function [llik,parameters] = evaluate_likelihood(parameters,M_,estim_params_,oo_,options_,bayestopt_) % [llik,parameters] = evaluate_likelihood(parameters,M_,estim_params_,oo_,options_,bayestopt_) % Evaluate the logged likelihood at parameters. % % INPUTS % o parameters a string ('posterior mode','posterior mean','posterior median','prior mode','prior mean') or a vector of values for % the (estimated) parameters of the model. % o M_ [structure] Definition of the model % o estim_params_ [structure] characterizing parameters to be estimated % o oo_ [structure] Storage of results % o options_ [structure] Options % o bayestopt_ [structure] describing the priors % % OUTPUTS % o ldens [double] value of the sample logged density at parameters. % o parameters [double] vector of values for the estimated parameters. % % SPECIAL REQUIREMENTS % None % % REMARKS % [1] This function cannot evaluate the likelihood of a dsge-var model... % [2] This function use persistent variables for the dataset_ and the description of the missing observations. Consequently, if this function % is called more than once (by changing the value of parameters) the sample *must not* change. % Copyright © 2009-2023 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 . persistent dataset_ dataset_info if nargin==0 parameters = 'posterior mode'; end if ischar(parameters) switch parameters case 'posterior mode' parameters = get_posterior_parameters('mode',M_,estim_params_,oo_,options_); case 'posterior mean' parameters = get_posterior_parameters('mean',M_,estim_params_,oo_,options_); case 'posterior median' parameters = get_posterior_parameters('median',M_,estim_params_,oo_,options_); case 'prior mode' parameters = bayestopt_.p5(:); case 'prior mean' parameters = bayestopt_.p1; otherwise disp('eval_likelihood:: If the input argument is a string, then it has to be equal to:') disp(' ''posterior mode'', ') disp(' ''posterior mean'', ') disp(' ''posterior median'', ') disp(' ''prior mode'' or') disp(' ''prior mean''.') error end end if isempty(dataset_) [dataset_, dataset_info] = makedataset(options_); end options_=select_qz_criterium_value(options_); if ~isempty(bayestopt_) && any(bayestopt_.pshape > 0) % Plot prior densities. % Set prior bounds bounds = prior_bounds(bayestopt_, options_.prior_trunc); else % estimated parameters but no declared priors % No priors are declared so Dynare will estimate the model by % maximum likelihood with inequality constraints for the parameters. [~,~,~,lb,ub] = set_prior(estim_params_,M_,options_); bounds.lb = lb; bounds.ub = ub; end if options_.occbin.likelihood.status && options_.occbin.likelihood.inversion_filter llik = -occbin.IVF_posterior(parameters,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,bounds,oo_.dr, oo_.steady_state,oo_.exo_steady_state,oo_.exo_det_steady_state); else llik = -dsge_likelihood(parameters,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,bounds,oo_.dr, oo_.steady_state,oo_.exo_steady_state,oo_.exo_det_steady_state); end ldens = evaluate_prior(parameters,M_,estim_params_,oo_,options_,bayestopt_); llik = llik - ldens;