dynare/matlab/evaluate_likelihood.m

function [llik,parameters] = evaluate_likelihood(parameters)
% 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.
%    
%    
% 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 (C) 2009 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/>.
  
    global options_ M_ bayestopt_ oo_
    
    persistent load_data
    persistent gend  data  data_index  number_of_observations  no_more_missing_observations
    
    if nargin==0
        parameters = 'posterior mode';
    end
    
    if ischar(parameters)
        switch parameters
          case 'posterior mode'
            parameters = get_posterior_parameters('mode');
          case 'posterior mean'
            parameters = get_posterior_parameters('mean');
          case 'posterior median'
            parameters = get_posterior_parameters('median');
          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(load_data)
        % Get the data.
        n_varobs = size(options_.varobs,1);
        rawdata = read_variables(options_.datafile,options_.varobs,[],options_.xls_sheet,options_.xls_range);
        options_ = set_default_option(options_,'nobs',size(rawdata,1)-options_.first_obs+1);
        gend = options_.nobs;
        rawdata = rawdata(options_.first_obs:options_.first_obs+gend-1,:);
        % Transform the data.
        if options_.loglinear
            if ~options_.logdata
                rawdata = log(rawdata);  
            end
        end
        % Test if the data set is real.
        if ~isreal(rawdata)
            error('There are complex values in the data! Probably  a wrong transformation')
        end
        % Detrend the data.
        options_.missing_data = any(any(isnan(rawdata)));
        if options_.prefilter == 1
            if options_.missing_data
                bayestopt_.mean_varobs = zeros(n_varobs,1);
                for variable=1:n_varobs
                    rdx = find(~isnan(rawdata(:,variable)));
                    m = mean(rawdata(rdx,variable));
                    rawdata(rdx,variable) = rawdata(rdx,variable)-m;
                    bayestopt_.mean_varobs(variable) = m;
                end
            else
                bayestopt_.mean_varobs = mean(rawdata,1)';
                rawdata = rawdata-repmat(bayestopt_.mean_varobs',gend,1);
            end
        end
        data = transpose(rawdata);
        % Handle the missing observations.
        [data_index,number_of_observations,no_more_missing_observations] = describe_missing_data(data,gend,n_varobs);
        missing_value = ~(number_of_observations == gend*n_varobs);
        % Determine if a constant is needed.
        if options_.steadystate_flag% if the *_steadystate.m file is provided.
            [ys,tchek] = feval([M_.fname '_steadystate'],...
                               [zeros(M_.exo_nbr,1);...
                                oo_.exo_det_steady_state]);
            if size(ys,1) < M_.endo_nbr 
                if length(M_.aux_vars) > 0
                    ys = add_auxiliary_variables_to_steadystate(ys,M_.aux_vars,...
                                                                M_.fname,...
                                                                zeros(M_.exo_nbr,1),...
                                                                oo_.exo_det_steady_state,...
                                                                M_.params);
                else
                    error([M_.fname '_steadystate.m doesn''t match the model']);
                end
            end
            oo_.steady_state = ys;
        else% if the steady state file is not provided.
            [dd,info] = resol(oo_.steady_state,0);
            oo_.steady_state = dd.ys; clear('dd');
        end
        if all(abs(oo_.steady_state(bayestopt_.mfys))<1e-9)
            options_.noconstant = 1;
        else
            options_.noconstant = 0;
        end
        load_data = 1;
    end
 
    pshape_original   = bayestopt_.pshape;
    bayestopt_.pshape = Inf(size(bayestopt_.pshape));
    clear('priordens')%
    
    llik = -DsgeLikelihood(parameters,gend,data,data_index,number_of_observations,no_more_missing_observations);
    
    bayestopt_.pshape = pshape_original;