dynare/matlab/print_expectations.m

507 lines
22 KiB
Matlab

function print_expectations(eqname, expectationmodelname, expectationmodelkind, withcalibration)
% Prints the exansion of the VAR_EXPECTATION or PAC_EXPECTATION term in files.
%
% INPUTS
% - eqname [string] Name of the equation.
% - epxpectationmodelname [string] Name of the expectation model.
% - expectationmodelkind [string] Kind of the expectation model.
% - withcalibration [logical] Prints calibration if true.
%
% OUTPUTS
% None
%
% REMARKS
% print_expectations creates two text files
%
% - {expectationmodelname}-parameters.inc which contains the declaration of the parameters specific to the expectation model kind term.
% - {expectationmodelname}-expression.inc which contains the expanded version of the expectation model kind term.
%
% These routines are saved under the {modfilename}/model/{expectationmodelkind} subfolder, and can be
% used after in another mod file (ie included with the macro directive @#include).
%
% print_expectations also creates a matlab routine to evaluate the expectations (returning a dseries object).
%
% The variable expectationmodelkind can take two values 'var' or 'pac'.
% Copyright © 2018-2023 Dynare Team
%
% This file is part of Dynare.
%
% Dynare is free software: you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by
% the Free Software Foundation, either version 3 of the License, or
% (at your option) any later version.
%
% Dynare is distributed in the hope that it will be useful,
% but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
% GNU General Public License for more details.
%
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
global M_
if nargin<4 || isempty(withcalibration)
withcalibration = true;
end
% Check that the first input is a row character array.
if ~isrow(eqname)==1 || ~ischar(eqname)
error('First input argument must be a row character array.')
end
% Check that the second input is a row character array.
if ~isrow(expectationmodelname)==1 || ~ischar(expectationmodelname)
error('Second input argument must be a row character array.')
end
% Check that the third input is a row character array.
if ~isrow(expectationmodelkind)==1 || ~ischar(expectationmodelkind)
error('Third input argument must be a row character array.')
end
% Check that the value of the second input is correct.
if ~ismember(expectationmodelkind, {'var', 'pac'})
error('Wrong value for the second input argument.')
end
% Check that the model exists.
switch expectationmodelkind
case 'var'
if ~isfield(M_.var_expectation, expectationmodelname)
error('VAR_EXPECTATION_MODEL %s is not defined.', expectationmodelname)
else
expectationmodelfield = 'var_expectation';
end
case 'pac'
if ~isfield(M_.pac, expectationmodelname)
error('PAC_EXPECTATION_MODEL %s is not defined.', expectationmodelname)
else
expectationmodelfield = 'pac';
end
otherwise
end
% Get the expectation model description
expectationmodel = M_.(expectationmodelfield).(expectationmodelname);
% Get the name of the associated VAR model and test its existence.
if isfield(expectationmodel, 'auxiliary_model_name') && ~isfield(M_.(expectationmodel.auxiliary_model_type), expectationmodel.auxiliary_model_name)
switch expectationmodelkind
case 'var'
error('Unknown VAR/TREND_COMPONENT model (%s) in VAR_EXPECTATION_MODEL (%s)!', expectationmodel.auxiliary_model_name, expectationmodelname)
case 'pac'
error('Unknown VAR/TREND_COMPONENT model (%s) in PAC_EXPECTATION_MODEL (%s)!', expectationmodel.auxiliary_model_name, expectationmodelname)
otherwise
end
elseif isequal(expectationmodelkind, 'pac') && ~isfield(expectationmodel, 'auxiliary_model_name')
error('print method does not work in PAC/MCE.')
end
auxmodel = M_.(expectationmodel.auxiliary_model_type).(expectationmodel.auxiliary_model_name);
%
% First print the list of parameters appearing in the VAR_EXPECTATION/PAC_EXPECTATION term.
%
if ~exist(sprintf('%s/model/%s', M_.fname, [expectationmodelkind '-expectations']), 'dir')
mkdir(sprintf('%s/model/%s', M_.fname, [expectationmodelkind '-expectations']))
end
filename = sprintf('%s/model/%s/%s-parameters.inc', M_.fname, [expectationmodelkind '-expectations'], expectationmodelname);
fid = fopen(filename, 'w');
fprintf(fid, '// This file has been generated by dynare (%s).\n\n', datestr(now));
switch expectationmodelkind
case 'var'
parameter_declaration = 'parameters';
for i=1:length(expectationmodel.param_indices)
parameter_declaration = sprintf('%s %s', parameter_declaration, M_.param_names{expectationmodel.param_indices(i)});
end
fprintf(fid, '%s;\n\n', parameter_declaration);
if withcalibration
for i=1:length(expectationmodel.param_indices)
fprintf(fid, '%s = %1.16f;\n', M_.param_names{expectationmodel.param_indices(i)}, M_.params(expectationmodel.param_indices(i)));
end
end
case 'pac'
parameter_declaration = 'parameters';
if isfield(expectationmodel, 'h_param_indices')
for i=1:length(expectationmodel.h_param_indices)
parameter_declaration = sprintf('%s %s', parameter_declaration, M_.param_names{expectationmodel.h_param_indices(i)});
end
else
for j=1:length(expectationmodel.components)
for i=1:length(expectationmodel.components(j).h_param_indices)
parameter_declaration = sprintf('%s %s', parameter_declaration, M_.param_names{expectationmodel.components(j).h_param_indices(i)});
end
end
end
fprintf(fid, '%s;\n\n', parameter_declaration);
if withcalibration
if isfield(expectationmodel, 'h_param_indices')
for i=1:length(expectationmodel.h_param_indices)
fprintf(fid, '%s = %1.16f;\n', M_.param_names{expectationmodel.h_param_indices(i)}, M_.params(expectationmodel.h_param_indices(i)));
end
else
for j=1:length(expectationmodel.components)
for i=1:length(expectationmodel.components(j).h_param_indices)
fprintf(fid, '%s = %1.16f;\n', M_.param_names{expectationmodel.components(j).h_param_indices(i)}, M_.params(expectationmodel.components(j).h_param_indices(i)));
end
end
end
end
if isfield(expectationmodel, 'growth_neutrality_param_index')
fprintf(fid, '\n');
fprintf(fid, 'parameters %s;\n\n', M_.param_names{expectationmodel.growth_neutrality_param_index});
if withcalibration
fprintf(fid, '%s = %1.16f;\n', M_.param_names{expectationmodel.growth_neutrality_param_index}, M_.params(expectationmodel.growth_neutrality_param_index));
end
growth_correction = true;
else
growth_correction = false;
if isfield(expectationmodel, 'components')
for j=1:length(expectationmodel.components)
if isfield(expectationmodel.components(j), 'growth_neutrality_param_index') && ~isempty(expectationmodel.components(j).growth_neutrality_param_index)
fprintf(fid, '\n');
fprintf(fid, 'parameters %s;\n\n', M_.param_names{expectationmodel.components(j).growth_neutrality_param_index});
if withcalibration
fprintf(fid, '%s = %1.16f;\n', M_.param_names{expectationmodel.components(j).growth_neutrality_param_index}, M_.params(expectationmodel.components(j).growth_neutrality_param_index));
end
growth_correction = true;
end
end
end
end
end
fclose(fid);
skipline()
fprintf('Parameters declarations and calibrations are saved in %s.\n', filename);
%
% Second print the expanded VAR_EXPECTATION/PAC_EXPECTATION term.
%
filename = sprintf('%s/model/%s/%s-expression.inc', M_.fname, [expectationmodelkind '-expectations'], expectationmodelname);
fid = fopen(filename, 'w');
fprintf(fid, '// This file has been generated by dynare (%s).\n', datestr(now));
switch expectationmodelkind
case 'var'
expression = write_expectations(expectationmodelname, expectationmodelkind, true);
case 'pac'
[expression, growthneutralitycorrection] = write_expectations(expectationmodelname, expectationmodelkind, true);
end
fprintf(fid, '%s', expression);
fclose(fid);
fprintf('Expectation unrolled expression is saved in %s.\n', filename);
%
% Second bis print the PAC growth neutrality correction term (if any).
%
if isequal(expectationmodelkind, 'pac') && growth_correction
filename = sprintf('%s/model/%s/%s-growth-neutrality-correction.inc', M_.fname, [expectationmodelkind '-expectations'], expectationmodelname);
fid = fopen(filename, 'w');
fprintf(fid, '// This file has been generated by dynare (%s).\n', datestr(now));
fprintf(fid, '%s', growthneutralitycorrection);
fclose(fid);
fprintf('Growth neutrality correction is saved in %s.\n', filename);
end
%
% Third print a routine for evaluating VAR_EXPECTATION/PAC_EXPECTATION term (returns a dseries object).
%
kind = [expectationmodelkind '_expectations'];
ndir = sprintf('+%s/+%s/+%s', M_.fname, kind, expectationmodelname);
if ~exist(ndir, 'dir')
mkdir(sprintf('+%s/+%s/+%s', M_.fname, kind, expectationmodelname));
end
filename = sprintf('+%s/+%s/+%s/evaluate.m', M_.fname, kind, expectationmodelname);
fid = fopen(filename, 'w');
fprintf(fid, 'function ds = evaluate(dbase)\n\n');
fprintf(fid, '%% Evaluates %s term (%s).\n', kind, expectationmodelname);
fprintf(fid, '%%\n');
fprintf(fid, '%% INPUTS\n');
fprintf(fid, '%% - dbase [dseries] databse containing all the variables appearing in the auxiliary model for the expectation.\n');
fprintf(fid, '%%\n');
fprintf(fid, '%% OUTPUTS\n');
fprintf(fid, '%% - ds [dseries] the expectation term .\n');
fprintf(fid, '%%\n');
fprintf(fid, '%% REMARKS\n');
fprintf(fid, '%% The name of the appended variable in dbase is the declared name for the (PAC/VAR) expectation model.\n\n');
fprintf(fid, '%% This file has been generated by dynare (%s).\n\n', datestr(now));
fprintf(fid, 'ds = dseries();\n\n');
id = 0;
if isfield(expectationmodel, 'h_param_indices')
decompose = false;
else
if isequal(expectationmodelkind, 'pac')
decompose = true;
else
decompose = false;
end
end
clear('expression');
% Get coefficient values in the target (if any)
if exist(sprintf('+%s/pac_target_coefficients.m', M_.fname), 'file')
targetcoefficients = feval(sprintf('%s.pac_target_coefficients', M_.fname), expectationmodelname, M_.params);
end
maxlag = max(auxmodel.max_lag);
if isequal(expectationmodel.auxiliary_model_type, 'trend_component')
% Need to add a lag since the error correction equations are rewritten in levels.
maxlag = maxlag+1;
end
if isequal(expectationmodelkind, 'var')
timeindices = (0:(maxlag-1))+abs(expectationmodel.time_shift);
end
if isequal(expectationmodelkind, 'var') && isequal(expectationmodel.auxiliary_model_type, 'var')
% Constant in the VAR auxiliary model
id = id+1;
expression = sprintf('%1.16f', M_.params(expectationmodel.param_indices(id)));
end
if isequal(expectationmodelkind, 'pac') && isequal(expectationmodel.auxiliary_model_type, 'var')
% Constant in the VAR auxiliary model
id = id+1;
if isfield(expectationmodel, 'h_param_indices')
constant = M_.params(expectationmodel.h_param_indices(id));
else
if decompose
expressions = cell(length(expectationmodel.components), 1);
for j=1:length(expectationmodel.components)
expressions{j} = sprintf('%1.16f', M_.params(expectationmodel.components(j).h_param_indices(id)));
end
end
constant = 0;
for j=1:length(expectationmodel.components)
constant = constant + targetcoefficients(j)*M_.params(expectationmodel.components(j).h_param_indices(id));
end
end
if isfield(expectationmodel, 'h_param_indices')
expression = sprintf('%1.16f', constant);
end
end
for i=1:maxlag
for j=1:length(auxmodel.list_of_variables_in_companion_var)
id = id+1;
variable = auxmodel.list_of_variables_in_companion_var{j};
[variable, transformations] = rewrite_aux_variable(variable, M_);
switch expectationmodelkind
case 'var'
parameter = M_.params(expectationmodel.param_indices(id));
case 'pac'
if isfield(expectationmodel, 'h_param_indices')
parameter = M_.params(expectationmodel.h_param_indices(id));
else
parameter = 0;
for k=1:length(expectationmodel.components)
parameter = parameter+targetcoefficients(k)*M_.params(expectationmodel.components(k).h_param_indices(id));
end
end
otherwise
end
switch expectationmodelkind
case 'var'
if timeindices(i)>0
variable = sprintf('dbase.%s(-%d)', variable, timeindices(i));
else
variable = sprintf('dbase.%s', variable);
end
case 'pac'
variable = sprintf('dbase.%s(-%d)', variable, i);
otherwise
end
if ~isempty(transformations)
for k=length(transformations):-1:1
variable = sprintf('%s.%s()', variable, transformations{k});
end
end
if exist('expression','var')
if parameter>=0
expression = sprintf('%s+%1.16f*%s', expression, parameter, variable);
elseif parameter<0
expression = sprintf('%s-%1.16f*%s', expression, -parameter, variable);
end
else
if parameter>=0
expression = sprintf('%1.16f*%s', parameter, variable);
elseif parameter<0
expression = sprintf('-%1.16f*%s', -parameter, variable);
end
end
if decompose
for k=1:length(expectationmodel.components)
parameter = M_.params(expectationmodel.components(k).h_param_indices(id));
if parameter>=0
expressions{k} = sprintf('%s+%1.16f*%s', expressions{k}, parameter, variable);
else
expressions{k} = sprintf('%s-%1.16f*%s', expressions{k}, -parameter, variable);
end
end
end
end
end
if isequal(expectationmodelkind, 'pac') && growth_correction
if isfield(expectationmodel, 'growth_neutrality_param_index')
pgrowth = M_.params(expectationmodel.growth_neutrality_param_index);
for iter = 1:numel(expectationmodel.growth_linear_comb)
vgrowth='';
variable = [];
if expectationmodel.growth_linear_comb(iter).exo_id > 0
variable = M_.exo_names{expectationmodel.growth_linear_comb(iter).exo_id};
elseif expectationmodel.growth_linear_comb(iter).endo_id > 0
variable = M_.endo_names{expectationmodel.growth_linear_comb(iter).endo_id};
end
if ~isempty(variable)
[variable, transformations] = rewrite_aux_variable(variable, M_);
if isempty(transformations)
if expectationmodel.growth_linear_comb(iter).lag ~= 0
variable = sprintf('%s(%d)', variable, expectationmodel.growth_linear_comb(iter).lag);
end
else
for k=rows(transformations):-1:1
if isequal(transformations{k,1}, 'lag')
variable = sprintf('%s.lag(%u)', variable, -transformations{k,2});
elseif isequal(transformations{k,1}, 'diff')
if isempty(transformations{k,2})
variable = sprintf('%s.diff()', variable);
else
variable = sprintf('%s.lag(%u).diff()', variable, transformations{k,2});
end
else
variable = sprintf('%s.%s()', variable, transformations{k});
end
end
end
vgrowth = strcat('dbase.', variable);
end
if expectationmodel.growth_linear_comb(iter).param_id > 0
if ~isempty(vgrowth)
vgrowth = sprintf('%1.16f*%s',M_.params(expectationmodel.growth_linear_comb(iter).param_id), vgrowth);
else
vgrowth = num2str(M_.params(expectationmodel.growth_linear_comb(iter).param_id), '%1.16f');
end
end
if abs(expectationmodel.growth_linear_comb(iter).constant) ~= 1
if ~isempty(vgrowth)
vgrowth = sprintf('%1.16f*%s', expectationmodel.growth_linear_comb(iter).constant, vgrowth);
else
vgrowth = num2str(expectationmodel.growth_linear_comb(iter).constant, '%1.16f');
end
end
if iter > 1
if expectationmodel.growth_linear_comb(iter).constant > 0
linearCombination = sprintf('%s+%s', linearCombination, vgrowth);
else
linearCombination = sprintf('%s-%s', linearCombination, vgrowth);
end
else
linearCombination = vgrowth;
end
end % loop over growth linear combination elements
growthcorrection = sprintf('%1.16f*(%s)', pgrowth, linearCombination);
else
first = true;
for i=1:length(expectationmodel.components)
if ~isequal(expectationmodel.components(i).kind, 'll') && isfield(expectationmodel.components(i), 'growth_neutrality_param_index') && isfield(expectationmodel.components(i), 'growth_linear_comb') && ~isempty(expectationmodel.components(i).growth_linear_comb)
pgrowth = targetcoefficients(i)*M_.params(expectationmodel.components(i).growth_neutrality_param_index);
for iter = 1:numel(expectationmodel.components(i).growth_linear_comb)
vgrowth='';
variable=[];
if expectationmodel.components(i).growth_linear_comb(iter).exo_id > 0
variable = M_.exo_names{expectationmodel.components(i).growth_linear_comb(iter).exo_id};
elseif expectationmodel.components(i).growth_linear_comb(iter).endo_id > 0
variable = M_.endo_names{expectationmodel.components(i).growth_linear_comb(iter).endo_id};
end
if ~isempty(variable)
[variable, transformations] = rewrite_aux_variable(variable, M_);
if isempty(transformations)
if expectationmodel.components(i).growth_linear_comb(iter).lag ~= 0
variable = sprintf('%s(%d)', variable, expectationmodel.components(i).growth_linear_comb(iter).lag);
end
else
for k=rows(transformations):-1:1
if isequal(transformations{k,1}, 'lag')
variable = sprintf('%s.lag(%u)', variable, -transformations{k,2});
elseif isequal(transformations{k,1}, 'diff')
if isempty(transformations{k,2})
variable = sprintf('%s.diff()', variable);
else
variable = sprintf('%s.lag(%u).diff()', variable, transformations{k,2});
end
else
variable = sprintf('%s.%s()', variable, transformations{k});
end
end
end
vgrowth = strcat('dbase.', variable);
end
if expectationmodel.components(i).growth_linear_comb(iter).param_id > 0
if ~isempty(vgrowth)
vgrowth = sprintf('%1.16f*%s',M_.params(expectationmodel.components(i).growth_linear_comb(iter).param_id), vgrowth);
else
vgrowth = num2str(M_.params(expectationmodel.components(i).growth_linear_comb(iter).param_id), '%1.16f');
end
end
if abs(expectationmodel.components(i).growth_linear_comb(iter).constant) ~= 1
if ~isempty(vgrowth)
vgrowth = sprintf('%1.16f*%s', expectationmodel.components(i).growth_linear_comb(iter).constant, vgrowth);
else
vgrowth = num2str(expectationmodel.components(i).growth_linear_comb(iter).constant, '%1.16f');
end
end
if iter > 1
if expectationmodel.components(i).growth_linear_comb(iter).constant > 0
linearCombination = sprintf('%s+%s', linearCombination, vgrowth);
else
linearCombination = sprintf('%s-%s', linearCombination, vgrowth);
end
else
linearCombination = vgrowth;
end
end % loop over growth linear combination elements
if first
growthcorrection = sprintf('%1.16f*(%s)', pgrowth, linearCombination);
first = false;
else
if pgrowth>0
growthcorrection = sprintf('%s+%1.16f*(%s)', growthcorrection, pgrowth, linearCombination);
elseif pgrowth<0
growthcorrection = sprintf('%s-%1.16f*(%s)', growthcorrection, -pgrowth, linearCombination);
end
end
end
end
end
expression = sprintf('%s+%s', expression, growthcorrection);
end % growth_correction
fprintf(fid, 'ds.%s = %s;\n', expectationmodelname, expression);
if exist('expressions', 'var')
for i=1:length(expressions)
fprintf(fid, 'ds.%s = %s;\n', M_.lhs{expectationmodel.components(i).aux_id}, expressions{i});
end
end
fclose(fid);
fprintf('Expectation dseries expression is saved in %s.\n', filename);
skipline();
rehash