Various new model editing features
– multiple “model” and “estimated_params” block are supported – new “model_options” statement to set model options in a global fashion – new “model_remove” command to remove equations – new “model_replace” block to replace equations – new “var_remove” command to remove variables (or parameters) – new “estimated_params_remove” block to remove estimated parameterspac-components
Sébastien Villemot
parent
f8fc786459
commit
21a8a5794a
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@ -332,6 +332,11 @@ for declaring variables and parameters are described below.
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Here, in the whole model file, ``alpha`` and ``beta`` will be
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endogenous and ``y`` and ``w`` will be parameters.
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.. command:: var_remove VAR_NAME | PARAM_NAME...;
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Removes the listed variables (or parameters) from the model. Removing a
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variable that has already been used in a model equation or elsewhere will
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lead to an error.
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.. command:: predetermined_variables VAR_NAME...;
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@ -972,6 +977,11 @@ The model is declared inside a ``model`` block:
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More information on tags is available at `<https://git.dynare.org/Dynare/dynare/-/wikis/Equations-Tags>`__.
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There can be several ``model`` blocks, in which case they are simply
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concatenated. The set of effective options is also the concatenation of the
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options declared in all the blocks, but in that case you may rather want to
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use the :comm:`model_options` command.
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*Options*
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.. option:: linear
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@ -1131,6 +1141,82 @@ The model is declared inside a ``model`` block:
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y = d*y(-1)+e_y;
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end;
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.. command:: model_options (OPTIONS...);
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This command accepts the same options as the :bck:`model` block.
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The purpose of this statement is to specify the options that apply to the
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whole model, when there are several ``model`` blocks, so as to restore the
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symmetry between those blocks (since otherwise one ``model`` block would
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typically bear the options, while the other ones would typically have no
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option).
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.. command:: model_remove (TAGS...);
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This command removes equations that appeared in a previous :bck:`model`
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block.
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The equations must be specified by a list of tag values, separated by
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commas. Each element of the list is either a simple quoted string, in which
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case it designates an equation by its ``name`` tag; or a tag name (without
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quotes), followed by an equal sign, then by the tag value (within quotes).
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Each removed equation must either have an ``endogenous`` tag, or have a
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left hand side containing a single endogenous variable. The corresponding
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endogenous variable will be either turned into an exogenous (if it is still
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used in somewhere in the model at that point), otherwise it will be removed
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from the model.
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*Example*
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::
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var c k dummy1 dummy2;
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model;
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c + k - aa*x*k(-1)^alph - (1-delt)*k(-1) + dummy1;
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c^(-gam) - (1+bet)^(-1)*(aa*alph*x(+1)*k^(alph-1) + 1 - delt)*c(+1)^(-gam);
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[ name = 'eq:dummy1', endogenous = 'dummy1' ]
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c*k = dummy1;
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[ foo = 'eq:dummy2' ]
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log(dummy2) = k + 2;
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end;
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model_remove('eq:dummy1', foo = 'eq:dummy2');
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In the above example, the last two equations will be removed,
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``dummy1`` will be turned into an exogenous, and ``dummy2`` will be
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removed.
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.. block:: model_replace (TAGS...);
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This block replaces several equations in the model. It removes the
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equations given by the tags list (with the same syntax as in
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:comm:`model_remove`), and it adds equations given within the block (with
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the same syntax as :bck:`model`).
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No variable is removed or has its type changed in the process.
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*Example*
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::
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var c k;
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model;
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c + k - aa*x*k(-1)^alph - (1-delt)*k(-1);
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[ name = 'dummy' ]
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c*k = 1;
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end;
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model_replace('dummy');
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c^(-gam) = (1+bet)^(-1)*(aa*alph*x(+1)*k^(alph-1) + 1 - delt)*c(+1)^(-gam);
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end;
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In the above example, the dummy equation is replaced by a proper
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Euler equation.
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Dynare has the ability to output the original list of model equations
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to a LaTeX file, using the ``write_latex_original_model``
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@ -5381,6 +5467,9 @@ block decomposition of the model (see :opt:`block`).
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end;
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It is possible to have several ``estimated_params`` blocks, in which case
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they will be concatenated.
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.. block:: estimated_params_init ;
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estimated_params_init (OPTIONS...);
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@ -5420,6 +5509,14 @@ block decomposition of the model (see :opt:`block`).
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See :bck:`estimated_params`, for the meaning and syntax of the
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various components.
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.. block:: estimated_params_remove ;
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|br| This block partially undoes the effect of a previous
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:bck:`estimated_params` block, by removing some parameters from the estimation.
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Each line has the following syntax::
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stderr VARIABLE_NAME | corr VARIABLE_NAME_1, VARIABLE_NAME_2 | PARAMETER_NAME;
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.. _estim-comm:
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@ -1 +1 @@
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Subproject commit a73b0d911a6ac6dc4628aca1cd614732d639f555
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Subproject commit 5ffbc5bad31c306f561d673cde36d460cb5906c1
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@ -79,7 +79,7 @@
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"smoother2histval" "perfect_foresight_setup" "perfect_foresight_solver"
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"perfect_foresight_with_expectation_errors_setup"
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"perfect_foresight_with_expectation_errors_solver"
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"compilation_setup"
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"compilation_setup" "model_remove" "model_options" "var_remove"
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"std" "corr" "prior_function" "posterior_function" "end")
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"Dynare statement keywords.")
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@ -98,11 +98,11 @@
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(defvar dynare-blocks
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'("model" "steady_state_model" "initval" "endval" "histval" "shocks" "heteroskedastic_shocks"
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"shock_groups" "init2shocks" "mshocks" "estimated_params" "epilogue" "priors"
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"estimated_params_init" "estimated_params_bounds" "osr_params_bounds"
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"observation_trends" "deterministic_trends" "optim_weights" "homotopy_setup"
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"conditional_forecast_paths" "svar_identification" "moment_calibration"
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"irf_calibration" "ramsey_constraints" "generate_irfs"
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"matched_moments" "occbin_constraints" "verbatim")
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"estimated_params_init" "estimated_params_bounds" "estimated_params_remove"
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"osr_params_bounds" "observation_trends" "deterministic_trends" "optim_weights"
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"homotopy_setup" "conditional_forecast_paths" "svar_identification"
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"moment_calibration" "irf_calibration" "ramsey_constraints" "generate_irfs"
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"matched_moments" "occbin_constraints" "model_replace" "verbatim")
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"Dynare block keywords."))
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;; Mathematical functions and operators used in model equations (see "hand_side" in Bison file)
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@ -49,6 +49,7 @@ MODFILES = \
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estimation/fs2000_with_weibull_prior.mod \
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estimation/fs2000_initialize_from_calib.mod \
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estimation/fs2000_estimated_params_init.mod \
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estimation/fs2000_estimated_params_remove.mod \
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estimation/fs2000_calibrated_covariance.mod \
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estimation/fs2000_model_comparison.mod \
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estimation/fs2000_fast.mod \
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@ -93,6 +94,7 @@ MODFILES = \
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ramst_static_tag.mod \
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ramst_static_tag_block.mod \
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ramst_mshocks.mod \
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ramst_model_edit.mod \
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on-the-fly/ex1.mod \
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on-the-fly/ex2.mod \
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on-the-fly/ex3.mod \
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@ -904,6 +906,9 @@ particle/local_state_space_iteration_k_test.o.trs: particle/first_spec.o.trs
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pruning/AS_pruned_state_space_red_shock.m.trs: pruning/AnSchorfheide_pruned_state_space.m.trs
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pruning/AS_pruned_state_space_red_shock.o.trs: pruning/AnSchorfheide_pruned_state_space.o.trs
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ramst_model_edit.m.trs: ramst.m.trs
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ramst_model_edit.o.trs: ramst.o.trs
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observation_trends_and_prefiltering/MCMC: m/observation_trends_and_prefiltering/MCMC o/observation_trends_and_prefiltering/MCMC
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m/observation_trends_and_prefiltering/MCMC: $(patsubst %.mod, %.m.trs, $(filter observation_trends_and_prefiltering/MCMC/%.mod, $(MODFILES)))
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o/observation_trends_and_prefiltering/MCMC: $(patsubst %.mod, %.o.trs, $(filter observation_trends_and_prefiltering/MCMC/%.mod, $(MODFILES)))
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@ -0,0 +1,103 @@
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// Tests multiple estimated_params blocks, and the estimated_params_remove block
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var m P c e W R k d n l gy_obs gp_obs y dA;
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varexo e_a e_m;
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parameters alp bet gam mst rho psi del;
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alp = 0.33;
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bet = 0.99;
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gam = 0.003;
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mst = 1.011;
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rho = 0.7;
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psi = 0.787;
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del = 0.02;
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model;
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dA = exp(gam+e_a);
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log(m) = (1-rho)*log(mst) + rho*log(m(-1))+e_m;
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-P/(c(+1)*P(+1)*m)+bet*P(+1)*(alp*exp(-alp*(gam+log(e(+1))))*k^(alp-1)*n(+1)^(1-alp)+(1-del)*exp(-(gam+log(e(+1)))))/(c(+2)*P(+2)*m(+1))=0;
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W = l/n;
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-(psi/(1-psi))*(c*P/(1-n))+l/n = 0;
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R = P*(1-alp)*exp(-alp*(gam+e_a))*k(-1)^alp*n^(-alp)/W;
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1/(c*P)-bet*P*(1-alp)*exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)/(m*l*c(+1)*P(+1)) = 0;
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c+k = exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)+(1-del)*exp(-(gam+e_a))*k(-1);
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P*c = m;
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m-1+d = l;
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e = exp(e_a);
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y = k(-1)^alp*n^(1-alp)*exp(-alp*(gam+e_a));
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gy_obs = dA*y/y(-1);
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gp_obs = (P/P(-1))*m(-1)/dA;
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end;
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steady_state_model;
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dA = exp(gam);
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gst = 1/dA;
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m = mst;
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khst = ( (1-gst*bet*(1-del)) / (alp*gst^alp*bet) )^(1/(alp-1));
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xist = ( ((khst*gst)^alp - (1-gst*(1-del))*khst)/mst )^(-1);
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nust = psi*mst^2/( (1-alp)*(1-psi)*bet*gst^alp*khst^alp );
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n = xist/(nust+xist);
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P = xist + nust;
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k = khst*n;
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l = psi*mst*n/( (1-psi)*(1-n) );
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c = mst/P;
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d = l - mst + 1;
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y = k^alp*n^(1-alp)*gst^alp;
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R = mst/bet;
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W = l/n;
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ist = y-c;
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q = 1 - d;
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e = 1;
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gp_obs = m/dA;
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gy_obs = dA;
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end;
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shocks;
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var e_a; stderr 0.014;
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var e_m; stderr 0.005;
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end;
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steady;
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check;
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estimated_params;
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alp, beta_pdf, 0.356, 0.02;
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bet, beta_pdf, 0.993, 0.002;
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gam, normal_pdf, 0.0085, 0.003;
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mst, normal_pdf, 1.0002, 0.007;
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stderr e, normal_pdf, 0, 1;
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corr e, m, normal_pdf, 0, 1;
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corr e_a, e_m, normal_pdf, 0, 1;
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end;
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estimated_params_remove;
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stderr e;
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corr e, m;
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corr e_a, e_m;
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end;
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estimated_params;
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rho, beta_pdf, 0.129, 0.223;
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psi, beta_pdf, 0.65, 0.05;
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del, beta_pdf, 0.01, 0.005;
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stderr e_a, inv_gamma_pdf, 0.035449, inf;
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stderr e_m, inv_gamma_pdf, 0.008862, inf;
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end;
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varobs gp_obs gy_obs;
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options_.solve_tolf = 1e-12;
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estimation(order=1,datafile=fsdat_simul,nobs=192,loglinear,mh_replic=0) y m;
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if size(estim_params_.var_exo, 1) ~= 2 || size(estim_params_.param_vals, 1) ~= 7 ...
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|| size(estim_params_.var_endo, 1) ~= 0 || size(estim_params_.corrn, 1) ~= 0 ...
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|| size(estim_params_.corrx, 1) ~= 0
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error('Error in multiple estimated_params or in estimated_params_remove')
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end
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@ -0,0 +1,62 @@
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/* Test for multiple model blocks, model_remove, model_options and var_remove commands,
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and model_replace block.
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It should give the same results as ramst.mod. */
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var c k;
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varexo x;
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var dummy1 dummy2 dummy3;
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parameters alph gam delt bet aa;
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alph=0.5;
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gam=0.5;
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delt=0.02;
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bet=0.05;
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aa=0.5;
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model;
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c + k - aa*x*k(-1)^alph - (1-delt)*k(-1);
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end;
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model;
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[ name = 'eq:dummy1', endogenous = 'dummy1' ]
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dummy1 = c + 1;
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[ foo = 'eq:dummy2' ] // Since dummy2 is alone on the LHS, it is considered as the variable set by this equation
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log(dummy2) = k + 2;
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[ name = 'eq:dummy3' ]
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c(+1) = c;
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end;
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model_options(block);
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model_remove('eq:dummy1', foo = 'eq:dummy2');
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model_replace('eq:dummy3');
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c^(-gam) - (1+bet)^(-1)*(aa*alph*x(+1)*k^(alph-1) + 1 - delt)*c(+1)^(-gam);
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end;
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var_remove dummy3;
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initval;
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x = 1;
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k = ((delt+bet)/(1.0*aa*alph))^(1/(alph-1));
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c = aa*k^alph-delt*k;
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end;
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steady;
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check;
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shocks;
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var x;
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periods 1;
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values 1.2;
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end;
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perfect_foresight_setup(periods=200);
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perfect_foresight_solver;
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S = load('ramst/Output/ramst_results.mat');
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if any(size(oo_.endo_simul) ~= size(S.oo_.endo_simul)) || any(any(abs(oo_.endo_simul - S.oo_.endo_simul) > 1e-10))
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error('Model editing failure')
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end
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Reference in New Issue