Refuse that estimated parameters appear in the expressions defining the variance/covariance matrix of shocks

Closes #469

preprocessor/ComputingTasks.cc

@@ -517,6 +517,12 @@ EstimatedParamsStatement::checkPass(ModFileStructure &mod_file_struct, WarningCo
             }
         }
     }
+
+  // Fill in mod_file_struct.estimated_parameters (related to #469)
+  for (vector<EstimationParams>::const_iterator it = estim_params_list.begin();
+       it != estim_params_list.end(); it++)
+    if (it->type == 2)
+      mod_file_struct.estimated_parameters.insert(symbol_table.getID(it->name));
 }
 
 void

preprocessor/ModFile.cc

@@ -264,6 +264,28 @@ ModFile::checkPass()
        || dynamic_model.isBinaryOpUsed(oEqualEqual)
        || dynamic_model.isBinaryOpUsed(oDifferent)))
     warnings << "WARNING: you are using a function (max, min, abs, sign) or an operator (<, >, <=, >=, ==, !=) which is unsuitable for a stochastic context; see the reference manual, section about \"Expressions\", for more details." << endl;
+
+  // Test if some estimated parameters are used within the values of shocks
+  // statements (see issue #469)
+  set<int> parameters_intersect;
+  set_intersection(mod_file_struct.parameters_within_shocks_values.begin(),
+                   mod_file_struct.parameters_within_shocks_values.end(),
+                   mod_file_struct.estimated_parameters.begin(),
+                   mod_file_struct.estimated_parameters.end(),
+                   inserter(parameters_intersect, parameters_intersect.begin()));
+  if (parameters_intersect.size() > 0)
+    {
+      cerr << "ERROR: some estimated parameters (";
+      for (set<int>::const_iterator it = parameters_intersect.begin();
+           it != parameters_intersect.end(); )
+        {
+          cerr << symbol_table.getName(*it);
+          if (++it != parameters_intersect.end())
+            cerr << ", ";
+        }
+      cerr << ") also appear in the expressions defining the variance/covariance matrix of shocks; this is not allowed." << endl;
+      exit(EXIT_FAILURE);
+    }
 }
 
 void

preprocessor/Shocks.cc

@@ -284,6 +284,25 @@ ShocksStatement::checkPass(ModFileStructure &mod_file_struct, WarningConsolidati
           || symbol_table.isObservedVariable(it->first.second))
         mod_file_struct.calibrated_measurement_errors = true;
     }
+
+  // Fill in mod_file_struct.parameters_with_shocks_values (related to #469)
+  set<pair<int, int> > params_lags;
+  for (var_and_std_shocks_t::const_iterator it = var_shocks.begin();
+       it != var_shocks.end(); ++it)
+    it->second->collectVariables(eParameter, params_lags);
+  for (var_and_std_shocks_t::const_iterator it = std_shocks.begin();
+       it != std_shocks.end(); ++it)
+    it->second->collectVariables(eParameter, params_lags);
+  for (covar_and_corr_shocks_t::const_iterator it = covar_shocks.begin();
+       it != covar_shocks.end(); ++it)
+    it->second->collectVariables(eParameter, params_lags);
+  for (covar_and_corr_shocks_t::const_iterator it = corr_shocks.begin();
+       it != corr_shocks.end(); ++it)
+    it->second->collectVariables(eParameter, params_lags);
+
+  for (set<pair<int, int> >::const_iterator it = params_lags.begin();
+       it != params_lags.end(); ++it)
+    mod_file_struct.parameters_within_shocks_values.insert(it->first);
 }
 
 MShocksStatement::MShocksStatement(const det_shocks_t &det_shocks_arg,

preprocessor/Statement.hh

@@ -23,6 +23,7 @@
 #include <ostream>
 #include <string>
 #include <map>
+#include <set>
 
 #include "SymbolList.hh"
 #include "WarningConsolidation.hh"
@@ -97,6 +98,11 @@ public:
   int last_markov_switching_chain;
   //! Whether a calib_smoother statement is present
   bool calib_smoother_present;
+  //! Set of parameters used within shocks blocks, inside the expressions
+  //! defining the values of covariances (stored as symbol ids)
+  set<int> parameters_within_shocks_values;
+  //! Set of estimated parameters (stored as symbol ids)
+  set<int> estimated_parameters;
 };
 
 class Statement

tests/Makefile.am

@@ -166,7 +166,8 @@ MODFILES = \
 	gradient/fs2000_numgrad_3.mod \
 	gradient/fs2000_numgrad_5.mod
 
-XFAIL_MODFILES = ramst_xfail.mod
+XFAIL_MODFILES = ramst_xfail.mod \
+	estim_param_in_shock_value.mod
 
 # Dependencies
 example1_use_dll.m.trs: example1.m.trs

tests/estim_param_in_shock_value.mod

@@ -0,0 +1,67 @@
+// Test for #469, should fail in the preprocessor
+
+var m P c e W R k d n l gy_obs gp_obs y dA;
+varexo e_a e_m;
+
+parameters alp bet gam mst rho psi del sig_e_a;
+
+alp = 0.33;
+bet = 0.99;
+gam = 0.003;
+mst = 1.011;
+rho = 0.7;
+psi = 0.787;
+del = 0.02;
+sig_e_a=0.014;
+
+model;
+dA = exp(gam+e_a);
+log(m) = (1-rho)*log(mst) + rho*log(m(-1))+e_m;
+-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;
+W = l/n;
+-(psi/(1-psi))*(c*P/(1-n))+l/n = 0;
+R = P*(1-alp)*exp(-alp*(gam+e_a))*k(-1)^alp*n^(-alp)/W;
+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;
+c+k = exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)+(1-del)*exp(-(gam+e_a))*k(-1);
+P*c = m;
+m-1+d = l;
+e = exp(e_a);
+y = k(-1)^alp*n^(1-alp)*exp(-alp*(gam+e_a));
+gy_obs = dA*y/y(-1);
+gp_obs = (P/P(-1))*m(-1)/dA;
+end;
+
+initval;
+k = 6;
+m = mst;
+P = 2.25;
+c = 0.45;
+e = 1;
+W = 4;
+R = 1.02;
+d = 0.85;
+n = 0.19;
+l = 0.86;
+y = 0.6;
+gy_obs = exp(gam);
+gp_obs = exp(-gam);
+dA = exp(gam);
+end;
+
+shocks;
+var e_a; stderr sig_e_a;
+var e_m; stderr 0.005;
+end;
+
+steady;
+
+check;
+
+estimated_params;
+del, beta_pdf, 0.01, 0.005;
+sig_e_a, inv_gamma_pdf, 0.035449, inf;
+end;
+
+varobs gp_obs gy_obs;
+
+estimation(order=1,bayesian_irf,irf_shocks=(e_m),datafile=fsdat_simul,mode_check, nobs=192, loglinear, mh_replic=2000, mh_nblocks=2, mh_jscale=0.8);