VAR(p) forecast first draft, preprocessor for var command and backend for forecast

matlab/var_forecast.m

@@ -0,0 +1,113 @@
+function y = var_forecast(M_, options_, name, h, y, fcv)
+
+% name : filename
+% M_
+% options_
+% name        string    name of var model, provided in var statement
+% h           int       number of steps-ahead forecast
+% y           matrix    rows: realizations of endogenous variables in declaration order; cols: realizations in t, t-1, t-2 ... order of VAR
+% fcv         string    name of variable we want forecast for
+
+% returns the h-step-ahead VAR(order) forecast for fcv
+
+% example calling:
+% In Matlab:
+% >> coefficients{1} = [0.5000    0.1000; 0.4000    0.5000];
+% >> coefficients{2} = [0         0     ; 0.2500    0     ];
+% >> mu              = [0.0200; 0.0300];
+% >> save('m1.mat', 'mu','coefficients');
+
+% In .mod file:
+% var a b c d;
+% ...
+% var(model_name=m1,order=2) a c;
+
+% From Matlab backend:
+% >> yt   = [0.0600;    33.0000;    0.0300;    22.0000];
+% >> ytm1 = [0.0550;    11.0000;    0.0300;    88.0000];
+% >> var_forecast(M_, options_, 'm1', 1, [yt ytm1])
+% >> var_forecast(M_, options_, 'm1', 2, [yt ytm1], ['a'])
+
+%% Find var in options_
+order = '';
+var_list = '';
+for i=1:length(options_.var)
+    if strcmp(options_.var(i).name, name)
+        order = options_.var(i).order;
+        var_list = options_.var(i).var_list_;
+        break;
+    end
+end
+
+if isempty(order)
+    error([name ' not found in var specification declared in .mod file']);
+end
+
+%% construct y
+assert(length(y) == length(M_.endo_names));
+endo_names = cellstr(M_.endo_names);
+yidx = zeros(size(endo_names));
+for i=1:length(var_list)
+    yidx = yidx | strcmp(strtrim(var_list(i,:)), endo_names);
+end
+y = y(yidx,:);
+
+if nargin == 6
+    fvidx = strcmp(fcv, endo_names);
+end
+
+%% load .mat file and rewrite as VAR(1)
+load(name, 'coefficients', 'mu');
+if ~exist('coefficients', 'var') || ~exist('mu', 'var')
+    error([name ' : must contain the variables coefficients and mu']);
+end
+assert(h >= 1);
+
+lm = length(mu);
+lc = length(coefficients);
+assert(lc == order);
+if size(y,1) ~= lm || size(y,2) ~= order
+    error('The dimensions of y are not correct. It should be an nvars x order matrix');
+end
+
+A = zeros(lm*lc, lm*lc);
+for i=1:lc
+    if any([lm lm] ~= size(coefficients{i}))
+        error('The dimensions of mu and coefficients are off');
+    end
+    col = lm*(i-1)+1:lm*i;
+    A(1:lm, col) = coefficients{i};
+    if i ~= lc
+        A(lm*i+1:lm*i+lm, col) = eye(lm, lm);
+    end
+end
+
+mu = [mu; zeros(lm,1)];
+
+%% Calculate Forecast
+%  New Introduction to Multiple Time Series Analysis
+%  Helmut Lutkepohl
+%  page 34
+%
+% An = eye(size(A));
+% for i=1:h-1
+%     An = An + A^i;
+% end
+% y = An*mu + A^h*y(:);
+
+for i=1:h
+    y = mu + A*y(:);
+end
+y = y(1:lm);
+
+if nargin == 6
+    retidx = find(fvidx & yidx == 1);
+    if isempty(retidx)
+        return;
+    elseif retidx == 1
+        y = y(1);
+    else
+        y = y(sum(yidx(1:retidx-1))+1);
+    end
+end
+end

preprocessor/ComputingTasks.cc

@@ -171,6 +171,50 @@ PriorPosteriorFunctionStatement::writeOutput(ostream &output, const string &base
          << "'" << type << "');" << endl;
 }
 
+VARStatement::VARStatement(const SymbolList &symbol_list_arg,
+                           const OptionsList &options_list_arg,
+                           const SymbolTable &symbol_table_arg) :
+  symbol_list(symbol_list_arg),
+  options_list(options_list_arg),
+  symbol_table(symbol_table_arg)
+{
+}
+
+void
+VARStatement::checkPass(ModFileStructure &mod_file_struct, WarningConsolidation &warnings)
+{
+  mod_file_struct.var_model_present = true;
+  vector<string> symbols = symbol_list.get_symbols();
+  for (vector<string>::const_iterator it = symbols.begin(); it != symbols.end(); it++)
+    if (symbol_table.getType(*it) != eEndogenous)
+      {
+        cerr << "ERROR: You can only run VARs on endogenous variables." << endl;
+        exit(EXIT_FAILURE);
+      }
+
+  OptionsList::num_options_t::const_iterator it = options_list.num_options.find("var(varidx).order");
+  if (it == options_list.num_options.end())
+    {
+      cerr << "ERROR: You must provide the order option to the var command." << endl;
+      exit(EXIT_FAILURE);
+    }
+
+  OptionsList::string_options_t::const_iterator it1 = options_list.string_options.find("var(varidx).name");
+  if (it1 == options_list.string_options.end())
+    {
+      cerr << "ERROR: You must provide the model_name option to the var command." << endl;
+      exit(EXIT_FAILURE);
+    }
+}
+
+void
+VARStatement::writeOutput(ostream &output, const string &basename, bool minimal_workspace) const
+{
+  options_list.writeOutput(output);
+  symbol_list.writeOutput("options_.var(varidx).var_list_", output);
+  output << "varidx = varidx + 1;" << endl;
+}
+
 StochSimulStatement::StochSimulStatement(const SymbolList &symbol_list_arg,
                                          const OptionsList &options_list_arg) :
   symbol_list(symbol_list_arg),

preprocessor/ComputingTasks.hh

@@ -110,6 +110,20 @@ public:
   virtual void writeOutput(ostream &output, const string &basename, bool minimal_workspace) const;
 };
 
+class VARStatement : public Statement
+{
+private:
+  const SymbolList symbol_list;
+  const OptionsList options_list;
+    const SymbolTable &symbol_table;
+public:
+  VARStatement(const SymbolList &symbol_list_arg,
+               const OptionsList &options_list_arg,
+               const SymbolTable &symbol_table_arg);
+  virtual void checkPass(ModFileStructure &mod_file_struct, WarningConsolidation &warnings);
+  virtual void writeOutput(ostream &output, const string &basename, bool minimal_workspace) const;
+};
+
 class ForecastStatement : public Statement
 {
 private:

preprocessor/DynareBison.yy

@@ -115,7 +115,7 @@ class ParsingDriver;
 %token <string_val> NAME
 %token USE_PENALIZED_OBJECTIVE_FOR_HESSIAN INIT_STATE
 %token NAN_CONSTANT NO_STATIC NOBS NOCONSTANT NODISPLAY NOCORR NODIAGNOSTIC NOFUNCTIONS NO_HOMOTOPY
-%token NOGRAPH POSTERIOR_NOGRAPH POSTERIOR_GRAPH NOMOMENTS NOPRINT NORMAL_PDF SAVE_DRAWS
+%token NOGRAPH POSTERIOR_NOGRAPH POSTERIOR_GRAPH NOMOMENTS NOPRINT NORMAL_PDF SAVE_DRAWS MODEL_NAME
 %token OBSERVATION_TRENDS OPTIM OPTIM_WEIGHTS ORDER OSR OSR_PARAMS MAX_DIM_COVA_GROUP ADVANCED OUTFILE OUTVARS OVERWRITE
 %token PARALLEL_LOCAL_FILES PARAMETERS PARAMETER_SET PARTIAL_INFORMATION PERIODS PERIOD PLANNER_OBJECTIVE PLOT_CONDITIONAL_FORECAST PLOT_PRIORS PREFILTER PRESAMPLE
 %token PERFECT_FORESIGHT_SETUP PERFECT_FORESIGHT_SOLVER NO_POSTERIOR_KERNEL_DENSITY FUNCTION
@@ -131,7 +131,7 @@ class ParsingDriver;
 %token UNIFORM_PDF UNIT_ROOT_VARS USE_DLL USEAUTOCORR GSA_SAMPLE_FILE USE_UNIVARIATE_FILTERS_IF_SINGULARITY_IS_DETECTED
 %token VALUES VAR VAREXO VAREXO_DET VAROBS VAREXOBS PREDETERMINED_VARIABLES
 %token WRITE_LATEX_DYNAMIC_MODEL WRITE_LATEX_STATIC_MODEL WRITE_LATEX_ORIGINAL_MODEL
-%token XLS_SHEET XLS_RANGE LMMCP OCCBIN BANDPASS_FILTER COLORMAP
+%token XLS_SHEET XLS_RANGE LMMCP OCCBIN BANDPASS_FILTER COLORMAP VAR_MODEL
 %left COMMA
 %left EQUAL_EQUAL EXCLAMATION_EQUAL
 %left LESS GREATER LESS_EQUAL GREATER_EQUAL
@@ -224,6 +224,7 @@ statement : parameters
           | estimated_params_init
           | set_time
           | data
+          | var_model
           | prior
           | prior_eq
           | subsamples
@@ -346,6 +347,16 @@ var : VAR var_list ';'
       { driver.end_nonstationary_var(true, $6); }
     ;
 
+var_model : VAR '(' var_model_options_list ')' symbol_list ';' { driver.var_model(); } ;
+
+var_model_options_list : var_model_options_list COMMA var_model_options
+                         | var_model_options
+                         ;
+
+var_model_options : o_var_name
+                  | o_var_order
+                  ;
+
 nonstationary_var_list : nonstationary_var_list symbol
                          { driver.declare_nonstationary_var($2); }
                        | nonstationary_var_list COMMA symbol
@@ -2816,6 +2827,8 @@ o_simul_seed : SIMUL_SEED EQUAL INT_NUMBER { driver.error("'simul_seed' option i
 o_qz_criterium : QZ_CRITERIUM EQUAL non_negative_number { driver.option_num("qz_criterium", $3); };
 o_qz_zero_threshold : QZ_ZERO_THRESHOLD EQUAL non_negative_number { driver.option_num("qz_zero_threshold", $3); };
 o_file : FILE EQUAL filename { driver.option_str("file", $3); };
+o_var_name : MODEL_NAME EQUAL symbol { driver.option_str("var(varidx).name", $3); };
+o_var_order : ORDER EQUAL INT_NUMBER { driver.option_num("var(varidx).order", $3); };
 o_series : SERIES EQUAL symbol { driver.option_str("series", $3); };
 o_datafile : DATAFILE EQUAL filename { driver.option_str("datafile", $3); };
 o_dirname : DIRNAME EQUAL filename { driver.option_str("dirname", $3); };

preprocessor/DynareFlex.ll

@@ -136,6 +136,7 @@ DATE -?[0-9]+([YyAa]|[Mm]([1-9]|1[0-2])|[Qq][1-4]|[Ww]([1-9]{1}|[1-4][0-9]|5[0-2
 <INITIAL>check {BEGIN DYNARE_STATEMENT; return token::CHECK;}
 <INITIAL>simul {BEGIN DYNARE_STATEMENT; return token::SIMUL;}
 <INITIAL>stoch_simul {BEGIN DYNARE_STATEMENT; return token::STOCH_SIMUL;}
+<INITIAL>var_model {BEGIN DYNARE_STATEMENT; return token::VAR_MODEL;}
 <INITIAL>dsample {BEGIN DYNARE_STATEMENT; return token::DSAMPLE;}
 <INITIAL>Sigma_e {BEGIN DYNARE_STATEMENT; sigma_e = 1; return token::SIGMA_E;}
 <INITIAL>planner_objective {BEGIN DYNARE_STATEMENT; return token::PLANNER_OBJECTIVE;}
@@ -331,6 +332,7 @@ DATE -?[0-9]+([YyAa]|[Mm]([1-9]|1[0-2])|[Qq][1-4]|[Ww]([1-9]{1}|[1-4][0-9]|5[0-2
 <DYNARE_STATEMENT>nocorr	{return token::NOCORR;}
 <DYNARE_STATEMENT>optim		{return token::OPTIM;}
 <DYNARE_STATEMENT>periods	{return token::PERIODS;}
+<DYNARE_STATEMENT>model_name	{return token::MODEL_NAME;}
 <DYNARE_STATEMENT>endogenous_terminal_period 	{return token::ENDOGENOUS_TERMINAL_PERIOD;}
 <DYNARE_STATEMENT>sub_draws	{return token::SUB_DRAWS;}
 <DYNARE_STATEMENT>minimal_solving_periods {return token::MINIMAL_SOLVING_PERIODS;}

preprocessor/ModFile.cc

@@ -808,6 +808,9 @@ ModFile::writeOutputFiles(const string &basename, bool clear_all, bool clear_glo
         static_model.writeOutput(mOutputFile, block);
     }
 
+  if (mod_file_struct.var_model_present)
+    mOutputFile << "varidx = 1;" << endl;
+
   // Print statements
   for (vector<Statement *>::const_iterator it = statements.begin();
        it != statements.end(); it++)

preprocessor/ParsingDriver.cc

@@ -1279,6 +1279,14 @@ ParsingDriver::stoch_simul()
   options_list.clear();
 }
 
+void
+ParsingDriver::var_model()
+{
+  mod_file->addStatement(new VARStatement(symbol_list, options_list, mod_file->symbol_table));
+  symbol_list.clear();
+  options_list.clear();
+}
+
 void
 ParsingDriver::simul()
 {

preprocessor/ParsingDriver.hh

@@ -418,6 +418,8 @@ public:
   void rplot();
   //! Writes a stock_simul command
   void stoch_simul();
+  //! Writes a var (vector autoregression) command
+  void var_model();
   //! Writes a simul command
   void simul();
   //! Writes check command

preprocessor/Statement.hh

@@ -1,5 +1,5 @@
 /*
- * Copyright (C) 2006-2015 Dynare Team
+ * Copyright (C) 2006-2016 Dynare Team
  *
  * This file is part of Dynare.
  *
@@ -122,7 +122,8 @@ public:
   int orig_eq_nbr;
    //! Stores the number of equations added to the Ramsey model
   int ramsey_eq_nbr;
-
+  //! Whether a VAR statement is present
+  bool var_model_present;
 };
 
 class Statement