This page briefly documents how to configure MATLAB for Windows when a MEX compilation environment is required. Under Linux and MacOS, this configuration step is not necessary, because these operating systems already come with a working compilation environment (using gcc).

Two compilers are currently supported: GNU C compiler (gcc) from Cygwin, and Microsoft Visual C++ (MSVC).

With Dynare, you need a working MEX compilation environment if you want to use the USE_DLL option of model. In that case, you need to tell Dynare which compiler you are using:

if you are using Cygwin, type at the MATLAB prompt:

dynare modfilename cygwin

if you are using Microsoft Visual C++:

dynare modfilename msvc

Configuring MATLAB with GNU C compiler (gcc) from Cygwin

Install a Cygwin environment (see http://www.cygwin.com). If your MATLAB is 32-bit, you need the "mingw64-i686-gcc" package. If your MATLAB is 64-bit, you need the "mingw64-x86_64-gcc" package.
The configuration file is called mexopts-win32.bat for MATLAB 32-bit, and mexopts-win64.bat for MATLAB 64-bit (these files are also distributed in recent packages of Dynare)
Rename the configuration file to mexopts.bat, and copy it to c:\Users\<User name>\Application Data\MathWorks\MATLAB\<release number>\ (or c:\Documents and Settings\<User name>\Application Data\MathWorks\MATLAB\<release number>\ under Windows XP).
Note that if you installed Cygwin in a non-standard directory (i.e. elsewhere than C:\CYGWIN), you need to edit the mexopts.bat and change the set PATH=... line accordingly.

Configuring MATLAB with Microsoft Visual C++ (MSVC)

The following should work with recent versions of MATLAB:

Install Microsoft Windows SDK from Microsoft Website
At MATLAB prompt, type mex -setup; it should autodetect MSVC, and let you select it

Configuring MATLAB releases before R2010a with Microsoft Visual C++ (MSVC)

Earlier versions of Matlab before R2010a do not support Visual Studio 2010:

For Matlab 2010a there is a patch available at http://www.mathworks.de/support/solutions/en/data/1-D5W493/?solution=1-D5W493.
For versions before 2010a, use Visual C++ 2008 Express Edition, downloadable at http://www.microsoft.com/visualstudio/en-us/products/2008-editions/express.
For users of MATLAB 64-bit releases before R2010a, please follow these instructions for finishing the installation.