609 lines
18 KiB
TeX
609 lines
18 KiB
TeX
\documentclass{beamer}
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\usepackage[utf8]{inputenc}
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\usepackage{amsmath}
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\mode<handout>
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{
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\usepackage{pgfpages}
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\pgfpagesuselayout{4 on 1}[a4paper,border shrink=3mm,landscape]
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\usetheme{Madrid}
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\usecolortheme{seagull}
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}
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\mode<beamer>
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{
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\usetheme{Madrid}
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}
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\title{The Dynare Macro-processor}
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\author{Sébastien Villemot}
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\institute{CEPREMAP}
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\date{June 29, 2010}
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\AtBeginSection[]
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{
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\begin{frame}
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\frametitle{Outline}
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\tableofcontents[currentsection]
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\end{frame}
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}
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\begin{document}
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\begin{frame}
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\titlepage
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\end{frame}
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\begin{frame}
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\frametitle{Outline}
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\tableofcontents
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\end{frame}
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\section{Overview}
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\begin{frame}
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\frametitle{Motivation}
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\begin{itemize}
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\item The \textbf{Dynare language} (used in MOD files) is well suited for many economic models
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\item However, as such, it lacks some useful features, such as:
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\begin{itemize}
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\item a loop mechanism for automatically repeating similar blocks of equations (such as in multi-country models)
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\item an operator for indexed sums or products inside equations
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\item a mechanism for splitting large MOD files in smaller modular files
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\item the possibility of conditionally including some equations or some runtime commands
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\end{itemize}
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\item The \textbf{Dynare Macro-language} was specifically designed to address these issues
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\item Being flexible and fairly general, it can also be helpful in other situations
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\end{itemize}
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\end{frame}
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\begin{frame}
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\frametitle{Design of the macro-language}
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\begin{itemize}
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\item The Dynare Macro-language provides a new set of \textbf{macro-commands} which can be inserted inside MOD files
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\item Language features include:
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\begin{itemize}
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\item file inclusion
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\item loops (\textit{for} structure)
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\item conditional inclusion (\textit{if/then/else} structures)
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\item expression substitution
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\end{itemize}
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\item Implemented in Dynare starting from version 4.0
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\item The macro-processor transforms a MOD file with macro-commands into a MOD file without macro-commands (doing text expansions/inclusions) and then feeds it to the Dynare parser
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\item The key point to understand is that the macro-processor only does \textbf{text substitution} (like the C preprocessor or the PHP language)
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\end{itemize}
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\end{frame}
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\begin{frame}
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\frametitle{Old Dynare design}
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\includegraphics[width=0.95\linewidth]{old-design.pdf}
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\end{frame}
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\begin{frame}
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\frametitle{New Dynare design}
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\includegraphics[width=0.95\linewidth]{new-design.pdf}
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\end{frame}
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\section{Syntax}
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\begin{frame}[fragile=singleslide]
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\frametitle{Macro Directives}
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\begin{itemize}
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\item Directives begin with an at-sign followed by a pound sign (\verb+@#+)
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\item A directive produces no output, but gives instructions to the macro-processor
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\item Main directives are:
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\begin{itemize}
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\item file inclusion: \verb+@#include+
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\item definition a variable of the macro-processor: \verb+@#define+
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\item conditional statements (\verb+@#if/@#then/@#else/@#endif+)
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\item loop statements (\verb+@#for/@#endfor+)
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\end{itemize}
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\item In most cases, directives occupy exactly one line of text. In case of need, two anti-slashes (\verb+\\+) at the end of the line indicates that the directive is continued on the next line.
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\end{itemize}
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\end{frame}
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\begin{frame}[fragile=singleslide]
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\frametitle{Inclusion directive}
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\begin{itemize}
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\item This directive simply includes the content of another file at the place where it is inserted.
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\begin{block}{Syntax}
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\verb+@#include "+\textit{filename}\verb+"+
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\end{block}
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\begin{block}{Example}
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\begin{verbatim}
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@#include "modelcomponent.mod"
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\end{verbatim}
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\end{block}
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\item Exactly equivalent to a copy/paste of the content of the included file
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\item Note that it is possible to nest includes (\textit{i.e.} to include a file from an included file)
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\end{itemize}
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\end{frame}
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\begin{frame}
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\frametitle{Variables}
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\begin{itemize}
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\item The macro processor maintains its own list of variables (distinct of model variables and of MATLAB variables)
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\item Macro-variables can be of four types:
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\begin{itemize}
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\item integer
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\item character string (declared between \textit{double} quotes)
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\item array of integers
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\item array of strings
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\end{itemize}
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\item No boolean type:
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\begin{itemize}
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\item false is represented by integer zero
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\item true is any non-null integer
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\end{itemize}
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\end{itemize}
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\end{frame}
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\begin{frame}[fragile=singleslide]
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\frametitle{Macro-expressions (1/2)}
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It is possible to construct macro-expressions, using standard operators.
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\begin{block}{Operators on integers}
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\begin{itemize}
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\item arithmetic operators: \texttt{+ - * /}
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\item comparison operators: \texttt{< > <= >= == !=}
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\item logical operators: \verb+&& || !+
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\item integer ranges: \texttt{1:4} is equivalent to integer array \texttt{[1,2,3,4]}
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\end{itemize}
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\end{block}
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\begin{block}{Operators on character strings}
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\begin{itemize}
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\item comparison operators: \texttt{== !=}
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\item concatenation: \texttt{+}
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\item extraction of substrings: if \texttt{s} is a string, then one can write \texttt{s[3]} or \texttt{s[4:6]}
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\end{itemize}
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\end{block}
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\end{frame}
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\begin{frame}[fragile=singleslide]
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\frametitle{Macro-expressions (2/2)}
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\begin{block}{Operators on arrays}
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\begin{itemize}
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\item dereferencing: if \texttt{v} is an array, then \texttt{v[2]} is its $2^{\textrm{nd}}$ element
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\item concatenation: \texttt{+}
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\item difference \texttt{-}: returns the first operand from which the elements of the second operand have been removed
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\item extraction of sub-arrays: \textit{e.g.} \texttt{v[4:6]}
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\item testing membership of an array: \texttt{in} operator \\ (example:
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\texttt{"b" in ["a", "b", "c"]} returns \texttt{1})
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\end{itemize}
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\end{block}
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Macro-expressions can be used at two places:
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\begin{itemize}
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\item inside macro directives, directly
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\item in the body of the MOD file, between an at-sign and curly braces (like \verb+@{expr}+): the macro processor will substitute the expression with its value
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\end{itemize}
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\end{frame}
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\begin{frame}[fragile=singleslide]
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\frametitle{Define directive}
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The value of a macro-variable can be defined with the \verb+@#define+ directive.
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\begin{block}{Syntax}
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\verb+@#define +\textit{variable\_name}\verb+ = +\textit{expression}
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\end{block}
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\begin{block}{Examples}
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\begin{verbatim}
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@#define x = 5 // Integer
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@#define y = "US" // String
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@#define v = [ 1, 2, 4 ] // Integer array
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@#define w = [ "US", "EA" ] // String array
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@#define z = 3 + v[2] // Equals 5
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@#define t = ("US" in w) // Equals 1 (true)
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\end{verbatim}
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\end{block}
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\end{frame}
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\begin{frame}[fragile=singleslide]
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\frametitle{Expression substitution}
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\framesubtitle{Dummy example}
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\begin{block}{Before macro-processing}
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\begin{verbatim}
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@#define x = [ "B", "C" ]
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@#define i = 2
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model;
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A = @{x[i]};
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end;
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\end{verbatim}
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\end{block}
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\begin{block}{After macro-processing}
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\begin{verbatim}
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model;
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A = C;
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end;
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\end{verbatim}
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\end{block}
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\end{frame}
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\begin{frame}[fragile=singleslide]
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\frametitle{Loop directive}
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\begin{block}{Syntax}
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\verb+@#for +\textit{variable\_name}\verb+ in +\textit{array\_expr} \\
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\verb+ +\textit{loop\_body} \\
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\verb+@#endfor+
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\end{block}
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\begin{block}{Example: before macro-processing}
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\small
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\begin{verbatim}
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model;
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@#for country in [ "home", "foreign" ]
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GDP_@{country} = A * K_@{country}^a * L_@{country}^(1-a);
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@#endfor
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end;
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\end{verbatim}
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\normalsize
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\end{block}
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\begin{block}{Example: after macro-processing}
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\small
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\begin{verbatim}
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model;
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GDP_home = A * K_home^a * L_home^(1-a);
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GDP_foreign = A * K_foreign^a * L_foreign^(1-a);
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end;
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\end{verbatim}
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\normalsize
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\end{block}
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\end{frame}
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\begin{frame}[fragile=singleslide]
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\frametitle{Conditional inclusion directive}
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\begin{columns}[T]
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\column{0.47\linewidth}
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\begin{block}{Syntax 1}
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\verb+@#if +\textit{integer\_expr} \\
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\verb+ +\textit{body included if expr != 0} \\
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\verb+@#endif+
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\end{block}
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\column{0.47\linewidth}
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\begin{block}{Syntax 2}
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\verb+@#if +\textit{integer\_expr} \\
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\verb+ +\textit{body included if expr != 0} \\
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\verb+@#else+ \\
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\verb+ +\textit{body included if expr == 0} \\
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\verb+@#endif+
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\end{block}
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\end{columns}
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\begin{block}{Example: alternative monetary policy rules}
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\scriptsize
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\begin{verbatim}
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@#define linear_mon_pol = 0 // or 1
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...
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model;
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@#if linear_mon_pol
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i = w*i(-1) + (1-w)*i_ss + w2*(pie-piestar);
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@#else
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i = i(-1)^w * i_ss^(1-w) * (pie/piestar)^w2;
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@#endif
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...
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end;
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\end{verbatim}
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\scriptsize
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\end{block}
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\end{frame}
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\begin{frame}[fragile=singleslide]
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\frametitle{Echo and error directives}
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\begin{itemize}
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\item The echo directive will simply display a message on standard output
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\item The error directive will display the message and make Dynare stop (only makes sense inside a conditional inclusion directive)
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\end{itemize}
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\begin{block}{Syntax}
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\verb+@#echo +\textit{string\_expr} \\
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\verb+@#error +\textit{string\_expr}
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\end{block}
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\begin{block}{Examples}
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\begin{verbatim}
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@#echo "Information message."
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@#error "Error message!"
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\end{verbatim}
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\end{block}
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\end{frame}
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\begin{frame}
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\frametitle{Saving the macro-expanded MOD file}
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\begin{itemize}
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\item For \textbf{debugging or learning} purposes, it is possible to save the output of the macro-processor
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\item This output is a valid MOD file, obtained after processing the macro-commands of the original MOD file
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% \item Useful to understand how the macro-processor works
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\item Just add the \texttt{savemacro} option on the Dynare command line (after the name of your MOD file)
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\item If MOD file is \texttt{filename.mod}, then the macro-expanded version will be saved in \texttt{filename-macroexp.mod}
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\item You can specify the filename for the macro-expanded version with the syntax \texttt{savemacro=mymacroexp.mod}
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\end{itemize}
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\end{frame}
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% \begin{frame}
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% \frametitle{Note on error messages}
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% \end{frame}
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\section{Typical usages}
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\begin{frame}[fragile=singleslide]
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\frametitle{Modularization}
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\begin{itemize}
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\item The \verb+@#include+ directive can be used to split MOD files into several modular components
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\item Example setup:
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\begin{description}
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\item[\texttt{modeldesc.mod}:] contains variable declarations, model equations and shocks declarations
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\item[\texttt{simul.mod}:] includes \texttt{modeldesc.mod}, calibrates parameters and runs stochastic simulations
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\item[\texttt{estim.mod}:] includes \texttt{modeldesc.mod}, declares priors on parameters and runs bayesian estimation
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\end{description}
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\item Dynare can be called on \texttt{simul.mod} and \texttt{estim.mod}
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\item But it makes no sense to run it on \texttt{modeldesc.mod}
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\item Advantage: no need to manually copy/paste the whole model (at the beginning) or changes to the model (during development)
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\end{itemize}
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\end{frame}
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\begin{frame}[fragile=singleslide]
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\frametitle{Indexed sums or products}
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\framesubtitle{Example: moving average}
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\begin{columns}[T]
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\column{0.47\linewidth}
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\begin{block}{Before macro-processing}
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\begin{verbatim}
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@#define window = 2
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var x MA_x;
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...
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model;
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...
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MA_x = 1/@{2*window+1}*(
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@#for i in -window:window
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+x(@{i})
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@#endfor
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);
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...
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end;
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\end{verbatim}
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\end{block}
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\column{0.47\linewidth}
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\begin{block}{After macro-processing}
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\begin{verbatim}
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var x MA_x;
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...
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model;
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...
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MA_x = 1/5*(
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+x(-2)
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+x(-1)
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+x(0)
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+x(1)
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+x(2)
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);
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...
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end;
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\end{verbatim}
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\end{block}
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\end{columns}
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\end{frame}
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\begin{frame}[fragile=singleslide]
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\frametitle{Multi-country models}
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\framesubtitle{MOD file skeleton example}
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\scriptsize
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\begin{verbatim}
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@#define countries = [ "US", "EA", "AS", "JP", "RC" ]
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@#define nth_co = "US"
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@#for co in countries
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var Y_@{co} K_@{co} L_@{co} i_@{co} E_@{co} ...;
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parameters a_@{co} ...;
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varexo ...;
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@#endfor
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model;
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@#for co in countries
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Y_@{co} = K_@{co}^a_@{co} * L_@{co}^(1-a_@{co});
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...
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@# if co != nth_co
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(1+i_@{co}) = (1+i_@{nth_co}) * E_@{co}(+1) / E_@{co}; // UIP relation
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@# else
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E_@{co} = 1;
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@# endif
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@#endfor
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end;
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\end{verbatim}
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\normalsize
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\end{frame}
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\begin{frame}
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\frametitle{Endogeneizing parameters (1/4)}
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\begin{itemize}
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\item When doing the steady-state calibration of the model, it may be useful to consider a parameter as an endogenous (and vice-versa)
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\item Example:
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\begin{gather*}
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y = \left(\alpha^{\frac{1}{\xi}} \ell^{1-\frac{1}{\xi}} + (1-\alpha)^{\frac{1}{\xi}}k^{1-\frac{1}{\xi}}\right)^{\frac{\xi}{\xi - 1}} \\
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lab\_rat = \frac{w \ell}{p y}
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\end{gather*}
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\item In the model, $\alpha$ is a (share) parameter, and $lab\_rat$ is an endogenous variable
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\item We observe that:
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\begin{itemize}
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\item calibrating $\alpha$ is not straigthforward!
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\item on the contrary, we have real world data for $lab\_rat$
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\item it is clear that these two variables are economically linked
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\end{itemize}
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\end{itemize}
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\end{frame}
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\begin{frame}[fragile=singleslide]
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\frametitle{Endogeneizing parameters (2/4)}
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\begin{itemize}
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\item Therefore, when computing the steady state:
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\begin{itemize}
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\item we make $\alpha$ an endogenous variable and $lab\_rat$ a parameter
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\item we impose an economically relevant value for $lab\_rat$
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\item the solution algorithm deduces the implied value for $\alpha$
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\end{itemize}
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\item We call this method ``variable flipping''
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\end{itemize}
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\end{frame}
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\begin{frame}[fragile=singleslide]
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\frametitle{Endogeneizing parameters (3/4)}
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\framesubtitle{Example implementation}
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\begin{itemize}
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\item File \texttt{modeqs.mod}:
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\begin{itemize}
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\item contains variable declarations and model equations
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\item For declaration of \texttt{alpha} and \texttt{lab\_rat}:
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\footnotesize
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\begin{verbatim}
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@#if steady
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var alpha;
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parameter lab_rat;
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@#else
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parameter alpha;
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var lab_rat;
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@#endif
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\end{verbatim}
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\normalsize
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\end{itemize}
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\end{itemize}
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\end{frame}
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\begin{frame}[fragile=singleslide]
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\frametitle{Endogeneizing parameters (4/4)}
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\framesubtitle{Example implementation}
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\begin{itemize}
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\item File \texttt{steady.mod}:
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\begin{itemize}
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\item begins with \verb+@#define steady = 1+
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\item then with \verb+@#include "modeqs.mod"+
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\item initializes parameters (including \texttt{lab\_rat}, excluding \texttt{alpha})
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\item computes steady state (using guess values for endogenous, including \texttt{alpha})
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\item saves values of parameters and endogenous at steady-state in a file, using the \texttt{save\_params\_and\_steady\_state} command
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\end{itemize}
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\item File \texttt{simul.mod}:
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\begin{itemize}
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\item begins with \verb+@#define steady = 0+
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\item then with \verb+@#include "modeqs.mod"+
|
|
\item loads values of parameters and endogenous at steady-state from file, using the \texttt{load\_params\_and\_steady\_state} command
|
|
\item computes simulations
|
|
\end{itemize}
|
|
\end{itemize}
|
|
\end{frame}
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|
|
|
\begin{frame}[fragile=singleslide]
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|
\frametitle{MATLAB loops vs macro-processor loops (1/3)}
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|
Suppose you have a model with a parameter $\rho$, and you want to make
|
|
simulations for three values: $\rho = 0.8, 0.9, 1$. There are
|
|
several ways of doing this:
|
|
\begin{block}{With a MATLAB loop}
|
|
\begin{verbatim}
|
|
rhos = [ 0.8, 0.9, 1];
|
|
for i = 1:length(rhos)
|
|
rho = rhos(i);
|
|
stoch_simul(order=1);
|
|
end
|
|
\end{verbatim}
|
|
\end{block}
|
|
\begin{itemize}
|
|
\item The loop is not unrolled
|
|
\item MATLAB manages the iterations
|
|
\item Interesting when there are a lot of iterations
|
|
\end{itemize}
|
|
\end{frame}
|
|
|
|
\begin{frame}[fragile=singleslide]
|
|
\frametitle{MATLAB loops vs macro-processor loops (2/3)}
|
|
\begin{block}{With a macro-processor loop (case 1)}
|
|
\begin{verbatim}
|
|
rhos = [ 0.8, 0.9, 1];
|
|
@#for i in 1:3
|
|
rho = rhos(@{i});
|
|
stoch_simul(order=1);
|
|
@#endfor
|
|
\end{verbatim}
|
|
\end{block}
|
|
\begin{itemize}
|
|
\item Very similar to previous example
|
|
\item Loop is unrolled
|
|
\item Dynare macro-processor manages the loop index but not the data array (\texttt{rhos})
|
|
\end{itemize}
|
|
\end{frame}
|
|
|
|
\begin{frame}[fragile=singleslide]
|
|
\frametitle{MATLAB loops vs macro-processor loops (3/3)}
|
|
\begin{block}{With a macro-processor loop (case 2)}
|
|
\begin{verbatim}
|
|
@#for rho_val in [ "0.8", "0.9", "1"]
|
|
rho = @{rho_val};
|
|
stoch_simul(order=1);
|
|
@#endfor
|
|
\end{verbatim}
|
|
\end{block}
|
|
\begin{itemize}
|
|
\item Advantage: shorter syntax, since list of values directly given in the loop construct
|
|
\item Note that values are given as character strings (the macro-processor does not
|
|
know floating point values)
|
|
\item Inconvenient: can not reuse an array stored in a MATLAB variable
|
|
\end{itemize}
|
|
\end{frame}
|
|
|
|
\section{Conclusion}
|
|
|
|
\begin{frame}[fragile=singleslide]
|
|
\frametitle{Possible future developments}
|
|
\begin{itemize}
|
|
\item Find a nicer syntax for indexed sums/products
|
|
\item Implement other control structures: \texttt{elsif}, \texttt{switch/case}, \texttt{while/until} loops
|
|
\item Implement macro-functions (or templates), with a syntax like:
|
|
\small
|
|
\verb+@#define QUADRATIC_COST(x, x_ss, phi) = phi/2*(x/x_ss-1)^2+
|
|
\normalsize
|
|
\end{itemize}
|
|
\end{frame}
|
|
|
|
\begin{frame}
|
|
\frametitle{Dynare for Octave (1/2)}
|
|
\begin{itemize}
|
|
\item GNU Octave (or simply Octave) is a high-level language, primarily intended for numerical computations
|
|
\item Basically, it is a free clone of MATLAB: same syntax, almost same set of functions
|
|
\item Runs on Windows, Linux and Mac OS X
|
|
\item Advantages:
|
|
\begin{itemize}
|
|
\item free software, no license fee to pay
|
|
\item source code available
|
|
\item dynamic and responsive community of users and developers
|
|
\end{itemize}
|
|
\item Inconvenients:
|
|
\begin{itemize}
|
|
\item slower than MATLAB
|
|
\item less user friendly (however note that there is a graphical user
|
|
interface to Octave called ``qtoctave'')
|
|
\end{itemize}
|
|
\end{itemize}
|
|
\end{frame}
|
|
|
|
\begin{frame}
|
|
\frametitle{Dynare for Octave (2/2)}
|
|
\begin{itemize}
|
|
\item Since version 4.0, Dynare works on top of Octave
|
|
\item This makes Dynare 100\% free software
|
|
\item All features of Dynare work with Octave, except:
|
|
\begin{itemize}
|
|
\item loading of Excel files for estimation
|
|
\item diffuse Kalman filter (used in models with unit roots)
|
|
\item some graphics automatically generated look bad, it may be necessary to recreate them manually
|
|
\end{itemize}
|
|
\item For more information: \\
|
|
\url{http://www.dynare.org/DynareWiki/DynareOctave}
|
|
\end{itemize}
|
|
\end{frame}
|
|
|
|
\end{document}
|