Preprocessor and ref. manual: added 'pruning' option (closes #104)
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@ -2159,6 +2159,10 @@ steady;
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<term><option>conditional_variance_decomposition</option> = [<replaceable>INTEGER1</replaceable> <replaceable>INTEGER2</replaceable> ...]</term>
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<listitem><para>Computes a conditional variance decomposition for the specified period(s). Conditional variances are given by var(y<subscript>t+k</subscript>|t). For period 1, the conditional variance decomposition provides the decomposition of the effects of shocks upon impact.</para></listitem>
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</varlistentry>
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<varlistentry>
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<term><option>pruning</option></term>
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<listitem><para>Discard higher order terms when iteratively computing simulations of the solution, as in <xref linkend="kim-kim-schaumburg-sims_2008"/>.</para></listitem>
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</varlistentry>
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</variablelist>
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</refsect1>
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@ -4404,5 +4408,37 @@ plot_conditional_forecast(periods = 10) e u;
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</biblioentry>
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<biblioentry id="kim-kim-schaumburg-sims_2008" xreflabel="Kim, Kim, Schaumburg and Sims (2008)">
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<biblioset relation="article">
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<authorgroup>
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<author>
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<surname>Kim</surname>
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<firstname>Jinill</firstname>
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</author>
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<author>
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<surname>Kim</surname>
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<firstname>Sunghyun</firstname>
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</author>
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<author>
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<surname>Schaumburg</surname>
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<firstname>Ernst</firstname>
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</author>
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<author>
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<surname>Sims</surname>
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<firstname>Christopher A.</firstname>
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</author>
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</authorgroup>
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<pubdate>2008</pubdate>
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<title>Calculating and using second-order accurate solutions of discrete time dynamic equilibrium models</title>
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</biblioset>
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<biblioset relation="journal">
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<title>Journal of Economic Dynamics and Control</title>
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<volumenum>32</volumenum>
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<issuenum>11</issuenum>
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<pagenums>3397-3414</pagenums>
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</biblioset>
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</biblioentry>
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</bibliography>
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</book>
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@ -126,6 +126,15 @@ StochSimulStatement::checkPass(ModFileStructure &mod_file_struct)
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if ((it != options_list.num_options.end() && it->second == "1")
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|| mod_file_struct.order_option >= 3)
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mod_file_struct.k_order_solver = true;
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// Check that option "pruning" is not used with k-order
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it = options_list.num_options.find("pruning");
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if ((it != options_list.num_options.end() && it->second == "1")
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&& mod_file_struct.k_order_solver)
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{
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cerr << "ERROR: in 'stoch_simul', you cannot use option 'pruning' with 'k_order_solver' option or with 3rd order approximation" << endl;
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exit(EXIT_FAILURE);
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}
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}
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void
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@ -115,7 +115,7 @@ class ParsingDriver;
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%token NOGRAPH NOMOMENTS NOPRINT NORMAL_PDF
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%token OBSERVATION_TRENDS OPTIM OPTIM_WEIGHTS ORDER OSR OSR_PARAMS
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%token PARAMETERS PARAMETER_SET PARTIAL_INFORMATION PERIODS PLANNER_OBJECTIVE PLOT_CONDITIONAL_FORECAST PLOT_PRIORS PREFILTER PRESAMPLE
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%token PRINT PRIOR_MC PRIOR_TRUNC PRIOR_MODE PRIOR_MEAN POSTERIOR_MODE POSTERIOR_MEAN POSTERIOR_MEDIAN
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%token PRINT PRIOR_MC PRIOR_TRUNC PRIOR_MODE PRIOR_MEAN POSTERIOR_MODE POSTERIOR_MEAN POSTERIOR_MEDIAN PRUNING
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%token <string_val> QUOTED_STRING
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%token QZ_CRITERIUM FULL
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%token RELATIVE_IRF REPLIC RPLOT SAVE_PARAMS_AND_STEADY_STATE
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@ -843,6 +843,7 @@ stoch_simul_options : o_dr_algo
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| o_partial_information
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| o_conditional_variance_decomposition
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| o_k_order_solver
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| o_pruning
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;
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symbol_list : symbol_list symbol
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@ -1891,6 +1892,7 @@ o_draws_nbr_mean_var_estimate : DRAWS_NBR_MEAN_VAR_ESTIMATE EQUAL INT_NUMBER {dr
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o_draws_nbr_modified_harmonic_mean : DRAWS_NBR_MODIFIED_HARMONIC_MEAN EQUAL INT_NUMBER {driver.option_num("ms.draws_nbr_modified_harmonic_mean",$3); };
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o_dirichlet_scale : DIRICHLET_SCALE EQUAL INT_NUMBER {driver.option_num("ms.dirichlet_scale",$3); };
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o_k_order_solver : K_ORDER_SOLVER {driver.option_num("k_order_solver","1"); };
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o_pruning : PRUNING { driver.option_num("pruning", "1"); };
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o_chain : CHAIN EQUAL INT_NUMBER { driver.option_num("ms.chain",$3); };
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o_state : STATE EQUAL INT_NUMBER { driver.option_num("ms.state",$3); };
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@ -351,7 +351,7 @@ int sigma_e = 0;
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<DYNARE_STATEMENT>filter_covariance {return token::FILTER_COVARIANCE; }
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<DYNARE_STATEMENT>filter_decomposition {return token::FILTER_DECOMPOSITION; }
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<DYNARE_STATEMENT>selected_variables_only {return token::SELECTED_VARIABLES_ONLY; }
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<DYNARE_STATEMENT>pruning {return token::PRUNING; };
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<DYNARE_STATEMENT>[\$][^$]*[\$] {
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strtok(yytext+1, "$");
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