Dynare M files

This is the start of a documentation of the Matlab files (M files) that are at the heart of Dynare. Complete documentation will take some time. But we will do our best to add regularly to this page.

M2HTML documentation

Starting Dynare processing

The estimation block

The likelihood / posterior function

DsgeLikelihood.m computes the likelihood of the model and if necessary evaluates the priors in order to compute the posterior. The likelihood is computed with the Kalman filter, but the implementation called here keeps only those elements necessary to the computation of the likelihood, for efficiency reasons. A fuller version of the Kalman filter is called by DsgeSmoother.m.

The main steps are:

When the multivariate filter encounters a singularity, Dynare switches automatically to the univariate filter.

The Smoother function

DsgeSmoother.m computes the smoother of the model. The smoother is computed by first running the Kalman filter (forward in time), then the smoother (backward in time).

The main steps are:

DynareWiki: DynareToolbox (last edited 2009-12-23 12:49:23 by SébastienVillemot)