dynareOBC.m

function dynareOBC( InputFileName, varargin )
% DynareOBC: A toolkit for handling occasionally binding constraints with Dynare, by Tom Holden. 
% ============================================================================================== 
%  
% Note: DynareOBC currently only has limited support for Dynare 4.6.x. MLV simulation is not 
% supported under Dynare 4.6.x and there may be other problems. I recommend sticking with Dynare 
% 4.5.x for now. 
%  
% Background 
% ---------- 
%  
% Please read the theory paper from here: 
% https://github.com/tholden/dynareOBC/raw/master/TheoryPaperBody.pdf 
% (Or here for citations: https://ideas.repec.org/p/zbw/esprep/130142.html ) 
%  
% And the computational paper from here: 
% https://github.com/tholden/dynareOBC/raw/master/ComputationalPaper.pdf 
% (Or here for citations: https://ideas.repec.org/p/zbw/esprep/130143.html ) 
%  
% A paper documenting the estimation procedure is available from here: 
% https://github.com/tholden/EST-NLSS/raw/master/EstimationPaper.pdf 
% (Or here for citations: http://dx.doi.org/10.5281/zenodo.50127 ) 
%  
% The code itself may be cited via the following DOI: http://dx.doi.org/10.5281/zenodo.50132 
%  
% Alternatively, read the technical slides from here: 
% https://github.com/tholden/dynareOBC/raw/master/TechnicalSlides.pdf 
%  
% Or the non-technical slides from here: 
% https://github.com/tholden/dynareOBC/raw/master/NonTechnicalSlides.pdf 
%  
% Or the course slides from here: https://github.com/tholden/dynareOBC/raw/master/CourseSlides.pdf 
%  
% Installation 
% ------------ 
%  
% 1. Download the latest release from: https://github.com/tholden/dynareOBC/releases 
% 2. Extract the release to a directory on a local drive. 
% 3. Make sure your MATLAB path does not contain any Dynare folders other than the matlab sub-folder 
%    of your Dynare install. You should never click "add with subfolders" when adding Dynare to your 
%    MATLAB path, else Dynare will perform poorly, and DynareOBC will not work at all. 
% 4. Add just the folder containing dynareOBC.m to your MATLAB path. Do not click with add-with 
%    subfolders! 
% 5. Relax, as DynareOBC updates itself and its dependencies each time it is run. 
%  
% Requirements 
% ------------ 
%  
% Requirements (to be installed and added to your Matlab path): 
% * MATLAB version R2013a or later, or a fully compatible clone. Note that while DynareOBC should 
%   work on all platforms, it has been most heavily tested on 64-bit Windows, so if possible we 
%   suggest you use this platform. 
% * Dynare, version 4.4 or later, from: http://www.dynare.org/download/dynare-stable 
% * If on Windows, either administrative rights on the computer on which you are installing 
%   DynareOBC, so that DynareOBC can automatically install its other dependencies, or the manual 
%   installation of the items listed in the _Additional requirements for people using Windows, 
%   without administrative rights_ section below. 
%  
% Recommended additional installations: 
% * MATLAB R2016a or later. 
% * The MATLAB Parallel Toolbox, or a fully compatible clone, which speeds up assorted routines. 
% * The MATLAB Optimization Toolbox, or an alternative non-linear least squares routine, which is 
%   required for the experimental global option. (To use an alternative routine, you must set 
%   dynareOBC.FSolveFunctor.) This toolbox is also required for some options of estimation, as 
%   detailed below. 
% * The MATLAB Statistics and Machine Learning Toolox, or a fully compatible clone, which is required 
%   for estimation. 
% * The MATLAB Symbolic Toolbox, which is required for the UseVPA option. 
% * A working compiler for MEX which is supported by MATLAB Coder, ideally supporting OpenMP. On 
%   Windows, a free compiler meeting these requirements is available from: 
%   https://www.visualstudio.com/en-us/news/vs2013-community-vs.aspx . Alternatively, on Windows, 
%   with MATLAB r2015b, another free compiler meeting these requirements (which uses much less disk 
%   space) is available by clicking on "Add-Ons" in the MATLAB toolbar, then searching for MinGW. Be 
%   sure to untick the "check for updated files" in the installer that opens. 
% * MATLAB Coder, or a fully compatible clone (only used with MATLAB R2015a or later). 
% * A competitive mixed integer linear programming solver, such as one of the below (listed in rough 
%   order of performance), each of which is available for free to academics: 
%     * GUROBI Optimizer, from http://www.gurobi.com/academia/for-universities 
%     * IBM CPLEX, by following the instructions here: https://www.ibm.com/developerworks/community/blogs/jfp/entry/cplex_studio_in_ibm_academic_initiative?lang=en 
%     * FICO Xpress, from https://community.fico.com/download.jspa 
%     * MOSEK, from https://mosek.com/resources/academic-license and 
%       https://mosek.com/resources/downloads 
%  
% Additional requirements for people using Windows, without administrative rights 
% ------------------------------------------------------------------------------- 
%  
% If you are using Windows, and you do not have administrative rights on your own computer, you need 
% to ask your system administrator to download and install the following standard redistributable 
% packages, which provide system libraries used by code compiled with either Microsoft Visual C++, 
% the Intel C Compiler, or the Intel Fortran Compiler. 
%  
% If you are using a 64-bit version of MATLAB, please ask for the following to be installed: 
%  
% * https://aka.ms/vs/15/release/VC_redist.x64.exe 
% * ww_ifort_redist_intel64_2018.3.210.msi from inside: 
%   https://software.intel.com/sites/default/files/managed/47/ed/ww_ifort_redist_msi_2018.3.210.zip 
%  
% If you are using a 32-bit version of MATLAB, please ask for the following to be installed: 
%  
% * https://aka.ms/vs/15/release/VC_redist.x86.exe 
% * https://download.microsoft.com/download/0/5/6/056dcda9-d667-4e27-8001-8a0c6971d6b1/vcredist_x86.exe 
% * ww_ifort_redist_ia32_2018.3.210.msi from inside: 
%   https://software.intel.com/sites/default/files/managed/47/ed/ww_ifort_redist_msi_2018.3.210.zip 
%  
% Troubleshooting 
% --------------- 
%  
% If you have any strange errors, first try these steps: 
%  
% 1. Delete all .mat files from the DynareOBC directory. 
% 2. Delete all .mex??? files from the Core sub-directory of your DynareOBC install (but not from its 
%    sub-directories). 
% 3. Delete your DynareOBC directory, and then go through the installation steps above again. 
%  
% If after doing this, you suspect a bug, report it here: https://github.com/tholden/dynareOBC/issues 
%  
% Basic Usage 
% ----------- 
%  
% Usage: dynareOBC FILENAME[.mod,.dyn] [OPTIONS] 
%  
% DynareOBC executes instruction included in the conventional dynare mod file, FILENAME.mod. 
%  
% Unlike dynare, DynareOBC can handle simulation of models containing non-differentiable functions. 
% Note: 
% * DynareOBC approximates the non-differentiable function in levels. Thus if r and pi are the 
%   endogenous variables of interest: r = max( 0, 0.005 + 1.5 * pi ); will be more accurate than: 
%   exp(r) = max( 1, exp( 0.005 + 1.5 * pi ) );. 
% * DynareOBC may produce strange results on models with an indeterminate steady-state, so caution 
%   should be taken when using the STEADY_STATE command. The initval or steady_state_model blocks 
%   should not be used to attempt to pin down a steady-state, since these will be ignored by 
%   DynareOBC in later steps of its solution procedure. 
% * DynareOBC defines the preprocessor constant dynareOBC during execution. 
%  
% OPTIONS (NOT CASE SENSITIVE!) include: 
%  
% * For controlling the inner solution procedure 
%     * TimeToEscapeBounds=INTEGER (default: 32) 
%       The number of periods after which the model is expected to be away from any occasionally 
%       binding constraints. If there is no solution which finally escapes within this time, 
%       DynareOBC will produce an error. Note that when a global solution is requested, this value is 
%       ignored, and the maximum of the requested number of IRF periods, and the value of 
%       TimeToReturnToSteadyState, is used instead. 
%     * TimeToReturnToSteadyState=INTEGER (default: 64) 
%       The number of periods in which to verify that the constraints are not being violated. If this 
%       is lower than TimeToEscapeBounds + 1, or the requested number of IRF periods, or 
%       PeriodsOfUncertainty + 1, then that value will be used instead. 
%     * MaxParametricSolutionDimension=INTEGER (default: 4) 
%       If the simulation is at the bound for at most this number of periods divided by the number of 
%       bounds, then a pre-computed solution will be used, increasing the speed of long simulations, 
%       or those involving integration. 
%     * MILPSolver=STRING 
%       (default: gurobi,cplex,xpress,mosek,scip,cbc,intlinprog,lpsolve,glpk,*) 
%       DynareOBC uses YALMIP internally for solving a mixed integer linear programming problem. This 
%       option sets YALMIP's preferred solvers. To find out what solvers are available to you, run 
%       dynareOBC TestSolvers, and examine the list displayed by YALMIP. 
%     * ReverseSearch 
%       By default, DynareOBC finds a solution in which the last period at the bound is as soon as 
%       possible. This option makes DynareOBC find a solution in which the last period at the bound 
%       is as remote as possible, subject to being less than the longest horizon (i.e. 
%       TimeToEscapeBounds). 
%     * FullHorizon 
%       By default, DynareOBC finds a solution in which the last period at the bound is as soon as 
%       possible. This option makes DynareOBC just solve the bounds problem at the longest horizon 
%       (i.e. TimeToEscapeBounds). 
%     * Omega=FLOAT (default: 1000) 
%       The tightness of the constraint on the news shocks. If this is large, solutions with news 
%       shocks close to zero will be returned when there are multiple solutions. It is often helpful 
%       to combine this option with FullHorizon so that DynareOBC does not just choose the solution 
%       which escapes the bound first. 
%     * SkipFirstSolutions=INTEGER (default: 0) 
%       If this is greater than 0, then DynareOBC ignores the first INTEGER solutions it finds, 
%       unless no other solutions are found, in which case it takes the last found one. Thus, without 
%       ReverseSearch, this tends to find solutions at the bound for longer. With ReverseSearch, this 
%       tends to find solutions at the bound for less time. 
%     * MultiThreadBoundsProblem 
%       Some MILP solvers are multi-threaded. By default though, DynareOBC turns off the MILP 
%       solver's multi-threading when possible, unless DynareOBC is not doing any parallel 
%       simulation. Enabling this option will restore the multi-threading of certain solvers. Since 
%       DynareOBC parallelizes at a higher level (e.g. in cubature, MLV simulation, slow IRF 
%       computation, or estimation), this usually slows down runs. 
%     * RetryOnOptimizerError 
%       Some MILP solvers occasionally throw errors for no good reason, e.g. because of temporary 
%       unavailability of a license server. This option makes DynareOBC keep retrying following an 
%       error in the optimizer. 
%     * IgnoreBoundFailures 
%       Makes DynareOBC atttempt to continue even after it has failed to solve the bounds problem due 
%       to e.g. infeasability. This will severely compromise accuracy. 
%  
% * For controlling cubature 
%     * Cubature 
%       Turns on cubature. By default DynareOBC assumes that agents are "surprised" by the existence 
%       of the bound. (At order=1, this is equivalent to a perfect foresight solution to the model.) 
%       Setting this option removes this simplifying assumption, and uses to integrate over future 
%       uncertainty, using the options below. 
%     * CubatureRegions=INTEGER (default: 1) 
%       The cubature method splits the integration space into INTEGER regions, and then integrates 
%       separately over each region. Setting this to a value greater than 1 automatically turns on 
%       Cubature. 
%     * CubatureClusteringEffort=INTEGER (default: 0) 
%       Determines how much effort DynareOBC puts into finding "good" clusters. If this is equal to 
%       0, it uses a simple hierarchical method. If it is equal to 1 it uses k-means clustering 
%       without the "online" final step. If it is equal to 2 it uses k-means clustering with the 
%       "online" final step. 
%     * CubatureCATCHDegree=INTEGER (default: 0) 
%       If this option is set to its default of 0, then DynareOBC approximates the integral over a 
%       region with the value of the function at the mean of the points in the region. If this option 
%       is set to a value INTEGER greater than 0, then Caratheodory-Tchakaloff (CATCH) subsampling is 
%       used, with basis functions consisting of all monomials in q and min{0,q} with degree less or 
%       equal to INTEGER. Setting this to a value greater than 0 automatically turns on Cubature. 
%     * PeriodsOfUncertainty=INTEGER (default: 16) 
%       Controls the number of periods of uncertainty over which DynareOBC integrates when Cubature 
%       is turned on. Since a cosine windowing function is used, the effective number of periods of 
%       uncertainty is roughly half this number. 
%     * QuasiMonteCarloLevel=INTEGER (default: 15) 
%       To generate an initial point set, DynareOBC uses quasi-Monte Carlo (Sobol) integration with 
%       at most 2^(1+INTEGER) - 1 samples (if HigherOrderSobolDegree is zero) or 2^(1+INTEGER) 
%       samples (otherwise) to integrate over future uncertainty. 
%     * HigherOrderSobolDegree=INTEGER (default: 0) 
%       Setting this option greater than 0 makes DynareOBC use a Higher Order Sobol sequence, rather 
%       than a standard one. Values larger than the minimum of 50 and 52 divided by the integration 
%       dimension are capped to that level. Setting this to a value greater than 0 automatically 
%       turns on Cubature. 
%     * CubaturePruningCutOff=FLOAT (default: 0.01) 
%       Eigenvalues of the covariance matrix of the distribution from which we integrate that are 
%       below FLOAT times the maximum eigenvalue are "pruned" to zero, in order to increase 
%       integration speed. 
%     * CubatureRelWeightCutOff=FLOAT (default: 0.0001) 
%       Cubature node weights that are below FLOAT times the maximum cubature node weight in a region 
%       are "pruned" to zero, in order to increase integration speed. 
%     * MaxCubatureDimension=INTEGER (default: 128) 
%       The maximum dimension over which to integrate. If the algorithm needs to integrate over a 
%       larger space, it will "prune" all but the INTEGER largest eigenvalues of the covariance 
%       matrix to zero. 
%     * MultiThreadCubatureRuleCreation 
%       Some LP solvers are multi-threaded. By default though, DynareOBC turns off the LP solver's 
%       multi-threading when possible, unless DynareOBC is not doing any parallel simulation. 
%       Enabling this option will restore the multi-threading of certain solvers. Since DynareOBC 
%       parallelizes at a higher level (e.g. over cubature regions, or in MLV simulation, slow IRF 
%       computation, or estimation), this usually slows down runs. 
%     * MaxCubatureSerialLoop (default: 2) 
%       Determines the maximum number of calls to the solution of the inner bounds problem, or 
%       cubature rule creation problem, before a loop is parallelized. 
%     * RetrieveConditionalCovariancesParallelizationCutOff (default: 256) 
%       Determines the size of matrix beyond which we parallelize certain loops involved in 
%       calculating the covariance of the random variables over which we perform cubature. 
%     * FastCubature 
%       Deprecated. Now equivalent to Cubature. 
%     * ImportanceSampling 
%       Ignored. Left in for backwards compatibility. 
%     * NoCubature 
%       Ignored. Left in for backwards compatibility. 
%  
% * For controlling accuracy 
%     * FirstOrderAroundRSS 
%       Takes a linear approximation around the risky steady state of the non-linear model. If 
%       specifying this option, you should set order=2 or order=3 in your mod file. 
%     * FirstOrderAroundMean 
%       Takes a linear approximation around the ergodic mean of the non-linear model. If specifying 
%       this option, you should set order=2 or order=3 in your mod file. 
%     * SecondOrderConditionalCovariance 
%       Even when order>1, by default, DynareOBC uses a first order approximation of the conditional 
%       covariance to determine the space of paths to integrate over. This option specifies that a 
%       second order approximation should be used instead. This requires order>1 without 
%       FirstOrderAroundRSS or FirstOrderAroundMean. 
%     * MLVSimulationMode=0|1|2|3 (default: 0) 
%       If MLVSimulationMode=0, DynareOBC does not attempt to simulate the path of model local 
%       variables. 
%       If MLVSimulationMode>0, DynareOBC generates simulated paths and average impulse responses for 
%       each model local variable (MLV) which is used in the model, non-constant, non-forward 
%       looking, and not purely backwards looking. 
%       If MLVSimulationMode>1, DynareOBC additionally generates simulated paths and average impulse 
%       responses for each non-constant MLV, used in the model, containing forward looking terms. 
%       If MLVSimulationMode=2, then DynareOBC takes the expectation of each forward looking MLV 
%       using sparse cubature. 
%       If MLVSimulationMode=3, then DynareOBC takes the expectation of each forward looking MLV 
%       using quasi-Monte Carlo integration. 
%         * MLVSimulationAccuracy=INTEGER (default: 9) 
%           When MLVSimulationMode=2, this specifies the degree of polynomial which should be 
%           integrated exactly. In this case, values above 51 are treated as equal to 51. When 
%           MLVSimulationMode=3, 2^(1+INTEGER) - 1 is the number of points used for quasi-Monte Carlo 
%           integration. 
%         * MLVSimulationSubSample=INTEGER (default: 1) 
%           Causes DynareOBC to only calculate the value of MLVs every INTEGER samples. Setting this 
%           greater than 1 is useful when calculating MLVs is expensive, and you want to reduce the 
%           standard error of simulated moments. 
%     * Sparse 
%       Causes DynareOBC to replace all of the elements of the decision rules by sparse matrices, 
%       which may speed up DynareOBC, at the cost of some slight reduction in accuracy for certain 
%       models with small coefficients. 
%  
% * For controlling and performing model diagnostics 
%     * FeasibilityTestGridSize=INTEGER (default: 0) 
%       Specifies the number of points in each of the two axes of the grid on which a test of a 
%       sufficient condition for feasibility with T=infinity is performed. Setting a larger number 
%       increases the chance of finding feasibility, but may be slow. 
%       If FeasibilityTestGridSize=0 then the test is disabled. 
%     * SkipQuickPCheck 
%       Disables the "quick" check to see if the M matrix has any contiguous principal sub-matrices 
%       with non-positive determinants. 
%     * PTest=INTEGER (default: 0) 
%       Runs a fast as possible test to see if the top INTEGERxINTEGER submatrix of M is a P-matrix. 
%       Set this to 0 to disable these tests. 
%     * AltPTest=INTEGER (default: 0) 
%       Uses a slower, more verbose procedure to test if the top INTEGERxINTEGER submatrix of M is a 
%       P-matrix. Set this to 0 to disable these tests. 
%     * FullTest=INTEGER (default: 0) 
%       Runs very slow tests to see if the top INTEGERxINTEGER submatrix of M is a P(0) and/or 
%       (strictly) semi-monotone matrix. 
%     * UseVPA 
%       Enables more accurate evaluation of determinants using the symbolic toolbox. 
%     * LPSolver=STRING 
%       (default: gurobi,cplex,xpress,mosek,scip,linprog,glpk,lpsolve,cdd,qsopt,*) 
%       Specifies the preferred solver to use for the linear programming problem that is solved when 
%       checking whether matrices are S/S_0. To find out what solvers are available to you, run 
%       dynareOBC TestSolvers, and examine the list displayed by YALMIP. 
%  
% * For controlling IRFs 
%     * SlowIRFs 
%       Calculates a more accurate approximation to (mean) expected IRFs using Monte-Carlo 
%       simulation. Without this option, DynareOBC calculates (mean) expected IRFs via cubature 
%       (unless this is also disabled). We advise that SlowIRFs or MedianIRFs are always used for 
%       IRFs in final paper versions. 
%     * MedianIRFs 
%       Calculates median IRFs using Monte-Carlo simulation, rather than mean IRFs. Without this 
%       option, DynareOBC calculates (mean) expected IRFs via cubature (unless this is also 
%       disabled). We advise that SlowIRFs or MedianIRFs are always used for IRFs in final paper 
%       versions. Note that due to the non-linearity of the median, the level of median IRFs is 
%       somewhat artificial, so the resulting IRFs may appear to violate the bound. Thus, we 
%       recommend the use of IRFsAroundZero with the MedianIRFs option. 
%     * IRFsAroundZero 
%       By default, IRFs are centred around the risky steady state without the SlowIRFs or MedianIRFs 
%       options, around the approximate mean with the SlowIRFs option, or around the approximate 
%       median with the MedianIRFs option. This option instead centres IRFs around 0. 
%     * ShockScale=FLOAT (default: 1) 
%       Scale of shocks for IRFs. This allows the calculation of IRFs to shocks larger or smaller 
%       than one standard deviation. 
%  
% * EXPERIMENTAL Settings for controlling estimation or smoothing 
%     * Estimation 
%       Enables estimation of the model's parameters. Note that Estimation requires the MATLAB 
%       Statistics and Machine Learning Toolox. 
%         * DataFile=STRING (default: MOD-FILE-NAME.xlsx) 
%           Specifies the spreadsheet containing the data to estimate. This spreadsheet should 
%           contain two worksheets. The first sheet should have a title row containing the names of 
%           the MLVs being observed, followed by one row per observation. There should not be a 
%           column with dates. The second sheet should contain a title row with the names of the 
%           parameters being estimated, followed by one row for their minima (with empty cells being 
%           interpreted as minus infinity), then by one row for their maxima (with empty cells being 
%           interpreted as plus infinity). 
%         * Prior=STRING (default: FlatPrior) 
%           Specifies the function containing the prior to be used in maximum a posteriori 
%           estimation. The default prior results in maximum likelihood estimates being returned. The 
%           function should accept a single argument giving the vector of parameters to be estimated, 
%           in the order they appear in the datafile, followed by the measumerent error variances, 
%           then possibly nu-bar (if DynamicNu is not specified), in the final elements of the 
%           vector. The function should return the log prior density at that point (up to a 
%           constant). 
%         * StationaryDistAccuracy=INTEGER (default: 10) 
%           The number of periods used to evaluate the stationary distribution of the model is 
%           2^StationaryDistAccuracy. 
%         * StationaryDistDrop=INTEGER (default: 0) 
%           The number of periods used as burn-in prior to evaluating the stationary distribution of 
%           the model. Does not need to be greater than zero given the algorithm used for drawing 
%           from the stationary distribution. 
%         * SkipStandardErrors 
%           Makes DynareOBC skip calculation of standard errors for the estimated parameters. 
%         * FilterCubatureDegree=INTEGER (default: 0) 
%           If this is greater than zero, then DynareOBC uses an alternative sparse cubature rule 
%           including additional points for integrating over the states and shocks of the model in 
%           the filter. While this requires solving the model less far from the steady-state when the 
%           state dimension is large, it also requires negative weights, which may cause numerical 
%           issues e.g. with the positive definiteness of the state covariance matrix. this cubature 
%           method exactly integrates a polynomial of degree FilterCubatureDegree. Values above 51 
%           are treated as equal to 51. 
%           If this is less than zero, then DynareOBC takes 2.^(-FilterCubatureDegree) points from a 
%           high order Sobol sequence. 
%         * StdDevThreshold=FLOAT (default: 1e-6) 
%           Specifies the threshold below which the standard deviation of the state is set to zero, 
%           for dimension reduction. 
%         * NoSkewLikelihood 
%           Disables the skewing of the distribution used to approximate the likelihood. 
%         * NoTLikelihood 
%           Disables the use of a (extended skew) t-distribution to approximate the likelihood. 
%           Instead a (extended skew) normal distribution will be used. 
%         * DynamicNu 
%           Causes the estimation procedure to calibrate the degrees of freedom parameter, nu, at 
%           each time step. We recommend that FilterCubatureDegree is at least 9 if this option is 
%           specified. 
%         * MaximisationFunctions=STRING (default: CMAESWrapper,FMinConWrapper) 
%           A , ; or # delimitated list of maximisation function names, which will be invoked in 
%           order. DynareOBC includes the following: 
%             * CMAESWrapper an evolutionary global search algorithm, 
%             * CMAESResumeWrapper an evolutionary global search algorithm, resuming an interrupted 
%               CMAES run, 
%             * ACDWrapper an adaptive coordinate descent algorithm, 
%             * ACDResumeWrapper an adaptive coordinate descent algorithm, resuming an interrupted 
%               ACD run, 
%             * PACDWrapper an alternative adaptive coordinate descent algorithm, 
%             * PACDResumeWrapper an alternative adaptive coordinate descent algorithm, resuming an 
%               interrupted ACD run, 
%             * FMinConWrapper MATLAB's local search, which requires a license for the MATLAB 
%               Optimisation Toolbox. 
%         * FixedParameters=STRING (default: '') 
%           A , ; or # delimitated list of parameters names. Any parameters in this list will not be 
%           estimated, even if they occur in the second sheet of the data file. 
%     * Smoothing DISABLED IN THIS VERSION 
%       Performs smoothing to estimate the model's state variables and shocks. It is recommended that 
%       smoothing is invoked in a separate DynareOBC run after estimation has completed. Note that 
%       Smoothing requires the MATLAB Statistics and Machine Learning Toolox. 
%         * DataFile=STRING (default: MOD-FILE-NAME.xlsx) 
%           Specifies the spreadsheet containing the data to estimate. This spreadsheet should 
%           contain at least one worksheet. The first sheet should have a title row containing the 
%           names of the MLVs being observed, followed by one row per observation. There should not 
%           be a column with dates. 
%         * StationaryDistPeriods=INTEGER (default: 1000) 
%           The number of periods used to evaluate the stationary distribution of the model. 
%         * StationaryDistDrop=INTEGER (default: 100) 
%           The number of periods used as burn-in prior to evaluating the stationary distribution of 
%           the model. 
%         * FilterCubatureDegree=INTEGER (default: 0) 
%           If this is greater than zero, then DynareOBC uses an alternative sparse cubature rule 
%           including additional points for integrating over the states and shocks of the model in 
%           the predict step. While this requires solving the model less far from the steady-state 
%           when the state dimension is large, it also requires negative weights, which may cause 
%           numerical issues e.g. with the positive definiteness of the state covariance matrix. The 
%           cubature method exactly integrates a polynomial of degree INTEGER. Thus, in a model 
%           without bounds, there is no need to have INTEGER larger than four times the order of 
%           approximation. Values above 51 are treated as equal to 51. 
%         * StdDevThreshold=FLOAT (default: 1e-6) 
%           Specifies the threshold below which the standard deviation of the state is set to zero, 
%           for dimension reduction. 
%  
% * EXPERIMENTAL settings for controlling accuracy 
%     * Global 
%       Without this, DynareOBC assumes agents realise that shocks may arrive in the near future 
%       which push them towards the bound, but they do not take into account the risk of hitting the 
%       bound in the far future. With the global option, DynareOBC assumes agents take into account 
%       the risk of hitting the bound at all horizons. Note that under the global solution algorithm, 
%       dotted lines give the responses with the polynomial approximation to the bound. They are not 
%       the response ignoring the bound entirely. 
%       Requires the MATLAB Optimization toolbox, or an alternative non-linear least squares routine, 
%       see above for details. Implies the Cubature option. 
%         * Resume 
%           Resumes an interrupted solution iteration, when using global. 
%  
% * Advanced options 
%     * Bypass 
%       Ignores all non-differentiabilities in the model. Useful for debugging. 
%     * MinParametricSolutionParallelisationDimension=INTEGER (default: 5) 
%       The minimum dimension before the problem of finding a parametric solution is parallelized if 
%       a parallel pool is not otherwise needed. 
%     * DisplayBoundsSolutionProgress 
%       Displays progress solving the bounds problem. Only useful for very hard to solve models under 
%       perfect foresight. 
%     * CompileSimulationCode 
%       Compiles the code used for simulating the base model, without the bound. May speed up long 
%       simulations. 
%     * NoCleanup 
%       Prevents the deletion of DynareOBC's temporary files. Useful for debugging. 
%     * NoPoolClose 
%       Prevents DynareOBC closing parallel pools. 
%     * NoRestorePath 
%       Prevents DynareOBC restoring the original path. 
%     * OrderOverride=1|2|3 
%       Overrides the order of approximation set within the call to stoch_simul. 
%     * ShockSequenceFile=FILENAME.mat 
%       Specifies a MAT file to open to load shocks for simulation from. The MAT file should contain 
%       a matrix called ShockSequence, which should have as many rows as there are shocks, and as 
%       many columns as there are simulation periods. Shocks are ordered in declaration order. 
%     * InitialStateFile=FILENAME.mat 
%       Specifies a MAT file to open to load the initial state for simulation from. The MAT file 
%       should contain a column vector called InitialState, which should have as many rows as there 
%       are endogenous variables. Variables are ordered in declaration order. Values assigned to 
%       non-state variables are ignored. 
%     * SimulateOnGridPoints 
%       Rather than running an actual simulation, causes DynareOBC to draw QMC points from a Gaussian 
%       approximation to the stationary distribution of the model without bounds. The mean for the 
%       Gaussian approximation is accurate to the same order as the order of approximation, but the 
%       variance used is always only accurate to a first order approximation. 
%  
% See the Dynare reference manual for other available options. 
%  
% Supported options inside the .mod file 
% -------------------------------------- 
%  
% Note that DynareOBC only supports some of the options of stoch_simul, and no warning is generated 
% if it is used with an unsupported option. Currently supported options for stoch_simul are: 
% * irf=INTEGER 
% * periods=INTEGER 
% * drop=INTEGER 
% * order=1|2|3 
% * replic=INTEGER 
% * loglinear 
% * irf_shocks 
% * nograph 
% * nodisplay 
% * nomoments 
% * nocorr 
%  
% DynareOBC also supports a list of variables for simulation after the call to stoch_simul. When 
% MLVSimulationMode>0, this list can include the names of model local variables. Any MLV included in 
% this list will be simulated even if it does not meet the previous criteria. 
%  
% Advanced Usage 
% -------------- 
%  
% Alternative usage: dynareOBC [AddPath|RmPath|TestSolvers] [OPTIONS] 
%  
% * AddPath 
%   Adds all folders used by DynareOBC to the path, useful for debugging and testing. 
% * RmPath 
%   Removes all folders used by DynareOBC from the path, useful for cleanup following a crash. 
% * TestSolvers 
%   Tests the installed solvers. 
%  
% Acknowledgements and copyright information 
% ------------------------------------------ 
%  
% DynareOBC incorporates code: 
% * from Dynare, that is copyright Adjemian, Bastani, Juillard, Mihoubi, Perendia, Pfeifer, Ratto, 
%   Villemot, and the rest of the Dynare Team, 2011-2016, 
% * for calculating risky first order approximations, that is copyright Meyer-Gohde, 2014. 
%   More information is contained in his paper describing the algorithm, available here: 
%   http://enim.wiwi.hu-berlin.de/vwl/wtm2/mitarbeiter/meyer-gohde/stochss_main.pdf 
% * from the nonlinear moving average toolkit, that is copyright Lan and Alexander Meyer-Gohde, 2014, 
% * for nested Gaussian cubature, that is copyright Genz and Keister, 1996, 
% * for displaying a progress bar, that is copyright Cacho, "Stefan" and Scheff, 2014, 
% * for (mixed-integer) linear programming, from GLPKMEX, copyright Makhorin, Legat and others, 2015, 
% * for calculating pseudo-spectral radii, from EigTool, copyright Wright, Mengi, Overton and 
%   colleagues, 2014, 
% * for interfacing with optimization packages, from YALMIP, copyright Lofberg, 2017, 
% * for various optimizers, from the Opti Toolbox, copyright Currie, and others, 2017, 
% * for non-linear state space estimation non-linear state space estimation with an Extended Skew T 
%   (EST) approximation to the state distribution, from EST-NLSS, copyright Holden, 2017. 
%  
% Additionally, DynareOBC automatically downloads: 
% * MPT, with its dependencies, copyright Herceg and others, 2015. 
%  
% The original portions of DynareOBC are copyright (c) Tom Holden, 2016-2017. 
%  
% DynareOBC is released under the GNU GPL, version 3.0 or later, available from 
% https://www.gnu.org/copyleft/gpl.html 
%  
% DynareOBC 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. 
%  
% DynareOBC 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 dynareOBC. If not, see 
% http://www.gnu.org/licenses/. 
%  

    %% Initialization

    CurrentFolder = pwd( );
    dynareOBCPath = fileparts( mfilename( 'fullpath' ) );
    
    SafeRemoveDir( dynareOBCPath, '/dynareOBC/' );

    if exist( [ dynareOBCPath '/dynareOBC/' ], 'dir' ) == 7
        disp( 'A major update to DynareOBC is available, which requires you to download the latest release from:' );
        disp( 'https://github.com/tholden/dynareOBC/releases' );
        disp( 'Once you have downloaded this release, please extract it into a clean directory.' );
        disp( 'Apologies for the inconvenience.' );
        return;
    end
    
    WarningState = warning( 'off', 'MATLAB:rmpath:DirNotFound' );
    rmpath( genpath( [ dynareOBCPath '/Core/' ] ) );
    rmpath( genpath( [ dynareOBCPath '/Extern/' ] ) );
    warning( WarningState );
    
    addpath( dynareOBCPath );

    if nargin < 1 || strcmpi( InputFileName, 'help' ) || strcmpi( InputFileName, '-help' ) || strcmpi( InputFileName, '-h' ) || strcmpi( InputFileName, '/h' ) || strcmpi( InputFileName, '-?' ) || strcmpi( InputFileName, '/?' )
        try
            fprintf( '\n' );
            ReadMeText = fileread( [ dynareOBCPath '/ReadMe.txt' ] );
            fprintf( '%s', strrep( ReadMeText, sprintf( '\r\n' ), sprintf( '\n' ) ) ); %#ok<SPRINTFN>
        catch
            error( 'dynareOBC:ReadMeDisplay', 'Error displaying read-me.' );
        end
        return;
    end
    
    if strcmpi( InputFileName, 'rmpath' )
        return;
    end

    OriginalPath = path;
    addpath( [ dynareOBCPath '/Core/Setup/' ] );
    addpath( [ dynareOBCPath '/Core/Utils/' ] );
    
    fprintf( '\n' );
    try
        if exist( [ dynareOBCPath '/CurrentVersionURL.txt' ], 'file' ) == 2
            CurrentVersionURL = strtrim( regexprep( fileread( [ dynareOBCPath '/CurrentVersionURL.txt' ] ), '\s+', ' ' ) );
        else
            CurrentVersionURL = '';
        end

        DownloadURL = regexp( urlread( 'https://api.github.com/repos/tholden/dynareOBC/releases/latest' ), 'https://github.com/tholden/dynareOBC/releases/download/[^\"]+\.zip', 'once', 'ignorecase', 'match' );
        if strcmp( DownloadURL, CurrentVersionURL )
            disp( 'You have the latest DynareOBC release.' );
        else
            disp( 'A new DynareOBC release is available. Do you wish to update?' );
            UpdateSelection = input( 'Please type y to update, or n to skip for now: ', 's' );
            fprintf( '\n' );

            if lower( strtrim( UpdateSelection( 1 ) ) ) == 'y'
                ClosePool;
                fprintf( '\n' );
                disp( 'Downloading the latest release.' );
                disp( 'This may take several minutes even on fast university connections.' );
                fprintf( '\n' );
                aria_urlwrite( dynareOBCPath, DownloadURL, [ dynareOBCPath '/CurrentRelease.zip' ] )
                fprintf( '\n' );
                CurrentVersionURL = '';
                disp( 'Deleting old DynareOBC files.' );
                fprintf( '\n' );
                WarningState = warning( 'off', 'all' );
                SafeClear( 'all' );
                SafeClear( 'classes' );
                SafeClear( 'functions' );
                SafeClear( 'import' );
                SafeClear( 'java' );
                SafeClear( 'mex' );
                SafeRemoveDir( dynareOBCPath, '/.git/' );
                SafeRemoveDir( dynareOBCPath, '/codegen/' );
                SafeRemoveDir( dynareOBCPath, '/DevTools/' );
                SafeRemoveDir( dynareOBCPath, '/Examples/' );
                SafeRemoveDir( dynareOBCPath, '/Tests/' );
                SafeRemoveDir( dynareOBCPath, '/Extern/aria2/' );
                SafeRemoveDir( dynareOBCPath, '/Extern/Clobber/' );
                SafeRemoveDir( dynareOBCPath, '/Extern/eigtool/' );
                SafeRemoveDir( dynareOBCPath, '/Extern/EST-NLSS/' );
                SafeRemoveDir( dynareOBCPath, '/Extern/glpkmex/' );
                SafeRemoveDir( dynareOBCPath, '/Extern/nlma/' );
                SafeRemoveDir( dynareOBCPath, '/Extern/YALMIP/' );
                SafeRemoveDir( dynareOBCPath, '/Core/BaseSimulation/' );
                SafeRemoveDir( dynareOBCPath, '/Core/Global/' );
                SafeRemoveDir( dynareOBCPath, '/Core/InnerProblem/' );
                SafeRemoveDir( dynareOBCPath, '/Core/MChecks/' );
                SafeRemoveDir( dynareOBCPath, '/Core/ModelSolution/' );
                SafeRemoveDir( dynareOBCPath, '/Core/MODProcessing/' );
                SafeRemoveDir( dynareOBCPath, '/Core/OBCSimulation/' );
                SafeRemoveDir( dynareOBCPath, '/Core/Output/' );
                SafeRemoveDir( dynareOBCPath, '/Core/Setup/' );
                SafeRemoveDir( dynareOBCPath, '/Core/Utils/' );
                SafeRemoveDir( dynareOBCPath, '/Core/' );
                SafeDeleteFiles( dynareOBCPath, '/.git*' );
                SafeDeleteFiles( dynareOBCPath, '/*.pdf' );
                SafeDeleteFiles( dynareOBCPath, '/*.m' );
                SafeDeleteFiles( dynareOBCPath, '/*.asv' );
                SafeDeleteFiles( dynareOBCPath, '/*.md' );
                SafeDeleteFiles( dynareOBCPath, '/*.txt' );
                SafeDeleteFiles( dynareOBCPath, '/*.mat' );
                SafeDeleteFiles( dynareOBCPath, '/*.bak' );
                SafeDeleteFiles( dynareOBCPath, '/LICENSE' );
                SafeDeleteFiles( dynareOBCPath, '/Core/*.m' );
                SafeDeleteFiles( dynareOBCPath, '/Core/*.asv' );
                SafeDeleteFiles( dynareOBCPath, '/Core/*.mex*' );
                SafeDeleteFiles( dynareOBCPath, '/Core/*.prj' );
                SafeDeleteFiles( dynareOBCPath, '/Core/*.txt' );
                SafeDeleteFiles( dynareOBCPath, '/Core/*.mat' );
                SafeDeleteFiles( dynareOBCPath, '/Core/*.bak' );
                warning( WarningState );
                disp( 'Extracting files from the downloaded release.' );
                fprintf( '\n' );
                unzip(  [ dynareOBCPath '/CurrentRelease.zip' ], dynareOBCPath );
                addpath( [ dynareOBCPath '/Core/Setup/' ] );
                rehash;
                CurrentVersionURL = DownloadURL;
            end

        end
    catch UpdateError
        fprintf( '\n' );
        disp( 'The error below was thrown while updating or checking for updates.' );
        disp( 'Manually updating from https://github.com/tholden/dynareOBC/releases is recommended.' );
        disp( UpdateError.message );
    end

    fprintf( '\n' );
    if ~isempty( CurrentVersionURL )
        dynareOBCSetup( OriginalPath, CurrentFolder, dynareOBCPath, InputFileName, varargin{:} );
    else
        disp( 'Since it does not appear that a valid DynareOBC version is installed, DynareOBC will not proceed.' );
        disp( 'Manually updating from https://github.com/tholden/dynareOBC/releases is recommended.' );
    end
    
end

function SafeRemoveDir( dynareOBCPath, Directory )
    try
        rmdir( [ dynareOBCPath Directory ], 's' );
    catch
    end
end

function SafeDeleteFiles( dynareOBCPath, Files )
    try
        delete( [ dynareOBCPath Files ] );
    catch
    end
end

function SafeClear( ToClear )
    try
        evalin( 'base', [ 'clear ' ToClear ';' ] );
    catch
    end
end