Closes #1761 (Fixes for histval_initval_file)
commit
a40f30cada
GPG Key ID:
295C1FE89E17EB3C
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@ -30,29 +30,6 @@ function [endo_histval, exo_histval, exo_det_histval] = histvalf(M, options)
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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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if ~isfield(options, 'nobs') || isempty(options.nobs)
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options.nobs = M.orig_maximum_lag;
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end
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if ~isfield(options, 'first_obs') || isempty(options.first_obs)
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if isfield(options, 'first_simulation_period')
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options.first_obs = options.first_simulation_period ...
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- options.nobs;
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else
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options.first_obs = 1;
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end
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elseif isfield(options, 'first_simulation_period')
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nobs = options.first_simulation_period - opions_.first_obs;
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if options.nobs ~= nobs
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error(sprintf(['HISTVALF: first_obs = %d and', ...
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' first_simulation_period = %d', ...
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' don''t provide for the number of' ...
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' lags in the model.'], ...
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options.first_obs, ...
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options.first_simulation_period))
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end
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end
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series = histvalf_initvalf('HISTVAL', M, options);
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% capture the difference between stochastic and
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% perfect foresight setup
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@ -129,95 +129,143 @@ nobs0 = series.nobs;
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first_obs_ispresent = false;
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last_obs_ispresent = false;
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if isfield(options, 'first_obs')
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i = options.first_obs;
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if i < 1
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error([caller, '_FILE: the first requested period is before available', ...
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' data.'])
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elseif i > nobs0
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error([caller, '_FILE: the first requested period is after available', ...
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' data.'])
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end
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first_obs = periods(i);
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if nobs > 0
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last_obs = first_obs + nobs - 1;
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last_obs_ispresent = true;
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end
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first_obs_ispresent = true;
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elseif isfield(options, 'firstobs')
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first_obs = options.firstobs;
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if nobs > 0
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last_obs = first_obs + nobs - 1;
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last_obs_ispresent = true;
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first_obs = periods(1);
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if isfield(options, 'first_obs') && ~isempty(options.first_obs)
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if options.first_obs < 1
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error([caller, '_FILE: first_obs must be a positive number'])
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elseif options.first_obs > nobs0
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error(sprintf([caller, '_FILE: first_obs = %d is larger than the number', ...
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' of observations in the data file (%d)'], ...
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options.first_obs, nobs0))
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elseif isfield(options, 'first_simulation_period')
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if options.first_obs == options.first_simulation_period ...
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- M.orig_maximum_lag
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first_obs = periods(options.first_obs);
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else
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error(sprintf([caller, '_FILE: first_obs = %d and', ...
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' first_simulation_period = %d have values', ...
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' inconsistent with a maximum lag of %d periods'], ...
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options.first_obs, options.first_simulation_period, ...
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M.orig_maximum_lag))
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end
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elseif isfield(options, 'firstsimulationperiod')
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if periods(options.first_obs) == options.firstsimulationperiod ...
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- M.orig_maximum_lag
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first_obs = periods(options.first_obs);
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else
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error(sprintf([caller, '_FILE: first_obs = %d and', ...
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' first_simulation_period = %s have values', ...
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' inconsistent with a maximum lag of %d periods'], ...
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options.first_obs, options.firstsimulationperiod, ...
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M.orig_maximum_lag))
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end
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else
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first_obs = periods(options.first_obs);
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end
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first_obs_ispresent = true;
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end
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if last_obs_ispresent
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if isfield(options, 'last_obs')
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i = options.last_obs;
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if i < 1
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error([caller, '_FILE: the last requested period is before available', ...
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' data.'])
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elseif i > nobs0
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error([caller, '_FILE: the last requested period is after available', ...
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' data.'])
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if isfield(options, 'firstobs') && ~isempty(options.firstobs)
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if isfield(options, 'first_simulation_period')
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if options.firstobs == periods(options.first_simulation_period) ...
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- M.orig_maximum_lag
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first_obs = options.firstobs;
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else
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error(sprintf([caller, '_FILE: first_obs = %s and', ...
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' first_simulation_period = %d have values', ...
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' inconsistent with a maximum lag of %d periods'], ...
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options.firstobs, options.first_simulation_period, ...
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M.orig_maximum_lag))
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end
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if last_obs ~= periods(i)
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error([caller, '_FILE: FIST_OBS, LAST_OBS and NOBS contain', ...
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' inconsistent information. Use only two of these', ...
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' options.'])
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end
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elseif isfield(options, 'lastobs')
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if last_obs ~= options.lastobs
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error([caller, '_FILE: FIST_OBS, LAST_OBS and NOBS contain', ...
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' inconsistent information. Use only two of these', ...
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' options.'])
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end
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elseif isfield(options, 'firstsimulationperiod')
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if options.firstobs == options.firstsimulationperiod ...
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- M.orig_maximum_lag
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first_obs = options.firstobs;
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else
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error(sprintf([caller, '_FILE: firstobs = %s and', ...
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' first_simulation_period = %s have values', ...
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' inconsistent with a maximum lag of %d periods'], ...
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options.firstobs, options.firstsimulationperiod, ...
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M.orig_maximum_lag))
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end
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else
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first_obs = options.firstobs;
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end
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elseif isfield(options, 'last_obs')
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i = options.last_obs;
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if i < 1
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error([caller, '_FILE: the last requested period is before available', ...
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' data.'])
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elseif i > nobs0
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error([caller, '_FILE: the last requested period is after available', ...
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' data.'])
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end
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last_obs = periods(i);
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if nobs > 0
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first_obs = last_obs - nobs + 1;
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first_obs_ispresent = true;
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end
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last_obs_ispresent = true;
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elseif isfield(options, 'lastobs')
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last_obs = options.lastobs;
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if nobs > 0
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first_obs = last_obs - nobs + 1;
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first_obs_ispresent = true;
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end
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last_obs_ispresent = true;
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first_obs_ispresent = true;
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end
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if ~first_obs_ispresent
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first_obs = periods(1);
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end
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if ~last_obs_ispresent
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if nobs > 0
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last_obs = first_obs + nobs - 1;
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else
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last_obs = periods(end);
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if isfield(options, 'first_simulation_period')
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if options.first_simulation_period < M.orig_maximum_lag
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error(sprintf([caller, '_FILE: first_simulation_period = %d', ...
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'must be larger than the maximum lag (%d)'], ...
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options.first_simulation_period, M.orig_maximum_lag))
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elseif options.first_simulation_period > nobs0
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error(sprintf([caller, '_FILE: first_simulations_period = %d', ...
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' is larger than the number of observations in', ...
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' the data file (%d)'], ...
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options.first_obs, nobs0))
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else
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first_obs = periods(options.first_simulation_period) - ...
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M.orig_maximum_lag;
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end
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first_obs_ispresent = true;
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elseif isfield(options, 'firstsimulationperiod')
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first_obs = options.firstsimulationperiod - ...
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M.orig_maximum_lag;
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first_obs_ispresent = true;
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end
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end
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if first_obs < series.init
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error([caller, '_FILE: the first requested period is before available', ...
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' data.'])
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elseif last_obs > series.last
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error([caller, '_FILE: the last requested period is after available', ...
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' data.'])
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if isfield(options, 'last_obs')
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if options.last_obs > nobs0
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error(sprintf([caller, '_FILE: last_obs = %d is larger than the number', ...
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' of observations in the dataset (%d)'], ...
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options.last_obs, nobs0))
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elseif first_obs_ispresent
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if nobs > 0 && (periods(options.last_obs) ~= first_obs + nobs - 1)
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error([caller, '_FILE: FIST_OBS, LAST_OBS and NOBS contain', ...
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' inconsistent information. Use only two of these', ...
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' options.'])
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else
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last_obs = periods(options.last_obs);
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end
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else
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last_obs = periods(options.last_obs);
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if nobs > 0
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first_obs = last_obs - nobs + 1;
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else
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first_obs = periods(1);
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end
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end
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elseif isfield(options, 'lastobs')
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if options.lastobs > series.last
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error(sprintf([caller, '_FILE: last_obs = %s is larger than the number', ...
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' of observations in the dataset (%s)'], ...
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options.lastobs, series.last))
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elseif first_obs_ispresent
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if nobs > 0 && (options.lastobs ~= first_obs + nobs - 1)
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error([caller, '_FILE: FIST_OBS, LAST_OBS and NOBS contain', ...
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' inconsistent information. Use only two of these', ...
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' options.'])
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else
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last_obs = options.lastobs;
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end
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else
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last_obs = options.last_obs;
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if nobs > 0
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first_obs = last_obs - nobs + 1;
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else
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first_obs = periods(1);
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end
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end
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elseif nobs > 0
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last_obs = first_obs + nobs - 1;
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else
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series = series(first_obs:last_obs);
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last_obs = series.last;
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end
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series = series(first_obs:last_obs);
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@ -1,4 +1,4 @@
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function failed_tests = my_assert(failed_tests, success, test_name)
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if ~success
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failed_tests = cat(1, test_failed, test_name);
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failed_tests = cat(1, failed_tests, test_name);
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end
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@ -24,6 +24,12 @@ model;
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end;
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initval_file(series = ds);
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if oo_.initval_series.dates(1) ~= dates('1Y');
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error("Wrong initial date in oo_.initval_series");
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end;
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if oo_.initval_series{'x'}.data(6) ~= 0.9;
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error("Wrond value for x");
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end;
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perfect_foresight_setup(periods=200);
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perfect_foresight_solver(maxit=100);
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@ -42,6 +48,13 @@ data1(8, 6) = 0.9; //shock to x in period 2
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ds1 = dseries(data1, '1Y', {'c', 'cmav', 'k', 'z_backward', 'z_forward', 'x'});
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initval_file(series = ds1, first_obs = 3, last_obs = 210, nobs = 208);
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if oo_.initval_series.dates(1) ~= dates('3Y');
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error("Wrong initial date in oo_.initval_series");
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end;
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if oo_.initval_series{'x'}.data(6) ~= 0.9;
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error("Wrond value for x");
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end;
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perfect_foresight_setup(periods=200);
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perfect_foresight_solver(maxit=100);
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@ -54,3 +67,67 @@ base_results=load('sim_exo_lead_lag_results.mat');
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if max(max(abs(base_results.oo_.endo_simul(1:5,:) - oo_.endo_simul(1:5,:)))) > 1e-8
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error('Simulation with leads and lags doesn''t match the one with auxiliary variables')
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end
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initval_file(series = ds1, first_obs = 3Y, last_obs = 210Y, nobs = 208);
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if oo_.initval_series.dates(1) ~= dates('3Y');
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error("Wrong initial date in oo_.initval_series");
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end;
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if oo_.initval_series{'x'}.data(6) ~= 0.9;
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error("Wrond value for x");
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end;
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perfect_foresight_setup(periods=200);
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perfect_foresight_solver(maxit=100);
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if ~oo_.deterministic_simulation.status
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error('Perfect foresight simulation failed');
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end
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base_results=load('sim_exo_lead_lag_results.mat');
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if max(max(abs(base_results.oo_.endo_simul(1:5,:) - oo_.endo_simul(1:5,:)))) > 1e-8
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error('Simulation with leads and lags doesn''t match the one with auxiliary variables')
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end
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initval_file(series = ds1, first_simulation_period = 7);
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if oo_.initval_series.dates(1) ~= dates('3Y');
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error("Wrong initial date in oo_.initval_series");
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end;
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if oo_.initval_series{'x'}.data(6) ~= 0.9;
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error("Wrond value for x");
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end;
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perfect_foresight_setup(periods=200);
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perfect_foresight_solver(maxit=100);
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if ~oo_.deterministic_simulation.status
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error('Perfect foresight simulation failed');
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end
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base_results=load('sim_exo_lead_lag_results.mat');
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if max(max(abs(base_results.oo_.endo_simul(1:5,:) - oo_.endo_simul(1:5,:)))) > 1e-8
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error('Simulation with leads and lags doesn''t match the one with auxiliary variables')
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end
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initval_file(series = ds1, first_simulation_period = 7Y);
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if oo_.initval_series.dates(1) ~= dates('3Y');
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error("Wrong initial date in oo_.initval_series");
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end;
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if oo_.initval_series{'x'}.data(6) ~= 0.9;
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error("Wrond value for x");
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end;
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perfect_foresight_setup(periods=200);
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perfect_foresight_solver(maxit=100);
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if ~oo_.deterministic_simulation.status
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error('Perfect foresight simulation failed');
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end
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base_results=load('sim_exo_lead_lag_results.mat');
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if max(max(abs(base_results.oo_.endo_simul(1:5,:) - oo_.endo_simul(1:5,:)))) > 1e-8
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error('Simulation with leads and lags doesn''t match the one with auxiliary variables')
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end
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@ -16,6 +16,7 @@ M.endo_names = {'Variable_1','Variable_2','Variable_3'};
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M.exo_nbr = 1;
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M.exo_names = {'Variable_4'};
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M.exo_det_nbr = 0;
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M.orig_maximum_lag = 2;
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caller = 'INITVAL';
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@ -88,9 +89,9 @@ try
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ds1 = histvalf_initvalf(caller, M, options);
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error('This test didn''t catch the error')
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catch me
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if strcmp(me.message, ['INITVAL_FILE: FIST_OBS, LAST_OBS and NOBS contain', ...
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' inconsistent information. Use only two of these', ...
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' options.']) == false
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if ~strcmp(me.message, strcat('INITVAL_FILE: FIST_OBS, LAST_OBS and NOBS contain', ...
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' inconsistent information. Use only two of these', ...
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' options.'))
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failed_tests = cat(1, failed_tests, 'Wrong nobs error message' );
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end
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end
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@ -98,14 +99,13 @@ num_tests = num_tests + 1;
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options = struct();
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options.series = ds;
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options.first_obs = -1;
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options.first_obs = 0;
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try
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ds1 = histvalf_initvalf(caller, M, options);
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error('This test didn''t catch the error')
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catch me
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if strcmp(me.message, [caller, '_FILE: the first requested period is', ...
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' before available data.']) == false
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if ~strcmp(me.message, strcat(caller, '_FILE: first_obs must be a positive number'))
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failed_tests = cat(1, failed_tests, ...
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'Wrong first period error message');
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end
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@ -120,8 +120,8 @@ try
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ds1 = histvalf_initvalf(caller, M, options);
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error('This test didn''t catch the error')
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catch me
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if strcmp(me.message, [caller, '_FILE: the last requested period is', ...
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' after available data.']) == false
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if ~strcmp(me.message, strcat(caller, '_FILE: last_obs = 11 is larger than the number', ...
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' of observations in the dataset (10)'))
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failed_tests = cat(1, failed_tests, ...
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'Wrong last period error message');
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end
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