Real time bayesian estimation

Is there a n easy way of doing real time Bayesian estimation. what this would involve is using a different vintage datafile for each period in the estimation sample and I am looking for a way to save the bayesian estimation results for for each of these periods.

the inefficient way is entering a different datafile for each sample and proceeding to do Bayesian estimation in the usual way. But I was wondering if it is possible to create a loop inside of the .mod file so that dynare can keep updating the datafile as it goes through the loop.