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Do not unroll expectations in the equation where they are used... 

... But create an auxiliary variable with corresponding equation (where the
expectation are unrolled). Also separate the growth neutrality correction.
time-shift
Stéphane Adjemian (Charybdis) 2019-03-21 17:33:07 +01:00
parent 567ca19000
commit 07a40d2df4
Signed by untrusted user who does not match committer: stepan
GPG Key ID: A6D44CB9C64CE77B
2 changed files with 39 additions and 7 deletions
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39
matlab/cherrypick.m
View File

@ -64,6 +64,8 @@ elist = {};
xlist = {};
for i=1:length(eqtags)
rhs = [];
lhs = [];
% Get the original equation.
[LHS, RHS] = get_lhs_and_rhs(eqtags{i}, M_, true);
% Get the parameters, endogenous and exogenous variables in the current equation.
@ -87,12 +89,40 @@ for i=1:length(eqtags)
isvar = regexp(RHS, 'var_expectation\(model_name = (?<name>\w+)\)', 'names');
ispac = regexp(RHS, 'pac_expectation\(model_name = (?<name>\w+)\)', 'names');
if ~isempty(isvar)
expression = write_expectations(eqtags{i}, isvar.name, 'var');
RHS = strrep(RHS, sprintf('var_expectation(model_name = %s)', isvar.name), expression);
rhs = write_expectations(eqtags{i}, isvar.name, 'var');
lhs = sprintf('var_expectation_%s', eqtags{i});
RHS = strrep(RHS, sprintf('var_expectation(model_name = %s)', isvar.name), lhs);
else
if ~isempty(ispac)
expression = write_expectations(eqtags{i}, ispac.name, 'pac');
RHS = strrep(RHS, sprintf('pac_expectation(model_name = %s)', ispac.name), expression);
[rhs, growthneutralitycorrection] = write_expectations(eqtags{i}, ispac.name, 'pac');
lhs = sprintf('pac_expectation_%s', eqtags{i});
RHS = strrep(RHS, sprintf('pac_expectation(model_name = %s)', ispac.name), lhs);
if ~isempty(growthneutralitycorrection)
RHS = sprintf('%s + %s', RHS, growthneutralitycorrection);
end
end
end
% Print equation for unrolled PAC/VAR-expectation and update
% list of parameters and endogenous variables (if any).
if ~isempty(rhs)
[expectation_pnames, expectation_enames] = get_variables_and_parameters_in_equation(lhs, rhs, M_);
pnames = union(pnames, expectation_pnames);
enames = union(enames, expectation_enames);
fprintf(fid, '%s = %s;\n\n', lhs, rhs);
end
% Update pnames, enames and xnames if PAC with growth neutrality correction.
if ~isempty(ispac) && ~isempty(growthneutralitycorrection)
[growthneutralitycorrection_pnames, ...
growthneutralitycorrection_enames, ...
growthneutralitycorrection_xnames] = get_variables_and_parameters_in_equation('', growthneutralitycorrection, M_);
if ~isempty(growthneutralitycorrection_pnames)
pnames = union(pnames, growthneutralitycorrection_pnames);
end
if ~isempty(growthneutralitycorrection_enames)
enames = union(enames, growthneutralitycorrection_enames);
end
if ~isempty(growthneutralitycorrection_xnames)
xnames = union(xnames, growthneutralitycorrection_xnames);
end
end
% Print equation.
@ -102,7 +132,6 @@ for i=1:length(eqtags)
elist = union(elist, enames);
xlist = union(xlist, xnames);
end
fclose(fid);
fid = fopen(sprintf('%s/parameters.inc', outfold), 'w');

7
matlab/get_variables_and_parameters_in_equation.m
View File

@ -39,8 +39,9 @@ rhs_ = strsplit(rhs,{'+','-','*','/','^', ...
'sin(', 'cos(', 'tan(', 'asin(', 'acos(', 'atan(', ...
'min(', 'max(', ...
'normcdf(', 'normpdf(', 'erf(', ...
'diff(', 'adl(', '(', ')'});
'diff(', 'adl(', '(', ')', '\n', '\t', ' '});
% Get the tokens in the lhs member of the equation.
lhs_ = strsplit(lhs, {'+','-','*','/','^', ...
'log(', 'log10(', 'ln(', 'exp(', ...
'sqrt(', 'abs(', 'sign(', ...
@ -76,7 +77,9 @@ if ~isempty(id)
end
% Add lhs variable in first position of enames.
enames = [lhs_; enames];
if ~isempty(lhs_)
enames = [lhs_; enames];
end
% Returns vector of indices for parameters endogenous and exogenous
% variables if required.