121 lines
4.5 KiB
Plaintext
121 lines
4.5 KiB
Plaintext
@q $Id: dynamic_model.hweb 378 2005-07-21 15:50:20Z kamenik $ @>
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@q Copyright 2005, Ondra Kamenik @>
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@*2 Dynamic model abstraction. Start of {\tt dynamic\_model.h} file.
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This file only defines a generic interface to an SDGE model. The model
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takes the form:
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$$E_t\left[f(g^{**}(g^*(y,u_t),u_{t+1}),g(y,u),y,u_t)\right]=0$$
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The interface is defined via pure virtual class |DynamicModel|.
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@s NameList int
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@s DynamicModel int
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@c
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#ifndef DYNAMIC_MODEL_H
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#define DYNAMIC_MODEL_H
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#include "t_container.h"
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#include "sparse_tensor.h"
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#include "Vector.h"
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@<|NameList| class declaration@>;
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@<|DynamicModel| class declaration@>;
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#endif
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@ The class is a virtual pure class which provides an access to names
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of the variables.
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@<|NameList| class declaration@>=
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class NameList {
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public:@;
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virtual ~NameList() {}
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virtual int getNum() const =0;
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virtual const char* getName(int i) const=0;
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void print() const;
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void writeMat(mat_t* fd, const char* vname) const;
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void writeMatIndices(mat_t* fd, const char* prefix) const;
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};
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@ This is the interface to an information on a generic SDGE
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model. It is sufficient for calculations of policy rule Taylor
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approximations at some (not necessarily deterministic) steady state.
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We need to know a partitioning of endogenous variables $y$. We suppose
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that $y$ is partitioned as
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$$y=\left[\matrix{\hbox{static}\cr\hbox{pred}\cr\hbox{both}\cr\hbox{forward}}\right]$$
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of which we define
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$$y^*=\left[\matrix{\hbox{pred}\cr\hbox{both}}\right]\quad
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y^{**}=\left[\matrix{\hbox{both}\cr\hbox{forward}}\right]$$
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where ``static'' are meant those variables, which appear only at time
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$t$; ``pred'' are meant those variables, which appear only at $t$ and
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$t-1$; ``both'' are meant those variables, which appear at least at
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$t-1$ and $t+1$; and ``forward'' are meant those variables, which
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appear only at $t$ and $t+1$. This partitioning is given by methods
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|nstat()|, |npred()|, |nboth()|, and |nforw()|. The number of
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equations |numeq()| must be the same as a number of endogenous
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variables.
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In order to complete description, we need to know a number of
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exogenous variables, which is a size of $u$, hence |nexog()| method.
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The model contains an information about names of variables, the
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variance-covariance matrix of the shocks, the derivatives of equations
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of $f$ at some steady state, and the steady state. These can be
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retrieved by the corresponding methods.
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The derivatives of the system are calculated with respect to stacked
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variables, the stack looks as:
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$$\left[\matrix{y^{**}_{t+1}\cr y_t\cr y^*_{t-1}\cr u_t}\right].$$
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There are only three operations. The first
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|solveDeterministicSteady()| solves the deterministic steady steate
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which can be retrieved by |getSteady()| later. The method
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|evaluateSystem| calculates $f(y^{**},y,y^*,u)$, where $y$ and $u$ are
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passed, or $f(y^{**}_{t+1}, y_t, y^*_{t-1}, u)$, where $y^{**}_{t+1}$,
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$y_t$, $y^*_{t-1}$, $u$ are passed. Finally, the method
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|calcDerivativesAtSteady()| calculates derivatives of $f$ at the
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current steady state, and zero shocks. The derivatives can be
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retrieved with |getModelDerivatives()|. All the derivatives are done
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up to a given order in the model, which can be retrieved by |order()|.
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The model initialization is done in a constructor of the implementing
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class. The constructor usually calls a parser, which parses a given
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file (usually a text file), and retrieves all necessary information
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about the model, inluding variables, partitioning, variance-covariance
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matrix, information helpful for calculation of the deterministic
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steady state, and so on.
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@<|DynamicModel| class declaration@>=
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class DynamicModel {
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public:@;
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virtual DynamicModel* clone() const =0;
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virtual ~DynamicModel() {}
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virtual int nstat() const =0;
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virtual int nboth() const =0;
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virtual int npred() const =0;
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virtual int nforw() const =0;
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virtual int nexog() const =0;
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virtual int order() const =0;
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int numeq() const
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{@+ return nstat()+nboth()+npred()+nforw(); @+}
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virtual const NameList& getAllEndoNames() const =0;
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virtual const NameList& getStateNames() const =0;
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virtual const NameList& getExogNames() const =0;
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virtual const TwoDMatrix& getVcov() const =0;
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virtual const TensorContainer<FSSparseTensor>& getModelDerivatives() const =0;
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virtual const Vector& getSteady() const =0;
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virtual Vector& getSteady() =0;
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virtual void solveDeterministicSteady() =0;
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virtual void evaluateSystem(Vector& out, const Vector& yy, const Vector& xx) =0;
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virtual void evaluateSystem(Vector& out, const Vector& yym, const Vector& yy,
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const Vector& yyp, const Vector& xx) =0;
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virtual void calcDerivativesAtSteady() =0;
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};
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@ End of {\tt dynamic\_model.h} file.
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