Installation of the Global Sensitivity Toolbox
The Euro-area Economy Modelling Centre (EEMC) of the Joint Research Center of the European Commission at Ispra has contributed a toolbox for Global Sensitivity Analysis that interacts with Dynare, but must be downloaded separately for Dynare 4.2.
Note that in Dynare unstable (which will become Dynare 4.3), GSA is distributed with Dynare: no external download is required.
Download
Download the toolbox (3 zip files) from here
Installation
Unzip GSA.zip into dynare/4.x.y/matlab/GSA where x.y represent the Dynare version.
Unzip ss_anova_recurs.zip into dynare/4.x.y/matlab/GSA, as well.
Unzip demo.zip into a working directory.
Documentation
You can get documentation here