Readme file for computer codes used in
"Real-Time Forcast Evaluation of DSGE Models with Stochastic Volatility" by Diebold, Schorfheide, and Shin.
Last update: 2016/8/13

Main file to run = "dsge_batch_trgt.m"
This file does the following 
[1] Finds the posterior mode (dsge_pm.m)
[2] Computes the Hessian at the posterior mode (dsge_hess_adaptive.m)
[3] Generate draws from the posterior distribution (dsge_mh_adaptive.m)
[4] Generate prediction based on the results from [3] (dsge_pred.m)

[0] The main file "dsge_batch_trgt.m" calls the model specification file (dsge_spec.m) where one can choose model/estimation/prediction specification:
In the paper, there are four main model specification:
[M1] Const.: Constant volatility
[M2] SV-RW : Random walk stochastic-volatilty
[M3] SV-AR : AR(1) stochastic-volatility process 
[M4] DV-SB : Deterministic volatility with structural break

"estinfo.mspec" selects model specification among above options. Specifically, one can select numbers {1,2,3,4} where
1=const, 2=SV-RW, 3=SV-AR, 4=DV-SB

"estinfo.samplein" defines the vintage for our real-time data set, {1,2,3,...,78}

In addition, dsge_spec.m specifies other set-up variables for the estimation and prediction. Please see dsge_spec.m for more detail.
