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var_expectation: create possibility for h-step-ahead forecast

time-shift
Houtan Bastani 2016-11-18 12:42:02 +01:00 committed by Stéphane Adjemian (Charybdis)
parent 1ae6c9a634
commit 5e53c7909b
8 changed files with 36 additions and 33 deletions
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15
matlab/writeVarExpectationFunction.m
View File

@ -18,9 +18,9 @@ if ~exist('autoregressive_matrices', 'var') || ~exist('mu', 'var')
end
%%
fprintf(fid, 'function y = %s(y)\n', basename);
fprintf(fid, '%%function y = %s(y)\n', basename);
fprintf(fid, '%% Calculates the 1-step-ahead forecast for %s from the VAR model %s\n', dwrt, var_model_name);
fprintf(fid, 'function y = %s(y, h)\n', basename);
fprintf(fid, '%%function y = %s(y, h)\n', basename);
fprintf(fid, '%% Calculates the h-step-ahead forecast for %s from the VAR model %s\n', dwrt, var_model_name);
fprintf(fid, '%%\n%% Created automatically by Dynare\n%%\n\n');
fprintf(fid, '%%%% Construct y\n');
fprintf(fid, 'assert(length(y) == %d);\n', sum(sum(M_.lead_lag_incidence ~= 0)));
@ -55,18 +55,19 @@ end
if M_.var.(var_model_name).order > 1
mu = [mu; zeros(lm*M_.var.(var_model_name).order-lm, 1)];
end
fprintf(fid, '%%%% Calculate 1-step-ahead forecast\n');
fprintf(fid, '%%%% Calculate h-step-ahead forecast\n');
fprintf(fid, 'for i=1:h\n');
fprintf(fid, 'y = [');
fprintf(fid, [repmat(' %f ', 1, size(mu, 2)) ';'], mu');
fprintf(fid, '] + [');
fprintf(fid, [repmat(' %f ', 1, size(A, 2)) ';'], A');
fprintf(fid, ']*y(:);\n');
fprintf(fid, 'end\n');
fprintf(fid, 'y = y(1:%d);\n', lm);
retidx = find(strcmp(dwrt, endo_names) & yidx == 1);
if isempty(retidx)
return;
elseif retidx == 1
assert(~isempty(retidx))
if retidx == 1
fprintf(fid, 'y = y(1);\n');
else
fprintf(fid, 'y = y(%d);\n', sum(yidx(1:retidx-1))+1);

4
preprocessor/DataTree.cc
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@ -491,9 +491,9 @@ DataTree::AddExpectation(int iArg1, expr_t iArg2)
}
expr_t
DataTree::AddVarExpectation(expr_t iArg1, const string &iArg2)
DataTree::AddVarExpectation(expr_t iArg1, const int iArg2, const string &iArg3)
{
return AddUnaryOp(oVarExpectation, iArg1, 0, 0, 0, iArg2);
return AddUnaryOp(oVarExpectation, iArg1, 0, 0, 0, make_pair(iArg2, iArg3));
}
expr_t

14
preprocessor/DataTree.hh
View File

@ -62,7 +62,7 @@ protected:
typedef map<pair<int, int>, VariableNode *> variable_node_map_t;
variable_node_map_t variable_node_map;
//! Pair( Pair(arg1, UnaryOpCode), Pair( Expectation Info Set, Pair(param1_symb_id, param2_symb_id)) ))
typedef map<pair<pair<expr_t, UnaryOpcode>, pair<pair<int, pair<int, int> >, string> >, UnaryOpNode *> unary_op_node_map_t;
typedef map<pair<pair<expr_t, UnaryOpcode>, pair<pair<int, pair<int, int> >, pair<int, string > > >, UnaryOpNode *> unary_op_node_map_t;
unary_op_node_map_t unary_op_node_map;
//! Pair( Pair( Pair(arg1, arg2), order of Power Derivative), opCode)
typedef map<pair<pair<pair<expr_t, expr_t>, int>, BinaryOpcode>, BinaryOpNode *> binary_op_node_map_t;
@ -98,7 +98,7 @@ private:
int node_counter;
inline expr_t AddPossiblyNegativeConstant(double val);
inline expr_t AddUnaryOp(UnaryOpcode op_code, expr_t arg, int arg_exp_info_set = 0, int param1_symb_id = 0, int param2_symb_id = 0, const string &var_expectation_model_name = string());
inline expr_t AddUnaryOp(UnaryOpcode op_code, expr_t arg, int arg_exp_info_set = 0, int param1_symb_id = 0, int param2_symb_id = 0, const pair<const int, const string &> &var_expectation_pair = make_pair(0,string()));
inline expr_t AddBinaryOp(expr_t arg1, BinaryOpcode op_code, expr_t arg2, int powerDerivOrder = 0);
inline expr_t AddTrinaryOp(expr_t arg1, TrinaryOpcode op_code, expr_t arg2, expr_t arg3);
@ -156,8 +156,8 @@ public:
expr_t AddPowerDeriv(expr_t iArg1, expr_t iArg2, int powerDerivOrder);
//! Adds "E(arg1)(arg2)" to model tree
expr_t AddExpectation(int iArg1, expr_t iArg2);
//! Adds "E(arg1)(arg2)" to model tree
expr_t AddVarExpectation(expr_t iArg1, const string &iArg2);
//! Adds "var_expectation(arg1, arg2, model_name=arg3)" to model tree
expr_t AddVarExpectation(expr_t iArg1, const int iArg2, const string &iArg3);
//! Adds "exp(arg)" to model tree
expr_t AddExp(expr_t iArg1);
//! Adds "log(arg)" to model tree
@ -306,10 +306,10 @@ DataTree::AddPossiblyNegativeConstant(double v)
}
inline expr_t
DataTree::AddUnaryOp(UnaryOpcode op_code, expr_t arg, int arg_exp_info_set, int param1_symb_id, int param2_symb_id, const string &var_expectation_model_name)
DataTree::AddUnaryOp(UnaryOpcode op_code, expr_t arg, int arg_exp_info_set, int param1_symb_id, int param2_symb_id, const pair<const int, const string &> &var_expectation_pair)
{
// If the node already exists in tree, share it
unary_op_node_map_t::iterator it = unary_op_node_map.find(make_pair(make_pair(arg, op_code), make_pair(make_pair(arg_exp_info_set, make_pair(param1_symb_id, param2_symb_id)), var_expectation_model_name)));
unary_op_node_map_t::iterator it = unary_op_node_map.find(make_pair(make_pair(arg, op_code), make_pair(make_pair(arg_exp_info_set, make_pair(param1_symb_id, param2_symb_id)), var_expectation_pair)));
if (it != unary_op_node_map.end())
return it->second;
@ -328,7 +328,7 @@ DataTree::AddUnaryOp(UnaryOpcode op_code, expr_t arg, int arg_exp_info_set, int
{
}
}
return new UnaryOpNode(*this, op_code, arg, arg_exp_info_set, param1_symb_id, param2_symb_id, var_expectation_model_name);
return new UnaryOpNode(*this, op_code, arg, arg_exp_info_set, param1_symb_id, param2_symb_id, var_expectation_pair);
}
inline expr_t

4
preprocessor/DynareBison.yy
View File

@ -772,7 +772,9 @@ hand_side : '(' hand_side ')'
| EXPECTATION '(' signed_integer ')''(' hand_side ')'
{ $$ = driver.add_expectation($3, $6); }
| VAR_EXPECTATION '(' symbol COMMA MODEL_NAME EQUAL NAME ')'
{ $$ = driver.add_var_expectation($3, $7); }
{ $$ = driver.add_var_expectation($3, new string("1"), $7); }
| VAR_EXPECTATION '(' symbol COMMA INT_NUMBER COMMA MODEL_NAME EQUAL NAME ')'
{ $$ = driver.add_var_expectation($3, $5, $9); }
| MINUS hand_side %prec UMINUS
{ $$ = driver.add_uminus($2); }
| PLUS hand_side

20
preprocessor/ExprNode.cc
View File

@ -1518,20 +1518,21 @@ VariableNode::isInStaticForm() const
return lag == 0;
}
UnaryOpNode::UnaryOpNode(DataTree &datatree_arg, UnaryOpcode op_code_arg, const expr_t arg_arg, int expectation_information_set_arg, int param1_symb_id_arg, int param2_symb_id_arg, const string &var_expectation_model_name_arg) :
UnaryOpNode::UnaryOpNode(DataTree &datatree_arg, UnaryOpcode op_code_arg, const expr_t arg_arg, int expectation_information_set_arg, int param1_symb_id_arg, int param2_symb_id_arg, const pair<const int, const string &> &var_expectation_arg) :
ExprNode(datatree_arg),
arg(arg_arg),
expectation_information_set(expectation_information_set_arg),
param1_symb_id(param1_symb_id_arg),
param2_symb_id(param2_symb_id_arg),
var_expectation_model_name(var_expectation_model_name_arg),
var_expectation_horizon(var_expectation_arg.first),
var_expectation_model_name(var_expectation_arg.second),
op_code(op_code_arg)
{
// Add myself to the unary op map
datatree.unary_op_node_map[make_pair(make_pair(arg, op_code),
make_pair(make_pair(expectation_information_set,
make_pair(param1_symb_id, param2_symb_id)),
var_expectation_model_name))] = this;
var_expectation_arg))] = this;
}
void
@ -1688,11 +1689,8 @@ void
UnaryOpNode::writeVarExpectationFunction(ostream &output, const string &var_model_name) const
{
if (op_code == oVarExpectation && var_model_name == var_expectation_model_name)
{
VariableNode *varg = dynamic_cast<VariableNode *>(arg);
output << "writeVarExpectationFunction('" << var_expectation_model_name << "', '"
<< datatree.symbol_table.getName(varg->symb_id) << "');" << endl;
}
output << "writeVarExpectationFunction('" << var_expectation_model_name << "', '"
<< datatree.symbol_table.getName((dynamic_cast<VariableNode *>(arg))->symb_id) << "');" << endl;
}
expr_t
@ -2047,10 +2045,10 @@ UnaryOpNode::writeOutput(ostream &output, ExprNodeOutputType output_type,
if (IS_LATEX(output_type))
output << "VAR" << LEFT_PAR(output_type)
<< datatree.symbol_table.getTeXName(varg->symb_id)
<< "_{t+1}" << RIGHT_PAR(output_type);
<< "_{t+" << var_expectation_horizon << "}" << RIGHT_PAR(output_type);
else
output << "var_forecast_" << var_expectation_model_name << "_"
<< datatree.symbol_table.getName(varg->symb_id) << "(y)";
<< datatree.symbol_table.getName(varg->symb_id) << "(y, " << var_expectation_horizon << ")";
return;
}
@ -2401,7 +2399,7 @@ UnaryOpNode::buildSimilarUnaryOpNode(expr_t alt_arg, DataTree &alt_datatree) con
case oErf:
return alt_datatree.AddErf(alt_arg);
case oVarExpectation:
return alt_datatree.AddVarExpectation(alt_arg, var_expectation_model_name);
return alt_datatree.AddVarExpectation(alt_arg, var_expectation_horizon, var_expectation_model_name);
}
// Suppress GCC warning
exit(EXIT_FAILURE);

3
preprocessor/ExprNode.hh
View File

@ -594,6 +594,7 @@ private:
//! Only used for oSteadyStateParamDeriv and oSteadyStateParam2ndDeriv
const int param1_symb_id, param2_symb_id;
//! Only used for oVarExpectation
const int var_expectation_horizon;
const string var_expectation_model_name;
const UnaryOpcode op_code;
virtual expr_t computeDerivative(int deriv_id);
@ -603,7 +604,7 @@ private:
//! Returns the derivative of this node if darg is the derivative of the argument
expr_t composeDerivatives(expr_t darg, int deriv_id);
public:
UnaryOpNode(DataTree &datatree_arg, UnaryOpcode op_code_arg, const expr_t arg_arg, int expectation_information_set_arg, int param1_symb_id_arg, int param2_symb_id_arg, const string &var_expectation_model_name_arg);
UnaryOpNode(DataTree &datatree_arg, UnaryOpcode op_code_arg, const expr_t arg_arg, int expectation_information_set_arg, int param1_symb_id_arg, int param2_symb_id_arg, const pair<const int, const string &> &var_expectation_arg);
virtual void prepareForDerivation();
virtual void computeTemporaryTerms(map<expr_t, pair<int, NodeTreeReference> > &reference_count,
map<NodeTreeReference, temporary_terms_t> &temp_terms_map,

5
preprocessor/ParsingDriver.cc
View File

@ -2396,10 +2396,11 @@ ParsingDriver::add_expectation(string *arg1, expr_t arg2)
}
expr_t
ParsingDriver::add_var_expectation(string *arg1, string *arg2)
ParsingDriver::add_var_expectation(string *arg1, string *arg2, string *arg3)
{
check_symbol_is_endogenous(arg1);
expr_t varExpectationNode = data_tree->AddVarExpectation(add_model_variable(arg1), *arg2);
expr_t varExpectationNode = data_tree->AddVarExpectation(add_model_variable(arg1), stoi(*arg2), *arg3);
delete arg2;
return varExpectationNode;
}

4
preprocessor/ParsingDriver.hh
View File

@ -641,8 +641,8 @@ public:
expr_t add_power(expr_t arg1, expr_t arg2);
//! Writes token "E(arg1)(arg2)" to model tree
expr_t add_expectation(string *arg1, expr_t arg2);
//! Writes token "VAR_EXPECTATION(arg1,arg2)" to model tree
expr_t add_var_expectation(string *arg1, string *arg2);
//! Writes token "VAR_EXPECTATION(arg1, arg2, arg3)" to model tree
expr_t add_var_expectation(string *arg1, string *arg2, string *arg3);
//! Writes token "exp(arg1)" to model tree
expr_t add_exp(expr_t arg1);
//! Writes token "log(arg1)" to model tree