2019-01-22 00:57:24 +01:00
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function [Y, lhssub, X, residual, fp, lp] = parse_ols_style_equation(ds, ast)
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%function [Y, lhssub, X, residual, fp, lp] = parse_ols_style_equation(ds, ast)
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2019-01-10 14:53:07 +01:00
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% Run OLS on chosen model equations; unlike olseqs, allow for time t
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% endogenous variables on LHS
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%
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% INPUTS
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2019-01-15 11:06:31 +01:00
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% ds [dseries] data
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% ast [struct] AST representing the equation to be parsed
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2019-01-10 14:53:07 +01:00
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%
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% OUTPUTS
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2019-01-15 11:06:31 +01:00
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% Y [dseries] LHS of the equation (with lhssub subtracted)
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% lhssub [dseries] RHS subtracted from LHS
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% X [dseries] RHS of the equation
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% residual [string] name of residual in equation
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% fp [date] first common observed period between Y, lhssub, and X
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% lp [date] last common observed period between Y, lhssub, and X
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2019-01-10 14:53:07 +01:00
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%
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% SPECIAL REQUIREMENTS
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% none
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% Copyright (C) 2019 Dynare Team
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%
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% This file is part of Dynare.
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%
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% Dynare is free software: you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation, either version 3 of the License, or
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% (at your option) any later version.
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%
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% Dynare is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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2019-01-15 11:06:31 +01:00
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%% Check inputs
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2019-01-22 00:57:24 +01:00
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if nargin ~= 2
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error('parse_ols_style_equation takes 2 arguments')
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2019-01-10 14:53:07 +01:00
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end
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if isempty(ds) || ~isdseries(ds)
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error('parse_ols_style_equation: arg 1 must be a dseries');
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end
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2019-01-15 11:06:31 +01:00
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if isempty(ast) || ~isstruct(ast)
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2019-01-22 00:57:24 +01:00
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error('parse_ols_style_equation: arg 2 must be a struct');
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2019-01-10 14:53:07 +01:00
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end
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2019-01-11 17:27:42 +01:00
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line = ast.line;
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2019-01-10 14:53:07 +01:00
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if ~strcmp(ast.AST.node_type, 'BinaryOpNode') ...
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|| ~strcmp(ast.AST.op, '=')
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2019-01-15 11:05:27 +01:00
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parsing_error('expecting equation with equal sign', line);
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2019-01-10 14:53:07 +01:00
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end
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% Check LHS
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if ~strcmp(ast.AST.arg1.node_type, 'VariableNode') ...
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&& ~strcmp(ast.AST.arg1.node_type, 'UnaryOpNode')
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2019-01-15 11:05:27 +01:00
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parsing_error('expecting Variable or UnaryOp on LHS', line);
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2019-01-10 14:53:07 +01:00
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else
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2019-01-18 11:50:10 +01:00
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if ~isOlsVar(ds, ast.AST.arg1) || ~isBaseVarLagEqualToZero(ast.AST.arg1)
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2019-01-15 11:05:27 +01:00
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parsing_error('the lhs of the equation must be an Variable or UnaryOp with lag == 0 that exists in the dataset', line);
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2019-01-10 14:53:07 +01:00
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end
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end
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2019-01-15 11:06:31 +01:00
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%% Set LHS (Y)
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2019-01-10 14:53:07 +01:00
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lhssub = dseries();
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Y = evalNode(ds, ast.AST.arg1, line, dseries());
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2019-01-15 11:06:31 +01:00
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%% Set RHS (X)
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2019-01-10 14:53:07 +01:00
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plus_node = ast.AST.arg2;
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last_node_to_parse = [];
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residual = '';
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X = dseries();
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while ~isempty(plus_node) || ~isempty(last_node_to_parse)
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Xtmp = dseries();
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if isempty(last_node_to_parse)
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[plus_node, node_to_parse, last_node_to_parse] = findNextplus_node(plus_node, line);
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else
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node_to_parse = last_node_to_parse;
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last_node_to_parse = [];
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end
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2019-01-15 11:23:59 +01:00
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if strcmp(node_to_parse.node_type, 'VariableNode')
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if strcmp(node_to_parse.type, 'parameter')
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% Intercept
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2019-01-29 14:52:03 +01:00
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Xtmp = dseries(1, ds.dates, node_to_parse.name);
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2019-01-15 11:23:59 +01:00
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elseif strcmp(node_to_parse.type, 'exogenous') && ~any(strcmp(ds.name, node_to_parse.name))
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% Residual if not contained in ds
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if isempty(residual)
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residual = node_to_parse.name;
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2019-01-10 14:53:07 +01:00
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else
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2019-01-15 11:23:59 +01:00
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parsing_error(['only one residual allowed per equation; encountered ' residual ' & ' node_to_parse.name], line);
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2019-01-10 14:53:07 +01:00
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end
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2019-01-15 11:23:59 +01:00
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elseif strcmp(node_to_parse.type, 'endogenous') ...
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|| (strcmp(node_to_parse.type, 'exogenous') && any(strcmp(ds.name, node_to_parse.name)))
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% Subtract VariableNode from LHS
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2019-01-10 14:53:07 +01:00
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% NB: treat exogenous that exist in ds as endogenous
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lhssub = lhssub + evalNode(ds, node_to_parse, line, dseries());
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2019-01-15 11:23:59 +01:00
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else
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parsing_error('unexpected variable type found', line);
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2019-01-10 14:53:07 +01:00
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end
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2019-01-15 11:23:59 +01:00
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elseif strcmp(node_to_parse.node_type, 'UnaryOpNode')
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% Subtract UnaryOpNode from LHS
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% NB: treat exogenous that exist in ds as endogenous
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lhssub = lhssub + evalNode(ds, node_to_parse, line, dseries());
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2019-01-10 14:53:07 +01:00
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elseif strcmp(node_to_parse.node_type, 'BinaryOpNode') && strcmp(node_to_parse.op, '*')
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% Parse param_expr * endog_expr
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Xtmp = parseTimesNode(ds, node_to_parse, line);
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2019-01-22 15:23:42 +01:00
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if Xtmp.vobs > 1 || ...
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(Xtmp.vobs == 1 && ~isnan(str2double(Xtmp.name)))
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2019-01-10 14:53:07 +01:00
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% Handle constraits
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% Look through Xtmp names for constant
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% if found, subtract from LHS
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2019-01-22 15:25:17 +01:00
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names = Xtmp.name;
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for j = length(names):-1:1
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if ~isnan(str2double(names{j}))
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lhssub = lhssub + str2double(names{j}) * Xtmp.(names{j});
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Xtmp = Xtmp.remove(names{j});
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2019-01-17 17:00:42 +01:00
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else
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% Multiply by -1 now so that it can be added together below
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% Otherwise, it would matter which was encountered first,
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% a parameter on its own or a linear constraint
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2019-01-22 15:25:17 +01:00
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Xtmp.(names{j}) = -1 * Xtmp.(names{j});
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2019-01-10 14:53:07 +01:00
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end
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end
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end
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else
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2019-01-15 11:05:27 +01:00
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parsing_error('didn''t expect to arrive here', line);
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2019-01-10 14:53:07 +01:00
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end
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2019-01-17 17:00:42 +01:00
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2019-01-22 15:25:17 +01:00
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names = Xtmp.name;
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for j = length(names):-1:1
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2019-01-17 17:00:42 +01:00
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% Handle constraits
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2019-01-22 15:25:17 +01:00
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idx = find(strcmp(X.name, names{j}));
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2019-01-17 17:00:42 +01:00
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if ~isempty(idx)
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X.(X.name{idx}) = X{idx} + Xtmp{j};
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2019-01-22 15:25:17 +01:00
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Xtmp = Xtmp.remove(names{j});
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2019-01-10 14:53:07 +01:00
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end
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end
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2019-01-17 17:00:42 +01:00
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X = [X Xtmp];
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2019-01-10 14:53:07 +01:00
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end
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Y = Y - lhssub;
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2019-01-15 11:06:31 +01:00
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%% Set start and end dates
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2019-01-17 15:15:35 +01:00
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fp = Y.firstobservedperiod;
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lp = Y.lastobservedperiod;
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if ~isempty(X)
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% X is empty when AR(1) without parameter is encountered
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fp = max(fp, X.firstobservedperiod);
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lp = min(lp, X.lastobservedperiod);
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end
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2019-01-15 11:06:31 +01:00
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if ~isempty(lhssub)
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fp = max(fp, lhssub.firstobservedperiod);
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lp = min(lp, lhssub.lastobservedperiod);
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end
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% If it exists, account for tag set in mod file
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2019-01-22 00:57:24 +01:00
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if isfield(ast, 'tags') ...
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&& isfield(ast.tags, 'sample') ...
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&& ~isempty(ast.tags.sample)
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colon_idx = strfind(ast.tags.sample, ':');
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fsd = dates(ast.tags.sample(1:colon_idx-1));
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lsd = dates(ast.tags.sample(colon_idx+1:end));
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2019-01-15 11:06:31 +01:00
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if fp > fsd
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warning(['The sample over which you want to estimate contains NaNs. '...
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'Adjusting estimation range to begin on: ' fp.char])
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else
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fp = fsd;
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end
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if lp < lsd
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warning(['The sample over which you want to estimate contains NaNs. '...
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'Adjusting estimation range to end on: ' lp.char])
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else
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lp = lsd;
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end
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end
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Y = Y(fp:lp);
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2019-01-17 15:15:35 +01:00
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if ~isempty(X)
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X = X(fp:lp);
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end
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2019-01-15 11:06:31 +01:00
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if ~isempty(lhssub)
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lhssub = lhssub(fp:lp);
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end
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2019-01-10 14:53:07 +01:00
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end
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%% Helper Functions
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2019-01-15 11:05:27 +01:00
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function parsing_error(msg, line)
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error(['ERROR encountered parsing of equation on line ' num2str(line) ': ' msg])
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2019-01-10 14:53:07 +01:00
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end
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function [next_plus_node, node_to_parse, last_node_to_parse] = findNextplus_node(plus_node, line)
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% Given an additive entry in the AST, find the next additive entry
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% (next_plus_node). Also find the node that will be parsed into
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% parameter*endogenous||param||exog|endog (node_to_parse).
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% Function used for moving through the AST.
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if ~(strcmp(plus_node.node_type, 'BinaryOpNode') && strcmp(plus_node.op, '+'))
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2019-01-15 11:05:27 +01:00
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parsing_error('pairs of nodes must be separated additively', line);
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2019-01-10 14:53:07 +01:00
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end
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next_plus_node = [];
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last_node_to_parse = [];
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if strcmp(plus_node.arg1.node_type, 'BinaryOpNode') && strcmp(plus_node.arg1.op, '+')
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next_plus_node = plus_node.arg1;
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node_to_parse = getOlsNode(plus_node.arg2, line);
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elseif strcmp(plus_node.arg2.node_type, 'BinaryOpNode') && strcmp(plus_node.arg2.op, '+')
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next_plus_node = plus_node.arg2;
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node_to_parse = getOlsNode(plus_node.arg1, line);
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else
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node_to_parse = getOlsNode(plus_node.arg1, line);
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last_node_to_parse = getOlsNode(plus_node.arg2, line);
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end
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end
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function node_to_parse = getOlsNode(node, line)
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if ~(strcmp(node.node_type, 'BinaryOpNode') && strcmp(node.op, '*')) ...
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&& ~strcmp(node.node_type, 'VariableNode') ...
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&& ~strcmp(node.node_type, 'UnaryOpNode')
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2019-01-15 11:05:27 +01:00
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parsing_error('couldn''t find node to parse', line);
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2019-01-10 14:53:07 +01:00
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end
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node_to_parse = node;
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end
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function X = parseTimesNode(ds, node, line)
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% Separate the parameter expression from the endogenous expression
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assert(strcmp(node.node_type, 'BinaryOpNode') && strcmp(node.op, '*'))
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[param, X] = parseTimesNodeHelper(ds, node.arg1, line, {}, dseries());
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[param, X] = parseTimesNodeHelper(ds, node.arg2, line, param, X);
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X = X.rename(param{1});
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for ii = 2:length(param)
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X = [X dseries(X{1}.data, X{1}.firstdate, param{ii})];
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end
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end
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function [param, X] = parseTimesNodeHelper(ds, node, line, param, X)
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if isOlsParamExpr(node, line)
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param = assignParam(param, node, line);
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2019-01-11 11:47:55 +01:00
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elseif isOlsVarExpr(ds, node, line)
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2019-01-10 14:53:07 +01:00
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if isempty(X)
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X = evalNode(ds, node, line, X);
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else
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2019-01-15 11:05:27 +01:00
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parsing_error(['got endog * endog' node.name ' (' node.type ')'], line);
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2019-01-10 14:53:07 +01:00
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end
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else
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2019-01-15 11:05:27 +01:00
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parsing_error('unexpected expression', line);
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2019-01-10 14:53:07 +01:00
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end
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end
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function param = assignParam(param, node, line)
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if ~isempty(param)
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2019-01-15 11:05:27 +01:00
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parsing_error(['got param * param' node.name ' (' node.type ')'], line);
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2019-01-10 14:53:07 +01:00
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end
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param = assignParamHelper(param, node, line);
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end
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function param = assignParamHelper(param, node, line)
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if strcmp(node.node_type, 'NumConstNode')
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param{end+1} = num2str(node.value);
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elseif strcmp(node.node_type, 'VariableNode')
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param{end+1} = node.name;
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elseif strcmp(node.node_type, 'BinaryOpNode')
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if ~strcmp(node.op, '-')
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2019-01-15 11:05:27 +01:00
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parsing_error(['got unexpected parameter op ' node.op], line);
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2019-01-10 14:53:07 +01:00
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end
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param = assignParamHelper(param, node.arg1, line);
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param = assignParamHelper(param, node.arg2, line);
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else
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2019-01-15 11:05:27 +01:00
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parsing_error(['got unexpected node (' node.type ')'], line);
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2019-01-10 14:53:07 +01:00
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end
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end
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2019-01-18 11:50:10 +01:00
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function tf = isBaseVarLagEqualToZero(node)
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if strcmp(node.node_type, 'VariableNode')
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tf = node.lag == 0;
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elseif strcmp(node.node_type, 'UnaryOpNode')
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tf = isBaseVarLagEqualToZero(node.arg);
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else
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tf = false;
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end
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end
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2019-01-11 11:47:55 +01:00
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function tf = isOlsVar(ds, node)
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2019-01-10 14:53:07 +01:00
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if strcmp(node.node_type, 'VariableNode') ...
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&& (strcmp(node.type, 'endogenous') ...
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|| (strcmp(node.type, 'exogenous') && any(strcmp(ds.name, node.name))))
|
|
|
|
tf = true;
|
2019-01-18 11:50:10 +01:00
|
|
|
elseif strcmp(node.node_type, 'UnaryOpNode')
|
|
|
|
tf = isOlsVar(ds, node.arg);
|
2019-01-10 14:53:07 +01:00
|
|
|
else
|
|
|
|
tf = false;
|
|
|
|
end
|
|
|
|
end
|
|
|
|
|
2019-01-11 11:47:55 +01:00
|
|
|
function tf = isOlsVarExpr(ds, node, line)
|
2019-01-10 14:53:07 +01:00
|
|
|
if strcmp(node.node_type, 'VariableNode') || strcmp(node.node_type, 'UnaryOpNode')
|
2019-01-11 11:47:55 +01:00
|
|
|
tf = isOlsVar(ds, node);
|
2019-01-10 14:53:07 +01:00
|
|
|
elseif strcmp(node.node_type, 'BinaryOpNode')
|
2019-01-11 11:47:55 +01:00
|
|
|
tf = isOlsVarExpr(ds, node.arg1, line) || isOlsVarExpr(ds, node.arg2, line);
|
2019-01-10 14:53:07 +01:00
|
|
|
else
|
2019-01-15 11:05:27 +01:00
|
|
|
parsing_error(['got unexpected type ' node.node_type], line);
|
2019-01-10 14:53:07 +01:00
|
|
|
end
|
|
|
|
end
|
|
|
|
|
|
|
|
function X = evalNode(ds, node, line, X)
|
|
|
|
if strcmp(node.node_type, 'NumConstNode')
|
|
|
|
X = dseries(str2double(node.value), ds.dates, 'const');
|
|
|
|
elseif strcmp(node.node_type, 'VariableNode')
|
|
|
|
if ~(strcmp(node.type, 'endogenous') ...
|
|
|
|
|| (strcmp(node.type, 'exogenous') && any(strcmp(ds.name, node.name))))
|
2019-01-15 11:05:27 +01:00
|
|
|
parsing_error(['got unexpected type ' node.name ': ' node.type], line);
|
2019-01-10 14:53:07 +01:00
|
|
|
end
|
|
|
|
X = ds.(node.name)(node.lag);
|
|
|
|
elseif strcmp(node.node_type, 'UnaryOpNode')
|
|
|
|
Xtmp = evalNode(ds, node.arg, line, X);
|
|
|
|
% Only works if dseries supports . notation for unary op (true for log/diff)
|
|
|
|
% Otherwise, use: X = eval([node.op '(Xtmp)']);
|
|
|
|
X = Xtmp.(node.op);
|
|
|
|
elseif strcmp(node.node_type, 'BinaryOpNode')
|
|
|
|
Xtmp1 = evalNode(ds, node.arg1, line, X);
|
|
|
|
Xtmp2 = evalNode(ds, node.arg2, line, X);
|
|
|
|
X = X + eval(['Xtmp1 ' node.op ' Xtmp2']);
|
|
|
|
else
|
2019-01-15 11:05:27 +01:00
|
|
|
parsing_error(['got unexpected node type ' node.node_type], line);
|
2019-01-10 14:53:07 +01:00
|
|
|
end
|
|
|
|
end
|
|
|
|
|
|
|
|
function tf = isOlsParam(node)
|
|
|
|
if strcmp(node.node_type, 'VariableNode') && strcmp(node.type, 'parameter')
|
|
|
|
tf = true;
|
|
|
|
else
|
|
|
|
tf = false;
|
|
|
|
end
|
|
|
|
end
|
|
|
|
|
|
|
|
function tf = isOlsParamExpr(node, line)
|
|
|
|
if strcmp(node.node_type, 'NumConstNode')
|
|
|
|
tf = true;
|
|
|
|
elseif strcmp(node.node_type, 'VariableNode')
|
|
|
|
tf = isOlsParam(node);
|
|
|
|
elseif strcmp(node.node_type, 'UnaryOpNode')
|
|
|
|
tf = false;
|
|
|
|
elseif strcmp(node.node_type, 'BinaryOpNode')
|
|
|
|
tf = isOlsParamExpr(node.arg1) && isOlsParamExpr(node.arg2);
|
|
|
|
if tf && ~strcmp(node.op, '-')
|
2019-01-15 11:05:27 +01:00
|
|
|
parsing_error(['got unexpected op ' node.op], line);
|
2019-01-10 14:53:07 +01:00
|
|
|
end
|
|
|
|
else
|
2019-01-15 11:05:27 +01:00
|
|
|
parsing_error(['got unexpected type ' node.node_type], line);
|
2019-01-10 14:53:07 +01:00
|
|
|
end
|
|
|
|
end
|