'from %s.mod on %d-%d-%d at %d:%d:%d\n', M_.fname, fix(clock));
+
+%% Prior
+fprintf(fid, '\n&prior\n');
+nt = size(estimation_info.parameter,2);
+fprintf(fid, 'nt=%d\n', nt);
+for i=1:nt
+    switch estimation_info.parameter(i).prior(1).shape
+        case 1
+            shape = 'BE';
+        case 3
+            shape = 'NT';
+        case 4
+            shape = 'IG';
+        otherwise
+            error(['Only inv_gamma, normal, and beta are supported for the ' ...
+                   'prior distributions of dmm.']);
+    end
+    fprintf(fid, 'pdftheta(%d) = "%s" hyptheta(1, %d) = %d %d %d %d\n', i, ...
+            shape, i, estimation_info.parameter(i).prior(1).mean, ...
+            estimation_info.parameter(i).prior(1).stdev, ...
+            estimation_info.parameter(i).prior(1).interval);
+end
+fprintf(fid, '&end\n');
+
+%% MCMC
+fprintf(fid, '\n&mcmc\n');
+fprintf(fid, 'seed=%d thin=%d burnin=%d simulrec=%d hbl=%d MargLik="%s"', ...
+        options_.dmm.seed, options_.dmm.thinning_factor, options_.mcmc.drop, ...
+        options_.mcmc.replic, options_.dmm.block_length, ...
+        options_.dmm.calc_marg_lik);
+fprintf(fid, '\n&end\n');
+
+%% S* (Latent Variables)
+
+% Check that two latent vars don't impact the same matrix
+combine = {};
+mats = {'C', 'H', 'G', 'A', 'F', 'R'};
+for i=1:length(mats)
+	if sum(strcmp({options_.dmm.S.mat}, mats{i})) > 1
+		idxs = strcmp({options_.dmm.S.mat}, mats{i});
+		canLatentVarsBeCombiend(options_, idxs);
+		combine = [combine; {mats{i}, idxs}];
+	end
+end
+
+wroteLatVarFor = {};
+for i=1:size(options_.dmm.S, 2)
+	if ~any(strcmp(wroteLatVarFor(:), options_.dmm.S(i).mat))
+		numStates = 1;
+		if any(strcmp(combine(:,1), options_.dmm.S(i).mat))
+			for j=1:size(options_.dmm.S, 2)
+				if any(strcmp(combine(:,1), options_.dmm.S(i).mat))
+					numStates = numStates*options_.dmm.S(i).ns;
+				end
+			end
+		else
+			numStates = options_.dmm.S(i).ns;
+		end
+
+		multidx = find(strcmp({options_.multinomial(:).process}, options_.dmm.S(i).process));
+		tpidx = find(strcmp(estimation_info.transition_probability_index, options_.multinomial(multidx).probability));
+		params = estimation_info.transition_probability(tpidx).prior.params;
+
+		fprintf(fid, '\n&S%d\n', i);
+		fprintf(fid, 'dynS%d="%s" nS%d=%d hypS%d(1,1)=%s matS%d="%s"',i,'I',i, ...
+			numStates, i, num2str(params), i, options_.dmm.S(i).mat);
+		fprintf(fid, '\n&end\n');
+		wroteLatVarFor = [wroteLatVarFor options_.dmm.S(i).mat];
+	end
+end
+
+%% SSM
+fprintf(fid, '\n&ssm\n');
+fprintf(fid, 'nu=%d nv=%d nx=%d d=%d %d dllname="%s" check="%s"', M_.exo_nbr, ...
+        length(wroteLatVarFor), options_.dmm.nx, ...
+        options_.dmm.max_order_of_integration, options_.dmm.num_nonstationary, ...
+        [cd filesep M_.fname '_dmm.m'], options_.dmm.check_mats);
+fprintf(fid, '\n&end\n');
+
+%% Dataset
+fprintf(fid, '\n&dataset\n');
+data = options_.dmm.dataset;
+Tobs = size(data, 1);
+if M_.exo_det_nbr == 0
+    assert(size(data,2) ==  options_.varobs_nbr, ['Error: when the number of exogenous ' ...
+                        'variables is equal to zero, you must have the same ' ...
+                        'number of columns of data as varobs.']);
+else
+    assert(size(data, 2) == options_.varobs_nbr + M_.exo_det_nbr, ['Error: when the number ' ...
+                        'of exogenous variables is greater than zero, you ' ...
+                        'must have the same number of columns as varobs+varexodet']);
+    Tobs = Tobs - options_.dmm.num_forecasts;
+end
+
+fprintf(fid, 'T=%d ny=%d nz=%d nf=%d datasim="%s" obs=\n', ...
+        Tobs, options_.varobs_nbr, M_.exo_det_nbr, options_.dmm.num_forecasts, options_.dmm.simulate_data);
+for i=1:size(data,1)
+    fprintf(fid, '%f ', data.data(i,:));
+    fprintf(fid, '\n');
+end
+fprintf(fid, '&end\n');
+
+%% Close file
+fclose(fid);
+end
+
+function canLatentVarsBeCombiend(options_, idxs)
+	% if two latent vars impact the same matrix, see if they have the same
+	% prior and hence can be combined
+	if ~all(strcmp(options_.multinomial(idxs).probability))
+		error(['writeDmmNmlFile: Two latent variables impact DMM matrix ' ...
+			options_.dmm.S(idxs(1)).mat ...
+			' and have different transition probabilities']);
+	end
+end

mex/build/dmm.am

+noinst_PROGRAMS = dmm
+
+DMMDIR = $(top_srcdir)/../../../contrib/dmm
+
+DYNMEXSRCDIR = $(top_srcdir)/../../sources
+DMMMEXSRCDIR = $(DYNMEXSRCDIR)/dmm
+
+AM_FFLAGS += -cpp $(DEFS) -fcray-pointer -ffixed-form -ffixed-line-length-none -std=legacy
+AM_FCFLAGS += -cpp $(DEFS) -fdefault-integer-8 -fPIC
+
+LDADD = $(FLIBS) $(FCLIBS)
+
+nodist_dmm_SOURCES = \
+	$(DMMMEXSRCDIR)/mexinterface.f90 \
+	$(DMMDIR)/iso_c_utilities.f90 \
+	$(DMMDIR)/dlfcn.f90 \
+	$(DMMDIR)/logical2integer.for \
+	$(DMMDIR)/gammln.for \
+	$(DMMDIR)/invfbis.for \
+	$(DMMDIR)/recest.for \
+	$(DMMDIR)/invnormcdf.for \
+	$(DMMDIR)/mvncdf.for \
+	$(DMMDIR)/kf.for \
+	$(DMMDIR)/mvnpdf.for \
+	$(DMMDIR)/schollu.for \
+	$(DMMDIR)/harmonic.for \
+	$(DMMDIR)/kf2.for \
+	$(DMMDIR)/neweywestcov.for \
+	$(DMMDIR)/chi2inv.for \
+	$(DMMDIR)/harmonic2.for \
+	$(DMMDIR)/kim.for \
+	$(DMMDIR)/neweywestcov2.for \
+	$(DMMDIR)/simprior.for \
+	$(DMMDIR)/hf.for \
+	$(DMMDIR)/ks.for \
+	$(DMMDIR)/ols.for \
+	$(DMMDIR)/cumnorm.for \
+	$(DMMDIR)/ikf.for \
+	$(DMMDIR)/ks2.for \
+	$(DMMDIR)/openfiles.for \
+	$(DMMDIR)/designz.for \
+	$(DMMDIR)/ikf2.for \
+	$(DMMDIR)/lemma4.for \
+	$(DMMDIR)/slice.for \
+	$(DMMDIR)/drawpsi.for \
+	$(DMMDIR)/initrand.for \
+	$(DMMDIR)/logmvnpdf.for \
+	$(DMMDIR)/slice2.for \
+	$(DMMDIR)/drawtheta.for \
+	$(DMMDIR)/lyapunov.for \
+	$(DMMDIR)/syminv.for \
+	$(DMMDIR)/drawtheta2.for \
+	$(DMMDIR)/pprod.for \
+	$(DMMDIR)/tnormi.for \
+	$(DMMDIR)/ergodic.for \
+	$(DMMDIR)/input.for \
+	$(DMMDIR)/markovp.for \
+	$(DMMDIR)/prior.for \
+	$(DMMDIR)/var.for \
+	$(DMMDIR)/findinput.for \
+	$(DMMDIR)/int2seq.for \
+	$(DMMDIR)/mengwong.for \
+	$(DMMDIR)/priordir.for \
+	$(DMMDIR)/forecast.for \
+	$(DMMDIR)/int2seq2.for \
+	$(DMMDIR)/mengwong2.for \
+	$(DMMDIR)/invf.for \
+	$(DMMDIR)/amh.for \
+	$(DMMDIR)/gck.for \
+	$(DMMDIR)/amh2.for \
+	$(DMMDIR)/gck2.for \
+	$(DMMDIR)/checkdesign.for \
+	$(DMMDIR)/innov.for \
+	$(DMMDIR)/innov2.for \
+	$(DMMDIR)/main.for \
+	$(DMMDIR)/missing.for \
+	$(DMMDIR)/opg.for \
+	$(DMMDIR)/opgh.for \
+	$(DMMDIR)/opgkim.for \
+	$(DMMDIR)/ptheta.for \
+	$(DMMDIR)/ptheta2.for \
+	$(DMMDIR)/simdata.for \
+	$(DMMDIR)/simstate.for \
+	$(DMMDIR)/simstate2.for \
+	$(DMMDIR)/recpr.for \
+	$(DMMDIR)/setfilem.for \
+	$(DMMDIR)/geterrstr.for \
+	$(DMMDIR)/randlib/advnst.f \
+	$(DMMDIR)/randlib/genmn.f \
+	$(DMMDIR)/randlib/genunf.f \
+	$(DMMDIR)/randlib/ignlgi.f \
+	$(DMMDIR)/randlib/inrgcm.f \
+	$(DMMDIR)/randlib/phrtsd.f \
+	$(DMMDIR)/randlib/sdot.f \
+	$(DMMDIR)/randlib/setgmn.f \
+	$(DMMDIR)/randlib/sgamma.f \
+	$(DMMDIR)/randlib/genbet.f \
+	$(DMMDIR)/randlib/gennor.f \
+	$(DMMDIR)/randlib/getcgn.f \
+	$(DMMDIR)/randlib/ignuin.f \
+	$(DMMDIR)/randlib/lennob.f \
+	$(DMMDIR)/randlib/qrgnin.f \
+	$(DMMDIR)/randlib/setall.f \
+	$(DMMDIR)/randlib/setsd.f \
+	$(DMMDIR)/randlib/snorm.f \
+	$(DMMDIR)/randlib/gengam.f \
+	$(DMMDIR)/randlib/genprm.f \
+	$(DMMDIR)/randlib/getsd.f \
+	$(DMMDIR)/randlib/initgn.f \
+	$(DMMDIR)/randlib/mltmod.f \
+	$(DMMDIR)/randlib/ranf.f \
+	$(DMMDIR)/randlib/setant.f \
+	$(DMMDIR)/randlib/sexpo.f \
+	$(DMMDIR)/randlib/spofa.f \
+	$(DMMMEXSRCDIR)/design.f90 \
+	$(DMMMEXSRCDIR)/mexprint.f90 \
+	$(DMMMEXSRCDIR)/designInternal.cc \
+	$(DMMMEXSRCDIR)/dmm.cc
+
+CLEANFILES = *.mod

mex/build/matlab/Makefile.am

@@ -3,7 +3,7 @@ ACLOCAL_AMFLAGS = -I ../../../m4
 # libdynare++ must come before gensylv, k_order_perturbation, dynare_simul_
 
 if DO_SOMETHING
-SUBDIRS = mjdgges kronecker bytecode libdynare++ gensylv block_kalman_filter sobol local_state_space_iterations
+SUBDIRS = mjdgges kronecker bytecode libdynare++ gensylv block_kalman_filter sobol local_state_space_iterations dmm
 
 if HAVE_MATIO
 SUBDIRS += k_order_perturbation dynare_simul_
@@ -34,4 +34,4 @@ install-exec-local:
 	$(MKDIR_P) $(DESTDIR)$(pkglibdir)/mex/matlab
 endif
 
-EXTRA_DIST = mex.def mexFunction-MacOSX.map
+EXTRA_DIST = mex.def

mex/build/matlab/configure.ac

@@ -39,6 +39,7 @@ if test "x$ax_enable_matlab" = "xyes"; then
   CFLAGS="$MATLAB_CFLAGS"
   CXXFLAGS="$MATLAB_CXXFLAGS"
   FFLAGS="$MATLAB_FFLAGS"
+  FCFLAGS="$MATLAB_FCFLAGS"
 fi
 
 case ${host_os} in
@@ -54,9 +55,15 @@ esac
 
 CFLAGS="$CFLAGS -Wall -Wno-parentheses"
 FFLAGS="$FFLAGS -Wall"
+FCFLAGS="$FCFLAGS -Wall"
 CXXFLAGS="$CXXFLAGS -Wall -Wno-parentheses"
 
 AC_PROG_F77([gfortran g77 f77])
+AC_F77_LIBRARY_LDFLAGS
+AC_F77_WRAPPERS
+AC_PROG_FC([gfortran])
+AC_FC_LIBRARY_LDFLAGS
+AC_FC_WRAPPERS
 AC_PROG_CC
 AC_PROG_CXX
 AC_PROG_RANLIB
@@ -167,9 +174,10 @@ AC_CONFIG_FILES([Makefile
                  dynare_simul_/Makefile
                  estimation/Makefile
                  kalman_steady_state/Makefile
+                 dmm/Makefile
                  ms_sbvar/Makefile
                  block_kalman_filter/Makefile
-	         sobol/Makefile
-		 local_state_space_iterations/Makefile])
+                 sobol/Makefile
+                 local_state_space_iterations/Makefile])
 
 AC_OUTPUT

mex/build/matlab/dmm/Makefile.am

+include ../mex.am
+include ../../dmm.am

mex/build/matlab/mex.am

@@ -2,6 +2,10 @@ EXEEXT = $(MEXEXT)
 
 AM_CPPFLAGS = $(MATLAB_CPPFLAGS)
 AM_CPPFLAGS += -I$(top_srcdir)/../../sources
+AM_FFLAGS = $(MATLAB_FFLAGS)
+AM_FFLAGS += -I$(top_srcdir)/../../sources
+AM_FCFLAGS = $(MATLAB_FFLAGS)
+AM_FCFLAGS += -I$(top_srcdir)/../../sources
 
 DEFS += $(MATLAB_DEFS)
 DEFS += -DMATLAB_MEX_FILE

mex/build/matlab/mexFunction-MacOSX.map

-_mexFunction

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 qzcomplex ordschur block_kalman_filter sobol local_state_space_iterations
+SUBDIRS = mjdgges kronecker bytecode libdynare++ gensylv qzcomplex ordschur block_kalman_filter sobol local_state_space_iterations dmm
 
 if COMPILE_LINSOLVE
 SUBDIRS += linsolve

mex/build/octave/configure.ac

@@ -25,10 +25,14 @@ AM_INIT_AUTOMAKE([-Wall -Wno-portability foreign])
 AC_CHECK_PROG([MKOCTFILE], [mkoctfile], [mkoctfile])
 
 if test "x$MKOCTFILE" != "x"; then
+  INCDIR=`$MKOCTFILE -p INCFLAGS`
   CC=`$MKOCTFILE -p CC`
   CXX=`$MKOCTFILE -p CXX`
   CFLAGS=`$MKOCTFILE -p CFLAGS`
   FFLAGS=`$MKOCTFILE -p FFLAGS`
+  FFLAGS="$FFLAGS $INCDIR"
+  FCFLAGS=`$MKOCTFILE -p FCFLAGS`
+  FCFLAGS="$FCFLAGS $INCDIR"
   CXXFLAGS=`$MKOCTFILE -p CXXFLAGS`
   LDFLAGS="`$MKOCTFILE -p LFLAGS` `$MKOCTFILE -p LDFLAGS`"
   OCTAVE_VERSION=`$MKOCTFILE -v 2>&1 | sed 's/mkoctfile, version //'`
@@ -40,9 +44,15 @@ AM_CONDITIONAL([COMPILE_LINSOLVE], [test "$OCTAVE38" != "yes"])
 
 CFLAGS="$CFLAGS -Wall -Wno-parentheses"
 FFLAGS="$FFLAGS -Wall"
+FCFLAGS="$FCFLAGS -Wall"
 CXXFLAGS="$CXXFLAGS -Wall -Wno-parentheses"
 
 AC_PROG_F77([gfortran g77 f77])
+AC_F77_LIBRARY_LDFLAGS
+AC_F77_WRAPPERS
+AC_PROG_FC([gfortran])
+AC_FC_LIBRARY_LDFLAGS
+AC_FC_WRAPPERS
 AC_PROG_CC
 AC_PROG_CXX
 AC_PROG_RANLIB
@@ -154,6 +164,7 @@ AC_CONFIG_FILES([Makefile
                  qzcomplex/Makefile
                  ordschur/Makefile
                  kalman_steady_state/Makefile
+                 dmm/Makefile
                  ms_sbvar/Makefile
                  block_kalman_filter/Makefile
 		 sobol/Makefile

mex/build/octave/dmm/Makefile.am

+EXEEXT = .mex
+include ../mex.am
+include ../../dmm.am

mex/build/octave/mex.am

@@ -7,6 +7,7 @@ DEFS += -DMEXEXT=\".mex\"
 
 AM_CFLAGS = $(shell $(MKOCTFILE) -p CPICFLAG)
 AM_FFLAGS = $(shell $(MKOCTFILE) -p FPICFLAG)
+AM_FCFLAGS = $(shell $(MKOCTFILE) -p FPICFLAG)
 AM_CXXFLAGS = $(shell $(MKOCTFILE) -p CXXPICFLAG)
 AM_LDFLAGS = $(shell $(MKOCTFILE) -p DL_LDFLAGS)
 

mex/sources/Makefile.am

@@ -16,7 +16,8 @@ EXTRA_DIST = \
 	block_kalman_filter \
 	sobol \
 	local_state_space_iterations \
-	linsolve
+	linsolve \
+	dmm
 
 clean-local:
 	rm -rf `find mex/sources -name *.o`

mex/sources/dmm/design.f90

+!
+! Copyright (C) 2014 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 defined(MATLAB_MEX_FILE) || defined(OCTAVE_MEX_FILE)
+#if defined(MATLAB_MEX_FILE)
+#include "fintrf.h"
+#endif
+
+#ifndef MWPOINTER
+#define MWPOINTER integer(4)
+#endif
+
+#ifndef mwPointer
+#define mwPointer MWPOINTER
+#endif
+
+SUBROUTINE DESIGN(ny,nz,nx,nu,ns,nt,theta,c,H,G,a,F,R)
+  USE MEXINTERFACE
+  IMPLICIT NONE
+
+  ! INPUT
+  INTEGER(C_INT), INTENT(IN) :: ny,nz,nx,nu,nt
+  INTEGER, DIMENSION(6), INTENT(IN) :: ns
+  DOUBLE PRECISION, DIMENSION(nt), INTENT(IN) :: theta
+
+  ! OUTPUT
+  DOUBLE PRECISION, DIMENSION(ny,max(1,nz),ns(1)), INTENT(OUT) :: c
+  DOUBLE PRECISION, DIMENSION(ny,nx,ns(2)), INTENT(OUT) :: H
+  DOUBLE PRECISION, DIMENSION(ny,nu,ns(3)), INTENT(OUT) :: G
+  DOUBLE PRECISION, DIMENSION(nx,ns(4)), INTENT(OUT) :: a
+  DOUBLE PRECISION, DIMENSION(nx,nx,ns(5)), INTENT(OUT) :: F
+  DOUBLE PRECISION, DIMENSION(nx,nu,ns(6)), INTENT(OUT) :: R
+
+  ! COMMON
+  CHARACTER*200 mfile
+  COMMON /M/ mfile
+
+  ! LOCAL
+  INTEGER I
+  INTEGER(C_INT), DIMENSION(6) :: nsC
+
+  DO I=1,6
+     nsC(I) = INT2(ns(I))
+  END DO
+  CALL designInternal(ny,nz,nx,nu,nsC,nt,theta,TRIM(mfile)//C_NULL_CHAR,c,H,G,a,F,R)
+
+END SUBROUTINE DESIGN
+#endif

mex/sources/dmm/designInternal.cc

+#include <dynmex.h>
+#include <algorithm>
+#include <string.h>
+using namespace std;
+
+extern "C"
+void designInternal(int ny, int nz, int nx, int nu, int ns[6], int nt,
+                    double *theta, char *mfile,
+                    double *c, double *H, double *G, double *a, double *F, double *R)
+{
+  mxArray *lhs[6], *rhs[6];
+  nz = max(1, nz);
+  const mwSize dimsC[] = {(mwSize)ny, (mwSize)nz, (mwSize)ns[0]};
+  const mwSize dimsH[] = {(mwSize)ny, (mwSize)nx, (mwSize)ns[1]};
+  const mwSize dimsG[] = {(mwSize)ny, (mwSize)nu, (mwSize)ns[2]};
+  const mwSize dimsA[] = {(mwSize)nx,             (mwSize)ns[3]};
+  const mwSize dimsF[] = {(mwSize)nx, (mwSize)nx, (mwSize)ns[4]};
+  const mwSize dimsR[] = {(mwSize)nx, (mwSize)nu, (mwSize)ns[5]};
+
+  lhs[0] = mxCreateNumericArray(3, dimsC, mxDOUBLE_CLASS, mxREAL);
+  lhs[1] = mxCreateNumericArray(3, dimsH, mxDOUBLE_CLASS, mxREAL);
+  lhs[2] = mxCreateNumericArray(3, dimsG, mxDOUBLE_CLASS, mxREAL);
+  lhs[3] = mxCreateNumericArray(2, dimsA, mxDOUBLE_CLASS, mxREAL);
+  lhs[4] = mxCreateNumericArray(3, dimsF, mxDOUBLE_CLASS, mxREAL);
+  lhs[5] = mxCreateNumericArray(3, dimsR, mxDOUBLE_CLASS, mxREAL);
+
+  rhs[0] = mxCreateDoubleScalar(ny);
+  rhs[1] = mxCreateDoubleScalar(nz);
+  rhs[2] = mxCreateDoubleScalar(nx);
+  rhs[3] = mxCreateDoubleScalar(nu);
+  rhs[4] = mxCreateDoubleMatrix(1, 6,  mxREAL);
+  rhs[5] = mxCreateDoubleMatrix(1, nt, mxREAL);
+
+  double *passns = mxGetPr(rhs[4]);
+  for (int i = 0; i < 6; i++)
+    passns[i] = (double) ns[i];
+  memcpy(mxGetPr(rhs[5]), theta, sizeof(double) * nt);
+
+  mexCallMATLAB(6, lhs, 6, rhs, mfile);
+
+  memcpy(c, mxGetPr(lhs[0]), sizeof(double) * mxGetNumberOfElements(lhs[0]));
+  memcpy(H, mxGetPr(lhs[1]), sizeof(double) * mxGetNumberOfElements(lhs[1]));
+  memcpy(G, mxGetPr(lhs[2]), sizeof(double) * mxGetNumberOfElements(lhs[2]));
+  memcpy(a, mxGetPr(lhs[3]), sizeof(double) * mxGetNumberOfElements(lhs[3]));
+  memcpy(F, mxGetPr(lhs[4]), sizeof(double) * mxGetNumberOfElements(lhs[4]));
+  memcpy(R, mxGetPr(lhs[5]), sizeof(double) * mxGetNumberOfElements(lhs[5]));
+
+  for (int i=0; i<6; i++)
+    {
+      mxDestroyArray(lhs[i]);
+      mxDestroyArray(rhs[i]);
+    }
+}